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作者：Choi, Jaewon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth firms are much less sensitive to economic conditions, and, consistent with the tradeoff theory of capital structure, growth firms are also less levered, contributing to the relative stability of their equit...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Obreja, Iulian
作者单位：University of Colorado System; University of Colorado Boulder
摘要：I propose a new dynamic model of the firm that links operating leverage to both value premium and book-leverage premium in stock returns. Value firms are low-productivity firms with either high operating leverage or high financial leverage. Firms with high operating leverage maintain low book leverage ratios. When operating leverage is economically significant, both value firms and low book-leverage firms can have high equity risk premiums. In particular, value premium becomes positive while b...
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作者：Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C.
作者单位：Columbia University
摘要：Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums are ...
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作者：Hori, Keiichi; Osano, Hiroshi
作者单位：Ritsumeikan University; Kyoto University
摘要：We explore a continuous-time agency model with double moral hazard. Using a venture capitalist (VC)-entrepreneur relationship where the VC both supplies costly effort and chooses the optimal timing of the initial public offering (IPO), we show that optimal IPO timing is earlier under double moral hazard than under single moral hazard. Our results also indicate that the manager's compensation tends to be paid earlier under double moral hazard. We derive several comparative static results, notab...
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作者：Alan, Sule; Loranth, Gyongyi
作者单位：Koc University; University of Vienna
摘要：Using a unique panel data set from a U.K. credit card company, we analyze the interest rate sensitivity of subprime credit card borrowers. In addition to all individual transactions and loan terms, we have access to details of a randomized interest rate experiment conducted by the lender on existing (inframarginal) loans. For the whole sample, we estimate a statistically significant 3.4 pound reduction in monthly credit demand in response to a five percentage point increase in interest rates. ...
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作者：Han, Lu
作者单位：University of Toronto
摘要：Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to ...
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作者：Ai, Hengjie; Croce, Mariano Massimiliano; Li, Kai
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Duke University
摘要：We model investment options as intangible capital in a production economy in which younger vintages of assets in place have lower exposure to aggregate productivity risk. In equilibrium, physical capital requires a substantially higher expected return than intangible capital. Quantitatively, our model rationalizes a significant share of the observed difference in the average return of book-to-market-sorted portfolios (value premium). Our economy also produces (1) a high premium of the aggregat...
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作者：Boehmer, Ekkehart; Wu, Juan (Julie)
作者单位：Universite Catholique de Lille; EDHEC Business School; University System of Georgia; University of Georgia
摘要：We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme retur...
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作者：Cohen, Lauren; Diether, Karl; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; Dartmouth College
摘要：We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market appears to ignore the implications of past successes when valuing future innovation. We show that two firms that invest the same in R&D can have quite divergent, but predictably divergent, future paths based on their past track records. A long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of rough...
