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作者：Chung, Ji-Woong; Sensoy, Berk A.; Stern, Lea; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; Korea University; National Bureau of Economic Research
摘要：Lifetime incomes of private equity general partners (GPs) are affected by their current funds' performance not only directly, through carried interest profit-sharing provisions, but also indirectly by the effect of the current fund's performance on GPs' abilities to raise capital for future funds. In the context of a rational learning model, which we show better matches the empirical relations between future fund-raising and current performance than behavioral alternatives, we estimate that in...
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作者：Longstaff, Francis A.; Wang, Jiang
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This article studies the central role of the credit market. We show that the credit market facilitates optimal risk sharing by allowing less risk-averse investors to take on levered positions and consume more risk. The equilibrium amount behaves procyclically when aggregate consumption is low but countercyclically when it is high. The varying size of the credit market modifies the amount of risk sharing, which in turn influences asset prices such as expected stock returns, stock return volatil...
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作者：Ben-David, Itzhak; Hirshleifer, David
作者单位：University System of Ohio; Ohio State University; University of California System; University of California Irvine
摘要：We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference explains trading. Furthermore, the disposition effect is not driven by a simple direct preference for s...
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作者：Dam, Lammertjan; Koetter, Michael
作者单位：University of Groningen
摘要：We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout expectations on bank risk, we exploit the fact that regional political factors explain bank bailouts but not bank risk. The sample includes all observed capital preservation measures and distressed exits in the German banking industry during 1995-2006. A change of bailout expectations by two standard deviatio...
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作者：Nagel, Stefan
作者单位：Stanford University; National Bureau of Economic Research
摘要：The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach, this article shows that the return from liquidity provision is highly predictable with the VIX index. Expected returns and conditional Sharpe ratios from liquidity provision spike during periods of financial market turmoil. The results point to withdrawal of liquidity supply and an associated increase in the expected returns from liquidity...
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作者：Franks, Julian; Mayer, Colin; Volpin, Paolo; Wagner, Hannes F.
作者单位：University of London; London Business School; University of Oxford; Bocconi University
摘要：We show that in countries with strong investor protection, developed financial markets, and active markets for corporate control, family firms evolve into widely held companies as they age. In countries with weak investor protection, less developed financial markets, and inactive markets for corporate control, family control is very persistent over time. While family control in high investor protection countries is concentrated in industries that have low investment opportunities and low merge...
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作者：Chatterjee, Sris; John, Kose; Yan, An
作者单位：New York University; Fordham University
摘要：We test several hypotheses on how takeover premium is related to investors' divergence of opinion on a target's equity value. We show that the total takeover premium, the pre-announcement target stock price run-up, and the post-announcement stock price markup are all higher when investors have higher divergence of opinion. We obtain identical results with higher market-level investor sentiment. When divergence of opinion is higher, a firm is less likely to be a takeover target, although takeov...
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作者：Faulkender, Michael; Petersen, Mitchell
作者单位：University System of Maryland; University of Maryland College Park; Northwestern University; National Bureau of Economic Research
摘要：The American Jobs Creation Act (AJCA) significantly lowered U.S. firms' tax cost when accessing their unrepatriated foreign earnings. Using this temporary shock to the cost of internal financing, we examine the role of capital constraints in firms' investment decisions. Controlling for the capacity to repatriate foreign earnings under the AJCA, we find that a majority of the funds repatriated by capital-constrained firms were allocated to approved domestic investment. Although unconstrained fi...
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作者：Keloharju, Matti; Knuepfer, Samuli; Linnainmaa, Juhani
作者单位：Aalto University; University of London; London Business School
摘要：This article shows that individuals' product market choices influence their investment decisions. Using microdata from the brokerage and automotive industries, we find a strong positive relation between customer relationship, ownership of a company, and size of the ownership stake. Investors are also more likely to purchase and less likely to sell shares of companies they frequent as customers. These effects are stronger for individuals with longer customer relationships. A merger-based natura...
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作者：Siegel, Jordan; Choudhury, Prithwiraj
作者单位：Harvard University; University of Pennsylvania
摘要：One of the most rigorous methodologies in the corporate governance literature uses firms' reactions to industry shocks to characterize the quality of governance. This methodology can produce the wrong answer unless one considers the ways firms compete. Because macro-level shocks reverberate differently at the firm level depending on whether a firm has a cost structure that requires significant adjustment, the quality of governance can only be elucidated accurately analyzing a firm's business s...
