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作者：Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng
作者单位：University of Lausanne; University of Geneva; Shandong University; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performan...
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作者：Bai, John (Jianqiu); Ma, Linlin; Mullally, Kevin A.; Solomon, David H.
作者单位：Northeastern University; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; University of Alabama System; University of Alabama Tuscaloosa; Boston College; State University System of Florida; University of Central Florida
摘要：Many US states have a single cutoff date for school entry, meaning that some children are older than others when they begin kindergarten. We show that this variation in birth months is associated with differences in adult labor market outcomes in the mutual fund industry. Relatively older managers (i.e., those born just after the cutoff) make better stock selections, and their funds outperform their younger peers' funds by 0.48% per annum. This difference is linked to increased confidence. Sur...
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作者：Lin, Leming; Mihov, Atanas; Sanz, Leandro; Stoyanova, Detelina
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Federal Reserve System - USA; Federal Reserve Bank - Richmond; State University System of Florida; Florida State University
摘要：We study the effect of property rights institutions in host countries, the institutions protecting investors from expropriation by host country agents, on the geographic structure and valuation of US multinational corporations (MNCs). We provide firm-level evidence that better property rights attract investment from MNCs. We disentangle the effects of the Stulz (2005) twin agency problems in the context of foreign direct investment and show that our results are not driven by legal institutions...
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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：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：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：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...
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作者：Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu
作者单位：Central University of Finance & Economics; University System of Georgia; University of Georgia; Washington University (WUSTL)
摘要：This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample Res of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existi...
