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作者：Jegadeesh, Narasimhan; Kim, Woojin
作者单位：Emory University; National Bureau of Economic Research; Korea University
摘要：This article develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new recommendation is away from the consensus than when it is closer to it, indicating that the market recognizes analysts' tendency to herd. We find that analysts from larger brokerages, analysts following stoc...
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作者：Love, David A.
作者单位：Williams College
摘要：This paper investigates the impact of demographic shocks on optimal decisions about saving, life insurance, and, most centrally, asset allocation. The analysis indicates that marital-status transitions can have important effects on optimal household decisions, particularly in the cases of widowhood and divorce. Children also play a fundamental role in portfolio choice; in addition to leading to substantially different average allocations, they also have strong interaction effects with changes ...
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作者：Khwaja, Asim Ijaz; Mian, Atif; Zia, Bilal
作者单位：The World Bank; Harvard University; University of California System; University of California Berkeley
摘要：We exploit an unexpected inflow of liquidity in an emerging market to study how capital is intermediated to firms. We find that backward-looking credit limit constraints imposed by banks make it difficult for firms to borrow, despite readily available bank liquidity, healthy aggregate demand, and a sharply falling cost of capital. The resulting aggregate failure to extend and retain capital in the economy suggests that agency costs that force banks to rely on sticky balance-sheet-based credit ...
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作者：Garlappi, Lorenzo; Skoulakis, Georgios
作者单位：University of British Columbia; University System of Maryland; University of Maryland College Park
摘要：We develop a new solution method for a broad class of discrete-time dynamic portfolio choice problems. The method efficiently approximates conditional expectations of the value function by using (i) a decomposition of the state variables into a component observable by the investor and a stochastic deviation; and (ii) a Taylor expansion of the value function. We illustrate the accuracy of the method in handling several realistic features of portfolio choice problems such as intermediate consump...
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作者：Hege, Ulrich; Hennessy, Christopher
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London Business School
摘要：This article analyzes optimal financial contracts for an incumbent and potential entrant accounting for prospective asset mergers. Exercising a first-mover advantage, the incumbent increases his share of surplus by issuing public debt that appreciates in the event of merger. Incumbent debt reduces the equilibrium value of entrant assets and thus reduces the return to (likelihood of) entry through two channels: venture capitalists recover less in default and ownership rights provide weaker mana...
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作者：Martinez-Miera, David; Repullo, Rafael
作者单位：Universidad Carlos III de Madrid
摘要：A large theoretical literature shows that competition reduces banks' franchise values and induces them to take more risk. Recent research contradicts this result: When banks charge lower rates, their borrowers have an incentive to choose safer investments, so they will in turn be safer. However, this argument does not take into account the fact that lower rates also reduce the banks' revenues from performing loans. This paper shows that when this effect is taken into account, a U-shaped relati...
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作者：Ayyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
作者单位：George Washington University; The World Bank; University System of Maryland; University of Maryland College Park
摘要：The fast growth of Chinese private sector firms is taken as evidence that informal finance can facilitate firm growth better than formal banks in developing countries. We examine firm financing patterns and growth using a database of twenty-four hundred Chinese firms. While a relatively small percentage of firms utilize bank loans, bank financing is associated with faster growth whereas informal financing is not. Controlling for selection, we find that firms with bank financing grow faster tha...
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作者：Sias, Richard W.; Whidbee, David A.
作者单位：Washington State University
摘要：There is a strong inverse relation between insider trading and institutional demand the same quarter and over the previous year. Our analysis suggests a combination of factors contribute to this relation. First, institutional investors are more likely to provide the liquidity necessary for insiders to trade. Second, insiders are more likely to buy low valuation and low lag return stocks while institutions are attracted to the opposite security characteristics. Last, the results are consistent ...
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作者：Todorov, Viktor
作者单位：Northwestern University
摘要：Using high-frequency stock market data and (synthetic) variance swap rates, this paper identifies and investigates the temporal variation in the market variance risk-premium. The variance risk is manifest in two salient features of financial returns: stochastic volatility and jumps. The pricing of these two components is analyzed in a general semiparametric framework. The key empirical results imply that investors' fears of future jumps are especially sensitive to recent jump activity and that...
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作者：Bharath, Sreedhar T.; Dittmar, Amy K.
作者单位：University of Michigan System; University of Michigan
摘要：We investigate how firms weigh the costs and benefits of being public in the decision to opt out of the public market and go private. We draw on previous studies of going private and on the subsequent well-developed theoretical literature on why firms go public to develop our hypotheses. We employ a comprehensive sample of going-private transactions from 1980 to 2004 in the United States and examine how these firms differ over their public life (from IPO to going private) relative to a sample ...
