-
作者：Basak, Suleyman; Pavlova, Anna; Shapiro, Alexander
作者单位：University of London; London Business School; New York University
摘要：This article investigates a fund manager's risk-taking incentives induced by an increasing and convex relationship of fund flows to relative performance. In a dynamic portfolio choice framework, we show that the ensuing convexities in the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk tolerance. In the...
-
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 ...
-
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...
-
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...
-
作者：Hackbarth, Dirk; Hennessy, Christopher A.; Leland, Hayne E.
作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We examine the optimal mixture and priority structure of bank and market debt using a trade-off model in which banks have the unique ability to renegotiate outside formal bankruptcy. Flexible bank debt offers a superior trade-off between tax shields and bankruptcy costs. Ease of renegotiation limits bank debt capacity, however. Optimal debt structure hinges upon which party has bargaining power in private workouts. Weak firms have high bank debt capacity and utilize bank debt exclusively. Stro...
-
作者：Almeida, Heitor; Campello, Murillo
作者单位：New York University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Pledgeable assets support more borrowing, which allows for further investment in pledgeable assets. We use this credit multiplier to identify the impact of financing frictions on corporate investment. The multiplier suggests that investment-cash flow sensitivities should be increasing in the tangibility of firms' assets (a proxy for pledgeability), but only if firms are financially constrained. Our empirical results confirm this theoretical prediction. Our approach is not subject to the Kaplan...
-
作者：Cremers, K. J. Martijn; Nair, Vinay B.; Wei, Chenyang
作者单位：Yale University; University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We investigate the effects of shareholder governance mechanisms on bondholders and document two new findings. First, the impact of shareholder control (proxied by large institutional blockholders) on credit risk depends on takeover vulnerability. Shareholder control is associated with higher (lower) yields if the firm is exposed to (protected from) takeovers. In the presence of shareholder control, the difference in bond yields due to differences in takeover vulnerability can be as high as 66 ...
