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作者：Patton, Andrew J.; Verardo, Michela
作者单位：University of London; London School Economics & Political Science; Duke University
摘要：We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about other firms in the market, and resolve greater ex ante uncertainty. Our results are consistent with a...
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作者：Croce, M. Max; Kung, Howard; Nguyen, Thien T.; Schmid, Lukas
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Duke University; University of Pennsylvania
摘要：The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3) depressing productivity growth. In settings with recursive preferences, these three tax-based channels generate si...
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作者：Bollen, Nicolas P. B.; Pool, Veronika K.
作者单位：Vanderbilt University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performan...
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作者：Ferreira, Miguel A.; Matos, Pedro
作者单位：University of Virginia
摘要：We investigate the effects of bank control over borrower firms whether by representation on boards of directors or by the holding of shares through bank asset management divisions. Using a large sample of syndicated loans, we find that banks are more likely to act as lead arrangers in loans when they exert some control over the borrower firm. Bank-firm governance links are associated with higher loan spreads during the 2003-2006 credit boom but lower spreads during the 2007-2008 financial cris...
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作者：Chen, Zhanhui; Petkova, Ralitsa
作者单位：Purdue University System; Purdue University; Nanyang Technological University
摘要：We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the Fama-French (1993) model have positive (negative) exposures to innovations in average stock variance and therefore lower (higher) expected returns. These two findings explain the idiosyncratic vola...
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作者：Piotroski, Joseph D.; So, Eric C.
作者单位：Stanford University
摘要：It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic) expectations; thus, the value/glamour effect should be concentrated (absent) among firms with (without) ex ante identifiable expectation errors. Classifying firms based upon whether expectations implied b...
