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作者：Harris, Milton; Raviv, Artur
作者单位：University of Chicago; Northwestern University
摘要：This article presents a model of optimal control of corporate boards of directors. We determine when one would expect inside versus outside directors to control the board, when the controlling party will delegate decision-making to the other party, the extent of communication between the parties, and the number of outside directors. We show that shareholders can sometimes be better off with an insider-controlled board. We derive endogenous relationships among profits, board control, and the nu...
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作者：Gan, Jie; Riddiough, Timothy J.
作者单位：Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Madison
摘要：Information advantage and entry deterrence incentives are investigated as they affect lending outcomes and competitive structure of the U. S. residential mortgage market. In the model, when assessing a loan applicant, the incumbent monopoly lender employs a proprietary screening technology to produce a privately observed estimate of loan credit quality. When faced with potential competitive entry, the incumbent signals poor credit quality by charging high prices to higher-quality borrowers. Ma...
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作者：Cumming, Douglas
作者单位：York University - Canada
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作者：Bharath, Sreedhar T.; Shumway, Tyler
作者单位：University of Michigan System; University of Michigan
摘要：We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a naive alternative, which uses the functional form suggested by the Merton model but does not solve the model for an implied probability of default. We find that the naive predictor performs slightly better in hazard models and in out-of-sample forecasts than both the Merton DD model and a reduced-form model that uses the same inp...
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作者：Hvidkjaer, Soeren
作者单位：INSEAD Business School; University System of Maryland; University of Maryland College Park
摘要：This paper uses volume arising from small trades to analyze the relationship between retail investor trading behavior and the cross-section of future stock returns. The central finding is that stocks with intense sell-initiated small-trade volume, measured over the past several months, outperform stocks with intense buy-initiated small-trade volume. This return difference accrues from the first month after the portfolio formation up to two years later. Among small- and medium-sized firms, the ...
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作者：Leippold, Markus; Trojani, Fabio; Vanini, Paolo
作者单位：Imperial College London; University of St Gallen
摘要：In a Lucas exchange economy with standard power utility, we study asset prices under learning and ambiguous information. In contrast with models featuring only learning or ambiguity, our model is successful in matching the equity premium, the interest rate, and the volatility of stock returns under empirically reasonable parameters. Our closed-form formulas also show that a severe downward bias arises in the empirical relation between stock returns and return volatility. We quantify this bias ...
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作者：Bradley, Daniel J.; Jordan, Bradford D.; Ritter, Jay R.
作者单位：Clemson University; University of Kentucky; State University System of Florida; University of Florida
摘要：We examine over 7400 analyst recommendations made in the year after going public for IPOs from 1999 to 2000. Initiations of coverage at the end of the quiet period come almost exclusively from affiliated analysts, whereas initiations afterward are predominantly from unaffiliated analysts. Contrary to previous findings, we find no evidence that the market discounts recommendations from affiliated analysts once we control for recommendation characteristics and timing. Moreover, analyst coverage ...
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作者：Huang, Jennifer
作者单位：University of Texas System; University of Texas Austin
摘要：We analyze an intertemporal portfolio problem with both taxable and tax-deferred retirement accounts. Using a tax-arbitrage argument, we identify conditions under which the optimal location decision (where to place an asset) is separable from the allocation decision (how much to allocate to each asset). Investors place highly taxed assets in the tax-deferred account to maximize the tax benefit and adjust their taxable portfolios to achieve the optimal risk exposure. We show that the two-accoun...
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作者：Campbell, John Y.; Thompson, Samuel B.
作者单位：Harvard University; National Bureau of Economic Research
摘要：Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess stock returns better than regressions of excess returns on predictor variables. In this article, we show that many predictive regressions beat the historical average return, once weak restrictions are imposed on the signs of coefficients and return forecasts. The out-of-sample explanatory power is small, but nonetheless is economically meaningful for mean-variance investors. Even better results...
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作者：Hellmann, Thomas; Lindsey, Laura; Puri, Manju
作者单位：Duke University; National Bureau of Economic Research; University of British Columbia; Arizona State University; Arizona State University-Tempe
摘要：This paper examines bank behavior in venture capital. It considers the relation between a bank's venture capital investments and its subsequent lending, which can be thought of as intertemporal cross-selling. Theory suggests that unlike independent venture capital firms, banks may be strategic investors who seek complementarities between venture capital and lending activities. We find evidence that banks use venture capital investments to build lending relationships. Having a prior relationshi...
