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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：Gopalan, Radhakrishnan; Xie, Kangzhen
作者单位：Washington University (WUSTL); University of Arkansas System; University of Arkansas Fayetteville
摘要：Focusing on economic distress episodes in an industry, we estimate the effect of conglomeration on resource allocation. Distressed segments have higher sales growth, higher cash flow, and higher expenditure on research and development than single-segment firms. This is especially true for segments with high past performance, for unrated firms, and in competitive industries. Single-segment firms increase cash holding, and the diversification discount reduces during industry distress. Firms with...
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作者：Bebchuk, Lucian A.; Goldstein, Itay
作者单位：University of Pennsylvania; Harvard University
摘要：This article develops a model of a self-fulfilling credit market freeze and uses it to study alternative governmental responses to such a crisis. We study an economy in which operating firms are interdependent, where their success depends on the ability of other operating firms to obtain financing. In such an economy, an inefficient credit market freeze may arise in which banks abstain from lending to operating firms with good projects because of their self-fulfilling expectations that other b...
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作者：Masulis, Ronald W.; Peter Kien Pham; Zein, Jason
作者单位：University of New South Wales Sydney; University of Sydney
摘要：Using a dataset of 28,635 firms in 45 countries, this study investigates the motivations for family-controlled business groups. We provide new evidence consistent with the argument that particular group structures emerge not only to perpetuate control, but also to alleviate financing constraints at the country and firm levels. At the country level, family groups, especially those structured as pyramids, are more prevalent in markets with limited availability of capital. At the firm level, inve...
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作者：Faccio, Mara; Marchica, Maria-Teresa; Mura, Roberto
作者单位：University of Manchester; Purdue University System; Purdue University
摘要：Using new data for the universe of firms covered in Amadeus, we reconstruct the portfolios of shareholders who hold equity stakes in private- and publicly traded European firms. We find great heterogeneity in the degree of portfolio diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large shareholders undertake riskier investments than firms controlled by nondiversified large shareholders. The impact of large shareholder d...
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作者：Wei, Chenyang; Yermack, David
作者单位：New York University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Pensions and deferred compensation represent substantial components of CEO incentives. We study stockholder and bondholder reactions to companies' initial reports of CEOs' inside debt positions following a 2007 SEC disclosure reform. We find that bond prices rise, equity prices fall, and the volatility of both securities drops for firms whose CEOs have sizeable defined benefit pensions or deferred compensation. Similar changes occur for credit default swap spreads and exchange-traded options. ...
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作者：Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
作者单位：National Bureau of Economic Research; University of Pennsylvania
摘要：We identify a slope factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. This factor accounts for most of the cross-sectional variation in average excess returns between high and low interest rate currencies. A standard, no-arbitrage model of interest rates with two factors-a country-specific factor and a global factor-can replicate these findings, provided there is sufficient heterogeneity in exposure to global or common inn...
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作者：Kyle, Albert S.; Hui Ou-Yang; Wei, Bin
作者单位：University System of Maryland; University of Maryland College Park; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This article endogenizes information acquisition and portfolio delegation in a one-period strategic trading model. We find that, when the informed portfolio manager is relatively risk tolerant (averse), price informativeness increases (decreases) with the amount of noise trading. When noise trading is endogenized, the linear equilibrium in the traditional literature breaks down under a wide range of parameter values. In contrast, a linear equilibrium always exists in our model. In a convention...
