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作者：Polkovnichenko, Valery
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：This article explores the implications of additive and endogenous habit formation preferences in the context of a life-cycle model of an investor who has stochastic uninsurable labor income. To solve the model, I analytically derive the habit-wealth feasibility constraints and show that they depend on the worst possible path of future labor income and on the habit strength, but not on the probability of the worst income. When there is only a slim chance of a severe income shock, the model impl...
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作者：Mathews, Richmond D.
作者单位：Duke University
摘要：I show that firms may optimally sell blocks of their own equity to other firms in anticipation of future corporate control activity. In the model, a target and one potential acquirer, who may also be an alliance partner, can negotiate before synergy values are learned. I find that equity implements an optimal mechanism, allowing the partners to extract surplus from outside bidders who may arrive later. The stake is limited by the outsiders' willingness to investigate. The results imply that co...
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作者：Habib, Michel A.; Mella-Barral, Pierre
作者单位：University of Zurich; Hautes Etudes Commerciales (HEC) Paris
摘要：We analyze the role of knowhow acquisition in the formation and duration of joint ventures. Two parties become partners in a joint venture to benefit from each other's knowhow. Joint operations provide each party with the opportunity to acquire part of its partner's knowhow. A party's increased knowhow provides the impetus for the dissolution of the joint venture. We characterize the conditions under which dissolution takes place, identify the party that buys out its partner, determine the tim...
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作者：Foucault, Thierry; Moinas, Sophie; Theissen, Erik
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; University of Bonn; University of Cologne
摘要：We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid-ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid-ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As ...
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作者：Novy-Marx, Robert
作者单位：University of Chicago
摘要：We analyze the optimal investment decisions of heterogeneous firms in a competitive, uncertain environment, characterizing firms' investment strategies explicitly and deriving closed-form solutions for firm value. Real option premia remain significant, and are even unmitigated relative to the standard partial-equilibrium model when both are calibrated to observables. Firms consequently delay investment, choosing not to undertake some positive NPV projects. We compare competitive behavior to th...
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作者：Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Irvine; National Bureau of Economic Research
摘要：We conduct an analysis of the risk and return characteristics of a number of widely used fixed-income arbitrage strategies. We find that the strategies requiring more intellectual capital to implement tend to produce significant alphas after controlling for bond and equity market risk factors. These positive alphas remain significant even after taking into account typical hedge fund fees. In contrast with other hedge fund strategies, many of the fixed-income arbitrage strategies produce positi...
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作者：Moeller, Sara B.; Schlingemann, Frederik P.; Stulz, Rene M.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：We examine the theoretical predictions that link acquirer returns to diversity of opinion and information asymmetry. Theory suggests that acquirer abnormal returns should be negatively related to information asymmetry and diversity-of-opinion proxies for equity offers but not cash offers. We find that this is the case and that, more strikingly, there is no difference in abnormal returns between cash offers for public firms, equity offers for public firms, and equity offers for private firms af...
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作者：Povel, Paul; Singh, Rajdeep; Winton, Andrew
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Firms sometimes commit fraud by altering publicly reported information to be more favorable, and investors can monitor firms to obtain more accurate information. We study equilibrium fraud and monitoring decisions. Fraud is most likely to occur in relatively good times, and the link between fraud and good times becomes stronger as monitoring costs decrease. Nevertheless, improving business conditions may sometimes diminish fraud. We provide an explanation for why fraud peaks towards the end of...
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作者：Lyandres, Evgeny
作者单位：Rice University
摘要：This article proposes a new explanation for the large cross-sectional variation in the excess values of diversified firms. The model applies the idea of shareholders limited liability affecting firms output market strategies to the analysis of financial and operating choices of conglomerates. The inability of conglomerates to commit to unconstrained optimal operating strategies, following from the lack of flexibility in choosing their divisions capital structures, reduces their value. Thus, th...
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作者：Ingersoll, Jonathan; Spiegel, Matthew; Goetzmann, William; Welch, Ivo
作者单位：Yale University; Brown University
摘要：Numerous measures have been proposed to gauge the performance of active management. Unfortunately, these measures can be gamed. Our article shows that gaming can have a substantial impact on popular measures even in the presence of high transactions costs. Our article shows there are conditions under which a manipulation-proof measure exists and fully characterizes it. This measure looks like the average of a power utility function, calculated over the return history. The case for using our al...
