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作者：Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A.
作者单位：University of Wisconsin System; University of Wisconsin Madison; City St Georges, University of London; Duke University
摘要：Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically, their views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors is consistent with sector rotation, an investment strategy that exploits perceived differences in the relative performance of sectors at different stages of the business cycle. The empirical footprint...
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作者：Edmans, Alex; Gabaix, Xavier
作者单位：University of Pennsylvania; New York University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：This article presents a market equilibrium model of CEO assignment, pay, and incentives under risk aversion and moral hazard. Each of the three outcomes can be summarized by a single closed-form equation. In the presence of moral hazard, assignment is distorted from positive assortative matching on firm size as firms with higher risk or disutility choose less talented CEOs. Such firms also pay higher salaries in the cross-section, but economy-wide increases in risk or the disutility of being a...
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作者：Hou, Kewei; Karolyi, G. Andrew; Kho, Bong-Chan
作者单位：Cornell University; University System of Ohio; Ohio State University; Seoul National University (SNU)
摘要：Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cash flow-to-price captures significant time-series variation in global stock returns, and has lower pricing errors and fewer model rejections than the global CAPM or a popular model that uses size and book-to-market factors. We find reliable evidence that the global cash flow-to-price factor is related to a ...
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作者：Ertimur, Yonca; Ferri, Fabrizio; Muslu, Volkan
作者单位：Duke University; New York University; University of Texas System; University of Texas Dallas
摘要：We study 134 vote-no campaigns and 1,198 shareholder proposals related to executive pay between 1997 and 2007. Union pension funds sponsor most of these initiatives, yet their targeting criteria do not appear to reflect labor-related motives. Shareholders favor proposals related to the pay-setting process (e.g., subject severance pay to shareholder approval) over proposals that micromanage pay level or structure. While activists target firms with high CEO pay (whether excessive or not), voting...
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作者：Fishback, Price V.; Flores-Lagunes, Alfonso; Horrace, William C.; Kantor, Shawn; Treber, Jaret
作者单位：University of Arizona; National Bureau of Economic Research; State University System of Florida; University of Florida; Syracuse University; University of California System; University of California Merced; University System of Ohio; Kenyon College
摘要：Problems with mortgage financing are widely considered to be a major cause of the recent financial meltdown. Several modern programs have been designed to mimic the Home Owners' Loan Corporation (HOLC) of the 1930s. We analyze the impact of the HOLC on the nonfarm rental and owned home markets for over 2,800 counties in the United States in the 1930s. In sparsely populated counties, where financial markets were not as well developed as in larger cities, the HOLC stimulated demand for owned hou...
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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：When agents can learn about their abilities as active investors, they rationally trade to learn even if they expect to lose from active investing. The model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior: Households' portfolios underperform passive investments; their trading intensity depends on past performance; and they begin by trading small sums of money. Using household data from Finland, the article estimates a struct...
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作者：Braggion, Fabio; Moore, Lyndon
作者单位：Universite de Montreal; Tilburg University
摘要：Miller and Modigliani (1961) show that in perfect and complete financial markets a firm's value is unaffected by its dividend policy. Much of the more recent research has demonstrated that dividend policy becomes important in the presence of taxation, asymmetric information, incomplete contracts, institutional constraints, and transaction costs. By examining the effects of dividend policies on 475 British firms existing between 1895 and 1905, and consequently operating in an environment of ver...
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作者：Netter, Jeffry; Stegemoller, Mike; Wintoki, M. Babajide
作者单位：University System of Georgia; University of Georgia; Baylor University; University of Kansas
摘要：We analyze a comprehensive set of mergers and acquisitions from SDC data from 1992 through 2009. We do not impose common restrictions such as excluding private bidders, small targets, or deals without a deal value. We show a broader scope of mergers and acquisitions activity than that implied in the literature, which generally oversamples larger deals involving public firms. Further, some of our results differ from the extant literature. For example, the finding that mergers occur in waves is ...
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作者：Acharya, Viral V.; Shin, Hyun Song; Yorulmazer, Tanju
作者单位：New York University; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：What is the effect of financial crises and their resolution on banks' choice of liquidity? When banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of bank failures. The gains from acquiring assets at fire-sale prices make it attractive for banks to hold liquid assets. The resulting choice of bank liquidity is countercyclical, inefficiently low during economic booms but excessively high during crises. We ...
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作者：Han, Yufeng; Lesmond, David
作者单位：Tulane University; University of Colorado System; University of Colorado Denver
摘要：We model a microstructure effect on daily security returns, embodied by zero returns and the bid-ask spread, and derive a closed-form solution for the resulting bias in the estimated idiosyncratic volatility. Our empirical tests show that controlling for the bias eliminates the ability of idiosyncratic volatility estimates to predict future returns. We also find a significant reduction in the pricing ability of idiosyncratic volatility after exogenous shocks to liquidity evidenced in the 1997 ...
