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作者：Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, Ilya A.
作者单位：University of British Columbia; Carnegie Mellon University; Stanford University
摘要：We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy, which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents opti...
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作者：Bond, Philip; Goldstein, Itay; Prescott, Edward Simpson
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：Many economic agents take corrective actions based on information inferred from market prices of firms' securities. Examples include directors and activists intervening in the management of firms and bank supervisors taking actions to improve the health of financial institutions. We provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing...
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作者：Ferreira, Miguel A.; Massa, Massimo; Matos, Pedro
作者单位：University of Southern California; Universidade Nova de Lisboa
摘要：We study the role of institutional investors in cross-border mergers and acquisitions (M&As). We find that foreign institutional ownership is positively associated with the intensity of cross-border M&A activity worldwide. Foreign institutional ownership increases the probability that a merger deal is cross-border, successful, and the bidder takes full control of the target firm. This relation is stronger in countries with weaker legal institutions and in less developed markets, suggesting som...
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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：Seru, Amit; Shumway, Tyler; Stoffman, Noah
作者单位：University of Michigan System; University of Michigan; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find evidence of two types of learning: some investors become better at trading with experience, while others stop trading after realizing that their ability is poor. A substantial part of overall learning by trading is explained by the second...
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作者：Goel, Anand M.; Thakor, Anjan V.
作者单位：Washington University (WUSTL); DePaul University
摘要：We develop a theory which shows that merger waves can arise even when the shocks that precipitated the initial mergers in the wave are idiosyncratic. The analysis predicts that the earlier acquisitions produce higher bidder returns, involve smaller targets, and result in higher compensation gains for the acquirer's top management team than the later acquisitions in the wave. We find strong empirical support for these predictions. The model also generates additional predictions, some of which r...
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作者：Ozbas, Oguzhan; Scharfstein, David S.
作者单位：University of Southern California; Harvard University; National Bureau of Economic Research
摘要：This article documents differences between the Q-sensitivity of investment of stand-alone firms and unrelated segments of conglomerate firms. Unrelated segments exhibit lower Q-sensitivity of investment than stand-alone firms. This fact is driven by unrelated segments of conglomerate firms that tend to invest less than stand-alone firms in high-Q industries. This finding is robust to matching on industry, year, size, age, and profitability. The differences are more pronounced in conglomerates ...
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作者：Rapach, David E.; Strauss, Jack K.; Zhou, Guofu
作者单位：Washington University (WUSTL); Saint Louis University
摘要：Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting ability of individual predictive regression models, we recommend combining individual forecasts. Combining delivers statistically and economically significant out-of-sample gains relative to the historical...
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作者：Haselmann, Rainer; Pistor, Katharina; Vig, Vikrant
作者单位：University of London; London Business School; Columbia University; Johannes Gutenberg University of Mainz
摘要：The paper investigates the effect of legal change on the lending behavior of banks in twelve transition economies. First, we find that banks increase the supply of credit subsequent to legal change. Second, changes in collateral law matter more for increases in bank lending than do changes in bankruptcy law. We attribute this finding to the different functions of collateral and bankruptcy law. While the former enhances the likelihood that individual creditors can realize their claims against a...
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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...
