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作者：Fried, Jesse M.; Kamar, Ehud; Yafeh, Yishay
作者单位：Harvard University; Tel Aviv University; Hebrew University of Jerusalem; European Corporate Governance Institute
摘要：A central challenge in the regulation of controlled firms is curbing rent extraction by controllers. As independent directors and fiduciary duties are often insufficient, some jurisdictions give minority shareholders veto rights over related-party transactions. To assess these rights' effectiveness, we exploit a 2011 Israeli reform that gave minority shareholders veto rights over related-party transactions, including the pay of controllers and their relatives (controller executives). We find t...
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作者：Bebchuk, Lucian A.; Brav, Alon; Jiang, Wei; Keusch, Thomas
作者单位：Harvard University; Duke University; Columbia University; INSEAD Business School
摘要：An important milestone often reached in the life of an activist engagement is entering into a settlement agreement between the activist and the target's board. Using a comprehensive hand-collected data set, we analyze the drivers, nature, and consequences of such settlement agreements. Settlements are more likely when the activist has a credible threat to win board seats in a proxy fight and when incumbents' reputation concerns are stronger. Consistent with incomplete contracting, face-saving ...
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作者：Kozak, Serhiy; Nagel, Stefan; Santosh, Shrihari
作者单位：University System of Maryland; University of Maryland College Park; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Colorado System; University of Colorado Boulder
摘要：We construct a robust stochastic discount factor (SDF) summarizing the joint explanatory power of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF coefficients that shrinks contributions of low-variance principal components of the candidate characteristics-based factors. We find that characteristics-sparse SDFs formed from a few such factors-e.g., t...
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作者：Kim, Hyunseob
作者单位：Cornell University
摘要：I examine how the labor market in which firms operate affects their capital structure decisions. Based on US Census Bureau data and information on companies' decisions to locate their new operations, I use a large plant opening as an abrupt increase in the size of a local labor market. I find that a new plant opening leads to an increase of 2.5-3.9 percentage points in the debt-to-capital ratio of existing firms in the winner county relative to the runner-up choice. This result is consistent w...
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作者：Kumar, Nitish; Mullally, Kevin; Ray, Sugata; Tang, Yuehua
作者单位：State University System of Florida; University of Florida; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa
摘要：We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The outperformance is particularly strong for trades of hedge funds that have high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the loan itself ...
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作者：Goldberg, Jonathan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper develops a novel measure of liquidity supply by broker-dealers using data on their trading positions in Treasury bonds and the deviations of Treasury yields from a fitted yield curve. The measure is informative about liquidity in other asset classes, including corporate bonds and equities. A decline in liquidity supply predicts reduced debt issuance and investment by nonfinancial firms and reduced aggregate economic activity. The sensitivity of liquidity, issuance, and investment to...
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作者：Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick; Jiang, Wei; Kartasheva, Anastasia
作者单位：Bank for International Settlements (BIS); Columbia University; Imperial College London; University of St Gallen; University of Pennsylvania
摘要：The promise of contingent convertible capital securities (CoCos) as a bail-in solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result...
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作者：Golubov, Andrey; Lasfer, Meziane; Vitkova, Valeriya
作者单位：University of Toronto; City St Georges, University of London
摘要：We use merger-induced changes to shareholder structure to test for active catering to dividend clienteles. Following mergers, acquirers adjust their dividend payout toward that of the target, but only when they inherit target shareholders through stock swaps. This adjustment is stronger when legacy shareholders are more influential and reveal a greater preference for dividends through portfolio holdings and trading behavior. Country-level differences in dividend taxes, governance quality, and ...
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作者：Jackwerth, Jens Carsten; Menner, Marco
作者单位：University of Konstanz; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE)
摘要：Starting with the fundamental relation that state prices are the product of physical probabilities and the stochastic discount factor, Ross (2015) shows that, given strong assumptions, knowing state prices suffices to back out physical probabilities and the stochastic discount factor at the same time. We find that such recovered physical distributions based on the S&P 500 index are incompatible with future returns and fail to predict future returns and realized variances. These negative result...
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作者：Patton, Andrew J.; Weller, Brian M.
作者单位：Duke University
摘要：Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. Unlike existing approaches, ours delivers estimates of all-in implementation costs without relying on parametric micr...
