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作者：Wachter, Jessica A.; Yogo, Motohiro
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research; University of Pennsylvania
摘要：We develop a life-cycle consumption and portfolio choice model in which households have nonhomothetic utility over two types of goods, basic and luxury. We calibrate the model to match the cross-sectional and life-cycle variation in the basic expenditure share in the Consumer Expenditure Survey. The model explains the degree to which the portfolio share in risky assets rises in wealth in the cross-section of households in the Survey of Consumer Finances. For a given household, the portfolio sh...
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作者：Carlson, Murray; Fisher, Adlai; Giammarino, Ron
作者单位：University of British Columbia
摘要：We theoretically and empirically investigate firm-level risk dynamics around seasoned equity offerings (SEOs). Empirically, beta increases before SEOs and decreases gradually thereafter. Using real options theory, commitment-to-invest generates a gradual post-issuance beta decline whereas instantaneous investment and time-to-build do not. In a behavioral theory, systematic mispricing can cause increasing pre-issuance and decreasing post-issuance risk but idiosyncratic mispricing cannot. In the...
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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：Kolari, James W.; Pynnonen, Seppo
作者单位：University of Vaasa; Texas A&M University System; Texas A&M University College Station
摘要：This article examines the issue of cross-sectional correlation in event studies. When there is event-date clustering, we find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns. We propose a new test statistic that modifies the t-statistic of Boehmer, Musumeci, and Poulsen (1991) to take into account cross-correlation and show that it performs well in competition with others, including the...
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作者：Gennaioli, Nicola; Rossi, Stefano
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Imperial College London
摘要：We study a demand-and-supply model of judicial discretion in corporate bankruptcy. On the supply side, we assume that bankruptcy courts may be biased for debtors or creditors, and subject to career concerns. On the demand side, we assume that debtors (and creditors) can engage in forum shopping at some cost. A key finding is that stronger creditor protection in reorganization improves judicial incentives to resolve financial distress efficiently, preventing a race to the bottom toward ineffici...
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作者：Hochberg, Yael V.; Lindsey, Laura
作者单位：Northwestern University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
摘要：We examine whether options granted to non-executive employees affect firm performance. Using new data on option programs, we explore the link between broad-based option programs, option portfolio implied incentives, and firm operating performance, utilizing an instrumental variables approach to identify causal effects. Firms whose employee option portfolios have higher implied incentives exhibit higher subsequent operating performance. Intuitively, the implied incentive-performance relation is...
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作者：Harris, Milton; Raviv, Artur
作者单位：University of Chicago; Northwestern University
摘要：This article addresses the issue of whether shareholders would be better off with enhanced control over corporate decisions. The issue has been hotly debated in the recent literature. Our main contribution is to use formal modeling to uncover some factors overlooked in these arguments. For example, we show that claims that shareholder control would reduce value because shareholders lack sufficient information to make important decisions or because they have a non-value-maximizing agenda are fl...
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作者：Butler, Alexander W.; Wan, Hong
作者单位：Rice University; State University of New York (SUNY) System; State University of New York (SUNY) - Oswego
摘要：Previous studies document that the stock returns of bond-issuing firms significantly underperform matched peers over the three to five years following issuance. We revisit this phenomenon and show that the underperformance is the result of an omitted return factor (a bad model problem). Debt issuers have significantly higher stock market liquidity than size and book-to-market matched counterparts, and differences in liquidity are largest for the worst-performing groups of issuers. When we addi...
