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作者：Chari, Anusha; Ouimet, Paige P.; Tesar, Linda L.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：When a developed-country multinational firm acquires majority control of a firm in an emerging market, there is an economically large and statistically significant increase in the acquiring firm's stock price. In 1986-2006, developed-market acquirers experienced positive and significant abnormal returns of 1.16%, on average, over a three-day event window. Positive acquirer returns and dollar value gains appear unique to emerging-market mergers and acquisitions and are not replicated when the s...
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作者：Brealey, Richard A.; Cooper, Ian A.; Kaplanis, Evi
作者单位：University of London; London Business School
摘要：Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors rel...
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作者：Xiong, Wei; Yan, Hongjun
作者单位：Yale University; Princeton University; National Bureau of Economic Research
摘要：This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause agents to take on speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expect...
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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：Giat, Yahel; Hackman, Steven T.; Subramanian, Ajay
作者单位：University System of Georgia; Georgia State University; Jerusalem College of Technology; University System of Georgia; Georgia Institute of Technology
摘要：We develop a structural model to investigate the effects of asymmetric beliefs and agency conflicts on dynamic principal agent relationships. Optimism has a first-order effect on incentives, investments, and output, which could reconcile the private equity puzzle. Asymmetric beliefs cause optimal contracts to have features consistent with observed venture capital and research and development (R&D) contracts. We derive testable implications for the effects of project characteristics on contract...
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作者：Chien, YiLi; Lustig, Hanno
作者单位：Purdue University System; Purdue University; University of California System; University of California Los Angeles
摘要：We introduce limited liability in a model with a continuum of ex ante identical agents who face aggregate and idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit to honor their promises, and their shares in a Lucas tree serve as collateral to back up their state-contingent promises. The limited-liability option gives rise to a second risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by bindin...
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作者：Branch, William A.; Evans, George W.
作者单位：University of California System; University of California Irvine; University of Oregon; University of St Andrews
摘要：This article advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide a framework in which agents, in an asset pricing model, underparameterize their forecasting model in a spirit similar to Hong, Stein, and Yu (2007) and Barberis, Shleifer, and Vishny (1998), except that the parameters of the forecasting model and the choice of predictor ar...
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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：Hau, Harald; Massa, Massimo; Peress, Joel
作者单位：INSEAD Business School
摘要：Traditional portfolio balance theory derives a downward sloping currency demand function from limited international asset substitutability. Historically, this theory enjoyed little empirical support. We provide direct evidence by examining the exchange rate effect of a major redefinition of the MSCI Global Equity Index in 2001 and 2002. The index redefinition implied large changes in the representation of different countries in the MSCI Global Equity Index and therefore produced strong exogeno...
