-
作者：Caskey, Judson A.
作者单位：University of California System; University of California Los Angeles
摘要：This paper shows that persistent mispricing is consistent with a market that includes ambiguity-averse investors. In particular, ambiguity-averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Equilibrium prices may therefore fail to impound publicly available information. While this creates profit opportunities for ambiguity-neutral investors, ambiguity-averse investors perceive that the benefit of ambiguity reduction outwe...
-
作者：Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：Emory University; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic dependence of illiquidity on more primitive drivers such as trading activity and information asymmetry. More specifically, we estimate illiquidity using structural formulae in line with Kyle's (1985) lambd...
-
作者：Cremers, K. J. Martijn; Petajisto, Antti
作者单位：Yale University
摘要：We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share significantly outperform t...
-
作者：Linck, James S.; Netter, Jeffry M.; Yang, Tina
作者单位：Clemson University; University System of Georgia; University of Georgia
摘要：Using eight thousand public companies, we study the impact of the Sarbanes-Oxley Act (SOX) of 2002 and other contemporary reforms on directors and boards, guided by their impact on the supply and demand for directors. SOX increased directors' workload and risk (reducing the supply), and increased demand by mandating that firms have more outside directors. We find both broad-based changes and cross-sectional changes (by firm size). Board committees meet more often post-SOX and Director and Offi...
-
作者：Bernardo, Antonio E.; Cai, Hongbin; Luo, Jiang
作者单位：University of California System; University of California Los Angeles; Peking University; Peking University; Nanyang Technological University
摘要：We examine the problem of motivating privately informed managers to engage in entrepreneurial activity to improve the quality of the firm's investment opportunities. The firm's investment and compensation policy must balance the manager's incentives to provide entrepreneurial effort and to report private information truthfully. The optimal policy is to underinvest (compared to first-best) and provide weak incentive pay in low-quality projects and overinvest (compared to first-best) and provide...
-
作者：Bebchuk, Lucian; Cohen, Alma; Ferrell, Allen
作者单位：Harvard University; Tel Aviv University
摘要：We investigate the relative importance of the twenty-four provisions followed by the Investor Responsibility Research Center (IRRC) and included in the Gompers, Ishii, and Metrick governance index (Gompers, Ishii, and Metrick 2003). We put forward an entrenchment index based on six provisions: staggered boards, limits to shareholder bylaw amendments, poison pills, golden parachutes, and supermajority requirements for mergers and charter amendments. We find that increases in the index level are...
-
作者：Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi
作者单位：New York University
摘要：We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, 2004), which produces reduced-bias coefficients and is easy to implement. The method's usefulness is demonstrated by simulations and by testing a model where stock returns are predicted by two variables, income-to-consumption and dividend yi...
-
作者：Park, Kwangwoo; Pennacchi, George
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Korea Advanced Institute of Science & Technology (KAIST)
摘要：A model of multimarket spatial competition is developed where small, single-market banks compete with large, multimarket banks (LMBs) for retail loans and deposits. Consistent with empirical evidence, LMBs are assumed to set retail interest rates uniformly across markets, have different operating costs, and have access to wholesale funding. If LMBs have significant funding advantages that offset potential loan operating cost disadvantages, then market-extension mergers by LMBs promote loan com...
-
作者：Li, C. Wei; Tiwari, Ashish
作者单位：Louisiana State University System; Louisiana State University; University of Iowa
摘要：This article analyzes optimal nonlinear portfolio management contracts. We consider a setting in which the investor faces moral hazard with respect to the effort and risk choices of the portfolio manager. The employment contract promises the manager: (i) a fixed payment, (ii) a proportional asset-based fee, (iii) a benchmark-linked fulcrum fee, and (iv) a benchmark-linked option-type bonus incentive fee. We show that the option-type incentive helps overcome the effort-underinvestment problem t...
-
作者：Bessembinder, Hendrik; Kahle, Kathleen M.; Maxwell, William F.; Xu, Danielle
作者单位：Southern Methodist University; Utah System of Higher Education; University of Utah; University of Arizona; Gonzaga University
摘要：We analyze the empirical power and specification of test statistics designed to detect abnormal bond returns in corporate event studies, using monthly and daily data. We find that test statistics based on frequently used methods of calculating abnormal monthly bond returns are biased. Most methods implemented in monthly data also lack power to detect abnormal returns. We also consider unique issues arising when using the newly available daily bond data, and formulate and test methods to calcul...
