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作者：Brav, Alon; Jiang, Wei; Kim, Hyunseob
作者单位：Duke University; National Bureau of Economic Research; Columbia University; Cornell University
摘要：This paper studies the long-term effect of hedge fund activism on firm productivity using plant-level information from the U.S. Census Bureau. A typical target firm improves production efficiency in the 3 years after intervention, with stronger improvements in business strategy-oriented interventions. Plants sold after intervention improve productivity significantly under new ownership, suggesting that capital redeployment is an important channel for value creation. Employees of target firms e...
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作者：Rostek, Marzena; Weretka, Marek
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply shocks, order breakup, limits to arbitrage, nonneutrality of trading frequency, and real effects of shocks and announcements in periods other...
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作者：Banerjee, Suman; Humphery-Jenner, Mark; Nanda, Vikram
作者单位：University of Wyoming; University of New South Wales Sydney; Rutgers University System; Rutgers University New Brunswick; University of Texas System; University of Texas Dallas
摘要：The literature posits that some CEO overconfidence benefits shareholders, though high levels may not. We argue that adequate controls and independent viewpoints provided by an independent board mitigates the costs of CEO overconfidence. We use the concurrent passage of the Sarbanes-Oxley Act and changes to the NYSE/NASDAQ listing rules (collectively, SOX) as natural experiments, to examine whether board independence improves decision making by overconfident CEOs. The results are strongly suppo...
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作者：Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, Maria T.
作者单位：Northwestern University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; CUNEF Universidad
摘要：Some fundamental questions regarding equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel Corridor Volatility index which may serve as an observable proxy for short-term volatility. Exploiting this index, we find that equity-index volatility jumps are common, symmetrically distributed, and cojump with the underlying returns. Moreover, the return-volatility asymmetry is more pronounced than...
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作者：Guo, Lixiong; Masulis, Ronald W.
作者单位：University of New South Wales Sydney
摘要：We use the 2003 NYSE and NASDAQ listing rules for board and committee independence as a quasinatural experiment to examine the causal relations between board structure and CEO monitoring. Noncompliant firms forced to raise board independence or adopt a fully independent nominating committee significantly increased their forced CEO turnover sensitivity to performance relative to compliant firms. Nominating committee independence is important even when firms had an independent board, and the eff...
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作者：Cieslak, Anna; Povala, Pavol
作者单位：Northwestern University; University of London; Birkbeck University London
摘要：We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectations and maturity-specific interest-rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in the yield curve. Controlling for the EH term, we extract a measure of risk-premium variation from yields. The risk-premium fact...
