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作者：Sunder, Jayanthi; Sunder, Shyam V.; Wongsunwai, Wan
作者单位：University of Arizona; Northwestern University
摘要：We investigate the effect of shareholder activism on debtholders by examining a sample of bank loans for firms targeted by activist hedge funds. We compare loan spreads before and after intervention and show the effects of heterogeneous shareholder actions. Spreads increase when shareholder activism relies on the market for corporate control or financial restructuring. In contrast, spreads decrease when activists address managerial entrenchment. Furthermore, the effects are more pronounced whe...
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作者：Lin, Chunmei; Massa, Massimo; Zhang, Hong
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; INSEAD Business School; Tsinghua University
摘要：We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semipublic information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semipublic information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semipublic information increases price informativeness but also ...
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作者：Agarwal, Vikas; Gay, Gerald D.; Ling, Leng
作者单位：University System of Georgia; Georgia State University
摘要：We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit (suffer) from higher (lower) investor flows c...
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作者：Heyerdahl-Larsen, Christian
作者单位：University of London; London Business School
摘要：I introduce an external habit for each consumption good, known as deep habits, into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries. I show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments. Calibrated to a set of ten countries, the model reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility, inno...
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作者：Ahern, Kenneth R.; Duchin, Ran; Shumway, Tyler
作者单位：University of Southern California; University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Existing evidence shows that risk aversion and trust are largely determined by environmental factors. We test whether one such factor is peer influence. Using random assignment of MBA students to peer groups and predetermined survey responses of economic attitudes, we find causal evidence of positive peer effects in risk aversion and no effects in trust. After the first year of the MBA program, the difference between an individual and her peers' average risk aversion has shrunk by 41%. Finding...
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作者：Arif, Salman; Lee, Charles M. C.
作者单位：Indiana University System; Indiana University Bloomington; Stanford University
摘要：Using bottom-up information from corporate financial statements, we examine the relation between aggregate investment, future equity returns, and investor sentiment. Consistent with the business cycle literature, corporate investments peak during periods of positive sentiment, yet these periods are followed by lower equity returns. This pattern exists in most developed countries and survives controls for discount rates, equity flows, valuation multiples, operating accruals, and other investor ...
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作者：Bhardwaj, Geetesh; Gorton, Gary B.; Rouwenhorst, K. Geert
作者单位：Yale University; National Bureau of Economic Research
摘要：Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find that CTAs display no alpha relative to simple future strategies in the public domain. Our results ...
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作者：Hong, Harrison; Jiang, Wenxi; Wang, Na; Zhao, Bin
作者单位：Princeton University; Yale University; Hofstra University; Shanghai Jiao Tong University
摘要：We show that Keeping-Up-with-the-Joneses preferences can explain several puzzling retail investor behaviors, including the excessive trading of small local stocks. Status concerns lead households, especially those living in affluent areas, to demand these stocks to track their neighbors' wealth. This demand varies procyclically with the stock market's value and generates household trading. Using Chinese data on local stock turnover, stock message boards, and brokerage account trading, we test ...
