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作者：Mehran, Hamid; Peristiani, Stavros
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：A large fraction of the companies that went private between 1990 and 2007 were fairly young public firms, often with the same management team making the crucial restructuring decisions at both the time of the initial public offering (IPO) and the buyout. This article investigates the determinants of the decision to go private over a firm's entire public life cycle. Our evidence reveals that firms with declining growth in analyst coverage, falling institutional ownership, and low stock turnover...
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作者：Han, Lu
作者单位：University of Toronto
摘要：This article examines how price risk affects housing demand. It identifies two relevant channels: a financial risk effect that reduces demand, and a hedging effect that increases demand since current homes may hedge future housing costs. The latter dominates when hedging incentives are strong, namely when the likelihood of moving up the housing ladder is high and the tendency to move across markets is low. For households with weak hedging incentives, the article finds negative effects of price...
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作者：Brennan, Michael J.; Wang, Ashley W.
作者单位：Federal Reserve System - USA; University of Manchester; University of California System; University of California Los Angeles
摘要：We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated wi...
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作者：Hao, Jia; Kalay, Avner; Mayhew, Stewart
作者单位：Wayne State University; Tel Aviv University; Utah System of Higher Education; University of Utah
摘要：We examine the behavior of call options surrounding the underlying stock's ex-dividend date. The evidence is inconsistent with the predictions of a rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short-term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to ...
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作者：Bebchuk, Lucian A.; Weisbach, Michael S.
作者单位：Harvard University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：This article, which introduces the special issue on corporate governance cosponsored by the Review of Financial Studies and the National Bureau of Economic Research (NBER), reviews and comments on the state of corporate governance research. The special issue features seven articles on corporate governance that were presented in a meeting of the NBER's corporate governance project. Each of the articles represents state-of-the-art research in an important area of corporate governance research. F...
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作者：Dybvig, Philip H.; Farnsworth, Heber K.; Carpenter, Jennifer N.
作者单位：Washington University (WUSTL); New York University
摘要：In this paper we analyze the optimal contract for a portfolio manager who can exert effort to improve the quality of a private signal about future market prices. We assume complete markets over states distinguished by asset payoffs and place no restrictions on the form of the contract. We show that trading restrictions are essential because they prevent the manager from undoing the incentive effects of performance-based fees. We provide conditions under which simple benchmarking emerges as opt...
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作者：Bossaerts, Peter; Ghirardato, Paolo; Guarnaschelli, Serena; Zame, William R.
作者单位：California Institute of Technology; University of Turin; Collegio Carlo Alberto; University of Turin; University of California System; University of California Los Angeles
摘要：This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ambiguity has different implications than heterogeneity of attitudes toward risk. In particular, when some state probabilities are not known, agents w...
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作者：Ravina, Enrichetta; Sapienza, Paola
作者单位：Columbia University; Northwestern University; National Bureau of Economic Research
摘要：We compare the trading performance of independent directors and other executives. The findings reveal that independent directors earn positive substantial abnormal returns when they purchase their company stock, and that the difference from the same firm's executives is relatively small at most horizons. We also find that executives and independent directors make higher returns in firms with the weakest governance, the gap between these two widens in such firms, and that independent directors ...
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作者：Becker, Thomas A.; Shabani, Reza
作者单位：University of California System; University of California Berkeley
摘要：This article examines the effect of household debt on investment decisions. We alter a simple portfolio choice model to allow households to retire outstanding debt and realize a risk-free rate of return equal to the interest rate on that debt. Using the Survey of Consumer Finances, we find that households with mortgage debt are 10% less likely to own stocks and 37% less likely to own bonds compared to similar households with no mortgage debt. We calculate the costs of nonoptimal investment in ...
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作者：Manso, Gustavo; Strulovici, Bruno; Tchistyi, Alexei
作者单位：Massachusetts Institute of Technology (MIT); Northwestern University; University of California System; University of California Berkeley
摘要：This article studies performance-sensitive debt (PSD), the class of debt obligations whose interest payments depend on some measure of the borrower's performance. We demonstrate that the existence of PSD obligations cannot be explained by the trade-off theory of capital structure, as PSD leads to earlier default and lower equity value compared to fixed-rate debt of the same market value. We show that, consistent with the pecking-order theory, PSD can be used as an inexpensive screening device,...
