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作者：Lu, Zhongjin; Murray, Scott
作者单位：University System of Georgia; University of Georgia; University System of Georgia; Georgia State University
摘要：We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor's (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta...
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作者：Ivashina, Victoria; Lerner, Josh
作者单位：Harvard University; National Bureau of Economic Research
摘要：The economics of partnerships have been of enduring interest to economists, yet it is not clear what profit sharing within a private partnership should look like. We examine over 700 private equity partnerships and show that the allocation of fund economics to individual partners varies drastically, even among the most senior partners, and appears divorced from past success as an investor, being instead related to status as a founder. A smaller share of carried interest and ownership and inequ...
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作者：Akiyoshi, Fumio
作者单位：Kwansei Gakuin University
摘要：This study investigates how firms are affected by the separation of commercial and investment banking, using unique data from the dissolution of Japan's Daiwa Securities SMBC, a joint venture investment bank. This event prevented its client firms from receiving a combination of lending and underwriting services. After the dissolution, these firms experienced a sharper decline in market value, more frequent switching of seasoned equity offering (SEO) underwriters, and the disappearance of lower...
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作者：Brancati, Emanuele; Macchiavelli, Marco
作者单位：Parthenope University Naples; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We empirically show the dynamics of information production and information sensitivity of bank debt around the Great Recession. As more precise information is produced at the onset of the crisis, bank debt becomes informationally sensitive, along two separate dimensions. First, precise information amplifies the effect of market expectations on default risk; second, for banks that are already expected to perform poorly, more precise information further increases default risk. Both effects are m...
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作者：Hameed, Allaudeen; Xie, Jing
作者单位：National University of Singapore; Hong Kong Polytechnic University
摘要：Stocks that initiate dividends tend to comove more with other dividend-paying stocks and comove less with non-dividend payers. This is also true for: (a) dividend initiations that are motivated by the exogenous 2003 dividend tax cut; and (b) the cash dividend share class of Citizens Utilities (relative to its stock dividend class). We find that flows to dividend prone (averse) mutual funds increase the comovement among dividend-paying (non dividend paying) stocks. Overall, the evidence support...
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作者：Kapadia, Nishad; Zekhnini, Morad
作者单位：Tulane University
摘要：We show that idiosyncratic jumps are a key determinant of mean stock returns from both an ex post and ex ante perspective. Ex post, the entire annual average return of a typical stock accrues on the four days on which its price jumps. Ex ante, idiosyncratic jump risk earns a premium: a value-weighted weekly long-short portfolio that buys (sells) stocks with high (low) predicted jump probabilities earns annualized mean returns of 9.4% and four-factor alphas of 81%. This strategy's returns are l...
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作者：Sun, Lin; Teo, Melvyn
作者单位：Fudan University; Fudan University; Singapore Management University
摘要：Hedge funds managed by listed firms significantly under-perform funds managed by unlisted firms. The under-performance is more severe for funds with low manager deltas, poor governance, and no manager co-investment, or those managed by firms whose prices are sensitive to earnings news. Notwithstanding the under-performance, listed asset management firms raise more capital, by growing existing funds and launching new funds post listing, and harvest greater fee revenues than do comparable unlist...
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作者：Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca
作者单位：Otto von Guericke University; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Hautes Etudes Commerciales (HEC) Paris; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Credit default swaps (CDSs) can create empty creditors who potentially force borrowers into inefficient bankruptcy but also reduce shareholders' incentives to default strategically. We show theoretically and empirically that the presence and the effects of empty creditors on firm outcomes depend on the distribution of bargaining power among claimholders. If creditors would face powerful shareholders in debt renegotiation, firms are more likely to face the empty creditor problem. The empirical ...
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作者：Atmaz, Adem; Basak, Suleyman
作者单位：Purdue University System; Purdue University; University of London; London Business School
摘要：Much empirical evidence shows that stock short-selling costs and bans have significant effects on option prices. We reconcile these findings by providing a dynamic analysis of option prices with costly short-selling and option market makers. We obtain simple, closed-form, unique option bid and ask prices that represent option market makers' expected hedging costs, and are weighted averages of well-known benchmark prices (Black-Scholes, Heston). Our analysis delivers rich implications that supp...
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作者：Hanselaar, Rogier M.; Stulz, Rene M.; van Dijk, Mathijs A.
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Using quarterly data on initial public offerings (IPOs) and seasoned equity offerings (SEOs) for 37 countries from 1995 to 2014, we show that changes in equity issuance are positively related to lagged changes in aggregate local stock market liquidity. This relation is as economically significant as the well-known relation between equity issuance and lagged stock returns. It survives the inclusion of proxies for market timing, capital market conditions, growth prospects, asymmetric information...
