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作者：Amihud, Yakov; Goyenko, Ruslan
作者单位：New York University; McGill University
摘要：We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.
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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...
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作者：Gennaioli, Nicola; Rossi, Stefano
作者单位：Bocconi University; Purdue University System; Purdue University
摘要：In a financial contracting model, we study the optimal debt structure to resolve financial distress. We show that a debt structure where two distinct debt classes coexist-one class fully concentrated and with control rights upon default, the other dispersed and without control rights-removes the controlling creditor's liquidation bias when investor protection is strong. These results rationalize the use and the performance of floating charge financing, which refers to debt financing where the ...
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作者：Fee, C. Edward; Hadlock, Charles J.; Pierce, Joshua R.
作者单位：Michigan State University; University of South Carolina System; University of South Carolina Columbia
摘要：In a large panel of Compustat firms, we find that firm policy changes after exogenous CEO departures do not display abnormally high levels of variability, casting doubt on the presence of idiosyncratic-style effects in policy choices. After endogenous CEO departures, we do detect abnormally large policy changes. These changes are larger when the firm is likely to draw from a deeper pool of replacement CEO candidates, suggesting the presence of causal-style effects that are anticipated by the b...
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作者：Faulkender, Michael; Yang, Jun
作者单位：University System of Maryland; University of Maryland College Park; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Firms routinely justify CEO compensation by benchmarking against companies with highly paid CEOs. We examine whether the 2006 regulatory requirement of disclosing compensation peers mitigated firms' opportunistic peer selection activities. We find that strategic peer benchmarking did not disappear after enhanced disclosure. In fact, it intensified at firms with low institutional ownership, low director ownership, low CEO ownership, busy boards, large boards, and non-intensive monitoring boards...
