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作者：Evans, Richard B.; Fahlenbrach, Ruediger
作者单位：University of Virginia; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Advisors often manage multiple versions of a fund. These twins have the same manager and similar performance but are sold to different investors with differing abilities to select and monitor managers. Comparing investor flows in retail and institutional twins, we find that institutional investors are more sensitive to high fees and poor risk-adjusted performance. Consistent with the reduction of agency problems from greater monitoring, retail funds with an institutional twin outperform other ...
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作者：Christoffersen, Peter; Errunza, Vihang; Jacobs, Kris; Langlois, Hugues
作者单位：University of Houston System; University of Houston; Tilburg University; McGill University; University of Toronto
摘要：International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that correlations have increased markedly in both developed markets (DMs) and emerging markets (EMs), but they are much lower in EMs than in DMs. Tail dependence has also increased, but its level is still relatively low in EMs. We propose ...
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作者：Wermers, Russ; Yao, Tong; Zhao, Jane
作者单位：University System of Maryland; University of Maryland College Park; University of Iowa
摘要：We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock selection abilities. This generalized inverse alpha (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative p...
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作者：Acharya, Viral; Davydenko, Sergei A.; Strebulaev, Ilya A.
作者单位：University of Toronto; New York University; Stanford University; National Bureau of Economic Research
摘要：Intuition suggests that firms with higher cash holdings should be safer and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This puzzling finding can be explained by the precautionary motive for saving cash, which in our model causes riskier firms to accumulate higher cash reserves. In contrast, spreads are negatively related to the part of cash holdings that is not determined by credit risk factors. Similarly, although firms with high...
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作者：Dong, Ming; Hirshleifer, David; Teoh, Siew Hong
作者单位：York University - Canada
摘要：We test whether and how equity overvaluation affects corporate financing decisions using an ex ante misvaluation measure that filters firm scale and growth prospects from market price. We find that equity issuance and total financing increase with equity overvaluation, but only among overvalued stocks, and that equity issuance is more sensitive than debt issuance to misvaluation. Consistent with managers catering to maintain overvaluation and with investment-scale economy effects, the sensitiv...
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作者：Andersen, Steffen; Nielsen, Kasper Meisner
作者单位：Copenhagen Business School; Hong Kong University of Science & Technology
摘要：We use a natural experiment in Denmark to test the hypothesis that aspiring entrepreneurs face financial constraints because of low entrepreneurial quality. We identify 304 constrained entrepreneurs who start a business after receiving windfall wealth and examine the performance of these marginal entrepreneurs. We find that constrained entrepreneurs have significantly lower survival rates and lower profits when compared with a matched sample of unconstrained entrepreneurs. These results are co...
