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作者：Bodnaruk, Andriy; Kandel, Eugene; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; Maastricht University; Hebrew University of Jerusalem; Stockholm School of Economics
摘要：We study the effects of the controlling shareholders' portfolio diversification on the initial public offering (IPO) process. Less diversified shareholders have more to gain from taking their firm public, and are more willing to accept a lower price for shares. We test these hypotheses using the data on all IPOs in Sweden between 1995 and 2001. Using detailed information on the portfolio composition of shareholders in private and public firms, we construct several proxies of their portfolio di...
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作者：Liu, Laura Xiaolei; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Hong Kong University of Science & Technology; National Bureau of Economic Research
摘要：Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits.
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作者：Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu
作者单位：University of Texas System; University of Texas Austin; University of British Columbia; National Bureau of Economic Research; University of California System; University of California Irvine
摘要：Despite extensive disclosure requirements, mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap-the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value, while such actions of other funds destroy value. Our main result shows that the return gap pred...
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作者：Lyandres, Evgeny; Sun, Le; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Rice University; University of Rochester; National Bureau of Economic Research
摘要：An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titman's (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significa...
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作者：Vanden, Joel M.
作者单位：Dartmouth College
摘要：Microstructure researchers have long understood that information quality has an effect on price formation in the underlying asset market. However, option researchers have largely ignored the fact that information quality might also impact the options market. This article characterizes the nature of the impact by showing how option prices and implied volatility levels are related to the forward looking information quality path. This result follows from a noisy rational expectations model that a...
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作者：Desai, Mihir A.; Foley, C. Fritz; Forbes, Kristin J.
作者单位：Harvard University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This article examines how financial constraints and product market exposures determine the response of multinational and local firms to sharp depreciations. U. S. multinational affiliates increase sales, assets, and investment significantly more than local firms during, and subsequent to, depreciations. Differing product market exposures do not explain these differences in performance. Instead, a differential ability to circumvent financial constraints is a significant determinant of the obser...
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作者：Garlappi, Lorenzo; Shu, Tao; Yan, Hong
作者单位：University of Texas System; University of Texas Austin; University System of Georgia; University of Georgia; University of South Carolina System; University of South Carolina Columbia
摘要：This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity holders and debt holders in default, we show that the relationship between default probability and equity return is (i) upward sloping for firms where shareholders can extract little benefit from renegotiation ...
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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：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：David, Alexander
作者单位：University of Calgary
摘要：Investors' learning of the state of future real fundamentals from current inflation leads to macroeconomic state dependence of asset valuations and solvency ratios of firms within given rating categories. Since credit spreads are convex functions of solvency ratios, average spreads are higher than spreads at average solvency ratios. Macroeconomic shocks carry risk premiums so that expected default losses are more sensitive to changes in the price of risk than are credit spreads. By incorporati...
