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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...
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作者：Bergstresser, Daniel; Chalmers, John M. R.; Tufano, Peter
作者单位：Harvard University; University of Oregon; National Bureau of Economic Research
摘要：Many investors purchase mutual funds through intermediated channels, paying brokers or financial advisors for fund selection and advice. This article attempts to quantify the benefits that investors enjoy in exchange for the costs of these services. We study broker-sold and direct-sold funds from 1996 to 2004, and fail to find that brokers deliver substantial tangible benefits. Relative to direct-sold funds, broker-sold funds deliver lower risk-adjusted returns, even before subtracting distrib...
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作者：Cronqvist, Henrik; Fahlenbrach, Ruediger
作者单位：University System of Ohio; Ohio State University
摘要：We analyze the effects of heterogeneity across large shareholders, using a new blockholder-firm panel dataset in which we can track all unique blockholders among large public firms in the United States. We find statistically significant and economically important blockholder fixed effects in investment, financial, and executive compensation policies. We also find blockholder fixed effects in firm performance measures, and differences in corporate policies are systematically related to differen...
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作者：Ljungqvist, Alexander; Marston, Felicia; Wilhelm, William J., Jr.
作者单位：New York University; University of Virginia
摘要：We show that relatively optimistic research and even the mere provision of research coverage for the issuer (regardless of its direction) attract co-management appointments for securities offerings. Co-management appointments are valuable because they help banks establish relationships with issuers. These relationships, in turn, substantially increase the banks' chances of winning more lucrative lead-management mandates in the future. This is true even in the presence of historically exclusive...
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作者：Giannetti, Mariassunta; Laeven, Luc
作者单位：Stockholm School of Economics; Tilburg University
摘要：Sweden offers a unique natural experiment to analyze the effects of institutionalized saving on the ownership structure, corporate governance, and firm performance. The Swedish pension reform increased the stock market participation of pension funds, causing a significant reshuffling in the ownership of pension funds. We show that the effects of institutional investment on firm performance depend on the industry structure of pension funds. Firm valuation improves if public pension funds and la...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M.
作者单位：Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); New York University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of the unhedgeable parts of the two options. Empirically, we identify aggregate positions of dealers and end-users using a unique dataset, and show that demand-pressure ef...
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作者：Ali, Ashiq; Klasa, Sandy; Yeung, Eric
作者单位：University of Arizona; University of Texas System; University of Texas Dallas; University System of Georgia; University of Georgia
摘要：Industry concentration measures calculated with Compustat data, which cover only the public firms in an industry, are poor proxies for actual industry concentration. These measures have correlations of only 13% with the corresponding U.S. Census measures, which are based on all public and private firms in an industry. Also, only when U.S. Census measures are used is there evidence consistent with theoretical predictions that more-concentrated industries, which should be more oligopolistic, are...
