2期

最新文章

• Inefficiencies and externalities from opportunistic acquirers AI翻译
  作者：Li, Di; Taylor, Lucian A.; Wang, Wenyu
  作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; University of Pennsylvania; Indiana University System; Indiana University Bloomington
  摘要：If opportunistic acquirers can buy targets using overvalued shares, then there is an inefficiency in the merger and acquisition (M&A) market: the most overvalued rather than the highest-synergy bidder may buy the target. We quantify this inefficiency using a structural estimation approach. We find that the M&A market allocates resources efficiently on average. Opportunistic bidders crowd out high-synergy bidders in only 7% of transactions, resulting in an average synergy loss equal to 9% of th...
• Interest rate volatility, the yield curve, and the macroeconomy AI翻译
  作者：Joslin, Scott; Konchitchki, Yaniv
  作者单位：University of Southern California; University of California System; University of California Berkeley
  摘要：This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between corporate earnings perfor...
• Bid anticipation, information revelation, and merger gains AI翻译
  作者：Wang, Wenyu
  作者单位：Indiana University System; Indiana University Bloomington
  摘要：Because firms' takeover motives are unobservable to investors, mergers are only partially anticipated and often appear as mixed blessings for acquirers. I construct and estimate a model to study the causes and consequences of bid anticipation and information revelation in mergers. Controlling for the market's reassessment of the acquirer's stand-alone value, I estimate that acquirers gain 4% from a typical merger. The total value of an active merger market averages 13% for acquirers, part of w...
• Leverage constraints and asset prices: Insights from mutual fund risk taking AI翻译
  作者：Boguth, Oliver; Simutin, Mikhail
  作者单位：Arizona State University; Arizona State University-Tempe; University of Toronto
  摘要：Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds intermediaries facing leverage restrictions captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly p...
• Are CEOs born leaders? Lessons from traits of a million individuals AI翻译
  作者：Adams, Renee; Keloharju, Matti; Knupfer, Samuli
  作者单位：University of New South Wales Sydney; Aalto University; BI Norwegian Business School
  摘要：What makes a successful CEO? We combine a near-exhaustive sample of male CEOs from Swedish companies with data on their cognitive and noncognitive ability and height at age 18. CEOs differ from other high-skill professions most in noncognitive ability. The median large-company CEO belongs to the top 5% of the population in the combination of the three traits. The traits have a monotonic and close to linear relation with CEO pay, but their correlations with pay, firm size, and CEO fixed effects...
• Does improved information improve incentives? AI翻译
  作者：Chaigneau, Pierre; Edmans, Alex; Gottlieb, Daniel
  作者单位：Queens University - Canada; Universite de Montreal; HEC Montreal; University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Washington University (WUSTL)
  摘要：This paper studies the value of more precise signals on agent performance in an optimal contracting model with endogenous effort. With limited liability, the agent's wage is increasing in output only if output exceeds a threshold, else it is zero regardless of output. If the threshold is sufficiently high, the agent only beats it, and is rewarded for increasing output through greater effort, if there is a high noise realization. Thus, a fall in output volatility reduces effort incentives infor...
• An intertemporal CAPM with stochastic volatility AI翻译
  作者：Campbell, John Y.; Giglio, Stefano; Polk, Christopher; Turley, Robert
  作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of London; London School Economics & Political Science
  摘要：This paper studies the pricing of volatility risk using the first-order conditions of a longterm equity investor who is content to hold the aggregate equity market instead of over weighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present nov...
• High frequency trading and extreme price movements AI翻译
  作者：Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin
  作者单位：University of Washington; University of Washington Seattle; Utah System of Higher Education; University of Utah; Queens University - Canada; Wilfrid Laurier University; University of Sydney; Rochester Institute of Technology; University of Memphis
  摘要：Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type high frequency traders (HFTs) around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little ...
• What makes the bonding stick? A natural experiment testing the legal bonding hypothesis AI翻译
  作者：Licht, Amir N.; Poliquin, Christopher; Siegel, Jordan I.; Li, Xi
  作者单位：Reichman University; University of California System; University of California Los Angeles; University of Michigan System; University of Michigan; University of Arkansas System; University of Arkansas Fayetteville
  摘要：We use a US Supreme Court case, Morrison v. National Australia Bank (2010), as a natural experiment to test the legal bonding hypothesis. By decreasing the potential liability of US-listed foreign firms, particularly due to class action lawsuits, Morrison arguably eroded their legal bonding to compliance with disclosure duties. Nevertheless, we find evidence of an increase or insignificant change in share values. Tests of longer-run effects of the legal event indicate that foreign firms' discl...
• Do elections delay regulatory action? AI翻译
  作者：Leverty, J. Tyler; Grace, Martin F.
  作者单位：University of Wisconsin System; University of Wisconsin Madison; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
  摘要：This paper investigates whether elections delay regulatory action against failing financial institutions by exploiting the cross-sectional and time-series heterogeneity in the exogenous electoral cycles of US insurance regulators and governors. We find causal evidence that regulators delay interventions before elections. The extent of the delay is larger for elected regulators than regulators appointed by the governor. Interventions by appointed regulators are less likely before competitive gu...