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作者：Acharya, Viral V.; Gottschalg, Oliver F.; Hahn, Moritz; Kehoe, Conor
作者单位：National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR); Hautes Etudes Commerciales (HEC) Paris; University of Munich
摘要：Using deal-level data from transactions initiated by large private equity houses, we find that the abnormal performance of deals is positive on average, after controlling for leverage and sector returns. Higher abnormal performance is related to improvement in sales and operating margin during the private phase, relative to that for quoted peers. General partners who are ex-consultants or ex-industry managers are associated with outperforming deals focused on internal value-creation programs, ...
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作者：Gomes, Francisco; Michaelides, Alexander; Polkovnichenko, Valery
作者单位：University of London; London Business School; University of Cyprus; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study the simultaneous impact of fiscal policy decisions on macroeconomic activity, wealth distribution, and asset prices. We consider a general equilibrium, overlapping generations model with incomplete markets and heterogeneous agents, where government debt and capital are imperfect substitutes. Increases in public debt lead to significant increases in the riskless rate and to a reduction in the equity premium, while higher capital income tax rates lead to a higher equity premium. The cro...
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作者：Hochberg, Yael V.; Rauh, Joshua D.
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors exhibit substantial home-state bias in private equity. This effect is particularly pronounced for public pension funds, where overweighting amounts to 9.8% of aggregate private-equity investments and 16.5% for the average limited partner. Public pension funds' in-state investments achieve performance that is lower by two to four percentage points than both their own similar out-of-state investments and similar investments in their state by out-of-state investors. Overwe...
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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：Fernandes, Nuno; Ferreira, Miguel A.; Matos, Pedro; Murphy, Kevin J.
作者单位：Universidade Nova de Lisboa; University of Virginia; University of Southern California
摘要：This paper challenges the widely accepted stylized fact that chief executive officers (CEOs) in the United States are paid significantly more than their foreign counterparts. Using CEO pay data across fourteen countries with mandated pay disclosures, we show that the U.S. pay premium is economically modest and primarily reflects the performance-based pay demanded by institutional shareholders and independent boards. Indeed, we find no significant difference in either level of CEO pay or the us...
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作者：Repullo, Rafael; Suarez, Javier
摘要：We compare various bank capital regulation regimes using a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period and the business cycle determines loans' probabilities of default. Banks hold endogenous capital buffers as a precaution against shocks that impair their future lending capacity. We find that Basel II is more procyclical than Basel I but makes banks safer, and it is generally superior in welfare terms. For high social c...
