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作者：Stefanescu, Irina; Wang, Yupeng; Xie, Kangzhen; Yang, Jun
作者单位：Federal Reserve System - USA; Massachusetts Institute of Technology (MIT); Seton Hall University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Large US firms modify top executives' compensation before pension-related events. Top executives receive one-time increases in pensionable earnings through higher annual bonuses one year before a plan freeze and one year before retirement. Firms also boost pension payouts by lowering plan discount rates when top executives are eligible to retire with lump-sum benefit distributions. Increases in executive pensions do not appear to be an attempt to improve managerial effort or retention and are ...
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作者：Gornall, Will; Strebulaev, Ilya A.
作者单位：University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We develop a model of the joint capital structure decisions of banks and their borrowers. Bank leverage of 85% or higher emerges because bank seniority both dramatically reduces bank asset volatility and incentivizes risk-taking by producing a skewed return distribution. Nonfinancial firms choose low leverage to protect their banks, presenting a partial resolution to the low-leverage puzzle. Our setup naturally extends to include government actions as we model bank assets using a modified Base...
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作者：Brenner, Menachem; Izhakian, Yehuda
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We introduce ambiguity in conjunction with risk to study the relation between risk, ambiguity, and expected returns. Distinguishing between ambiguity and attitudes toward ambiguity, we develop an empirical methodology for measuring the degree of ambiguity and for assessing attitudes toward ambiguity from market data. The main findings indicate that ambiguity in the equity market is priced. Introducing ambiguity alongside risk provides stronger evidence on the role of risk in explaining expecte...
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作者：Chen, Yong; Eaton, Gregory W.; Paye, Bradley S.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Oklahoma State University System; Oklahoma State University - Stillwater; Virginia Polytechnic Institute & State University
摘要：This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926-2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies into a component capturing aggregate volatility and a residual. The predictive content of these components differs in important ways. Specifically, we find strong evidence that the component of illiquidity ...
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作者：Landoni, Mattia
作者单位：Southern Methodist University
摘要：Original issue premium (OIP) bonds are the norm in the US tax-exempt market but very rare in the taxable market. A tax subsidy helps explain this disparity. Unlike bonds issued at par or discount, the price of OIP bonds can fall and yet remain above par, providing secondary market buyers with more tax-exempt coupon and less taxable market discount gain. The subsidy for OIP bonds explains additional, previously undocumented empirical facts. In a calibration exercise, the subsidy's expected cost...
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作者：Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
作者单位：Nanjing University; Nanjing University; University of California System; University of California Los Angeles
摘要：We examine the notion that financial products which cater to investors' behavioral biases can yield high trading activity and thus be profitable for issuers. Our setting considers options with a callback feature, namely, callable bull/bear contracts (CBBCs). Such contracts have high skewness when close to callback and thus appeal to cumulative prospect theory preferences. CBBCs with high skewness earn negative average returns, and issuers' gross profits vary positively with CBBC skewness. Over...
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作者：Lerner, Josh; Schoar, Antoinette; Sokolinski, Stanislav; Wilson, Karen
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Organisation for Economic Co-operation & Development (OECD)
摘要：This paper examines the role of investments by angel groups across a heterogeneous set of 21 countries with varying entrepreneurship ecosystems. Exploiting quasi-random assignment of deals around the groups' funding thresholds, we find a positive impact of funding on firm growth, performance, survival, and follow-on fundraising, which is independent of the level of venture activity and entrepreneur-friendliness in the country. However, the maturity of startups that apply for funding (and are u...
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作者：Adams, Renee B.; Akyol, Ali C.; Verwijmeren, Patrick
作者单位：University of New South Wales Sydney; University of Melbourne; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Directors are not one-dimensional. We characterize their skill sets by exploiting Regulation S-K's 2009 requirement that U.S. firms must disclose the experience, qualifications, attributes, or skills that led the nominating committee to choose an individual as a director. We then examine how skills cluster on and across boards. Factor analysis indicates that the main dimension along which boards vary is in the diversity of skills of their directors. We find that firm performance increases when...
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作者：Bessembinder, Hendrik
作者单位：Arizona State University; Arizona State University-Tempe
摘要：The majority of common stocks that have appeared in the Center for Research in Security Prices (CRSP) database since 1926 have lifetime buy-and-hold returns less than one-month Treasuries. When stated in terms of lifetime dollar wealth creation, the best-performing 4% of listed companies explain the net gain for the entire US stock market since 1926, as other stocks collectively matched Treasury bills. These results highlight the important role of positive skewness in the distribution of indiv...
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作者：Baloria, Vishal P.; Heese, Jonas
作者单位：Boston College; Harvard University
摘要：The media can impose reputational costs on firms because of its important role as an information intermediary and its ability to negatively slant coverage. We exploit a quasi-natural experiment that holds constant the information event across firms but varies the availability of a major news outlet in local markets. We find that firms subject to the threat of slanted coverage suppress the release of negative information before the event and release it subsequently. Our results are consistent w...
