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作者：Denis, David J.; McKeon, Stephen B.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Oregon; University of Oregon
摘要：Firms with negative net cash flows (NCFs) play an empirically important role in recent decades' increase in the average cash-balance ratio of publicly held non-financial firms. Since 1971, negative NCFs have become much more pervasive, persistent, and greater in magnitude, and these patterns hold within the growing set of firms that have high intan-gible capital. In recent years, firms with negative NCFs tend to build cash balances through frequent equity offerings. The high cash balances tend...
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作者：Francis, Bill B.; Hasan, Iftekhar; Shen, Yinjie (Victor); Wu, Qiang
作者单位：Rensselaer Polytechnic Institute; Fordham University; Bank of Finland; University of Sydney; University System of Ohio; Cleveland State University; Hong Kong Polytechnic University
摘要：Using a comprehensive US hedge fund activism dataset from 2003 to 2018, we find that ac-tivist hedge funds are about 52% more likely to target firms with female CEOs compared to firms with male CEOs. We find that firm fundamentals, the existence of a glass cliff, gen -der discrimination bias, and hedge fund activists' inherent characteristics do not explain the observed gender effect. We also find that the transformational leadership style of fe -male CEOs is a plausible explanation for this g...
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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Keloharju, Matti; Linnainmaa, JuhaniT.; Nyberg, Peter
作者单位：Aalto University; Centre for Economic Policy Research - UK; Research Institute of Industrial Economics (IFN); Dartmouth College; National Bureau of Economic Research
摘要：Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Sea...
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作者：Rosch, Dominik
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：I study how arbitrage affects liquidity by analyzing several billion trades in the American Depositary Receipt (ADR) market from 2001 to 2016. Price deviations persist, on average, for 12 min, and mainly arise because of price pressure. Impulse response functions estimated at 1 min intervals indicate that a positive shock to arbitrage-simultaneous trades of the ADR and the home-market share in the opposite direction-decreases deviations and bid-ask spreads. I confirm these findings by exploiti...
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作者：Gronborg, Niels S.; Lunde, Asger; Timmermann, Allan; Wermers, Russ
作者单位：Aarhus University; Danish Finance Institute; University of California System; University of California San Diego; Aarhus University; CREATES; University System of Maryland; University of Maryland College Park
摘要：We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology determines both the number of skilled funds and their identities, and locates funds with substantially higher risk-adjusted returns than those identified by conventional alpha-ranking methods. We find strong evidence of time-series variation in bo...
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作者：Johnson, Travis L.; Swem, Nathan
作者单位：University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputationbuilding incentives explain 20% of campaign initiations and 1...
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作者：Degryse, Hans; Karapetyan, Artashes; Karmakar, Sudipto
作者单位：KU Leuven; ESSEC Business School; Bank of England
摘要：We exploit the 2011 EBA Capital exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital. This experiment makes secured lending for the affected banks more attractive vis-a-vis unsecured lending, because secured loans require less regulatory capital. Using loan-level data covering the universe of bank loans in Portugal, we identify how banks require collateral on new loans when facing higher capital requirements: relative to the control group, t...
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作者：Maurer, Thomas; Tran, Ngoc-Khanh
作者单位：University of Hong Kong; Virginia Polytechnic Institute & State University
摘要：We introduce the concept of risk entanglement in a preference-free setting to jointly explain the exchange rate volatility, cyclicality, and currency risk premia in the data. Risk entanglement specifies a subset of incomplete market models, in which nondiffusive or nonlog-normal shocks to exchange rates are not fully spanned by asset returns. When risks are entangled, there exist multiple pricing-consistent exchange rates, but none of them are equal to the ratio of the stochastic discount fact...
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作者：Barattieri, Alessandro; Moretti, Laura; Quadrini, Vincenzo
作者单位：University of Quebec; University of Quebec Montreal; European Central Bank; University of Southern California; Peking University; Center for Economic & Policy Research (CEPR); European Central Bank; Central Bank of Ireland
摘要：Banks' funding sources have changed significantly during the last two decades. The share of non-core funding (NCF) was high before the 2008 crisis but declined substantially after the crisis. We propose a general equilibrium model where NCF provides insurance against idiosyncratic risks faced by banks. Insurance makes leverage and investment more attractive, but it also increases the vulnerability of the banking sector to crises. We show that learning about the likelihood of a crisis could hav...
