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作者：Page, T. Beau
作者单位：Tulane University
摘要：I present and estimate a dynamic model of chief executive officer (CEO) compensation and effort provision. I find that variation in CEO attributes explains the majority of variation in compensation (equity and total) but little of the variation in firm value. The primary drivers of cross-sectional compensation are risk aversion and influence on the board. Additionally, I estimate the magnitude of CEO agency issues. Removing CEO influence increases shareholder value in the typical firm by 1.74%...
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作者：Comerton-Forde, Carole; Malinova, Katya; Park, Andreas
作者单位：University of Toronto; University of Toronto; University Toronto Mississauga; University of Toronto
摘要：We examine the impact of a rule in the Canadian equities market that requires dark orders to offer price improvement over displayed orders. We show that this rule eliminated intermediation of retail orders in the dark and shifted retail orders onto the lit market with the lowest trading fee. Intermediaries shifted liquidity supply to this market leading to increased displayed liquidity. We conclude that reducing retail order segmentation enhances lit liquidity. Despite the improvement in liqui...
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作者：Bird, Andrew
作者单位：Carnegie Mellon University
摘要：Understanding the effects of taxes on executive compensation provides insight into the process determining this compensation and is a key input to top income tax rate policy. A 2010 tax reform in Canada, which greatly increased the effective tax rate on stock option compensation for a subset of firms, provides a natural experiment with which to address this issue. Difference-in-differences estimates suggest that this tax increase resulted in an immediate reduction in both stock option grants a...
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作者：Baranchuk, Nina; Rebello, Michael J.
作者单位：University of Texas System; University of Texas Dallas
摘要：We model debt restructurings that could endogenously end in bankruptcy, and study spillovers to competitors' operating decisions, profits, restructuring outcomes and security prices. We show that while bankruptcy could cause the firm's share price to drop, bankruptcy always signals good news about the firm. We identify the conditions under which a bankruptcy also signals good news about competitors. We demonstrate that when a firm's bankruptcy costs are relatively small, bankruptcy raises its ...
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作者：Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
作者单位：Yale University; Harvard University; California Institute of Technology; Harvard University
摘要：We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals-an average of the asset's past price changes and the asset's degree of overvaluation-and waver over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles, that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical ev...
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作者：Brav, Alon; Jiang, Wei; Ma, Song; Tian, Xuan
作者单位：Duke University; National Bureau of Economic Research; Columbia University; Yale University; Tsinghua University
摘要：This paper studies how hedge fund activism impacts corporate innovation. Firms targeted by activists improve their innovation efficiency over the five-year period following hedge fund intervention. Despite a tightening in research and development (R&D) expenditures, target firms increase innovation output, as measured by both patent counts and citations, with stronger effects among firms with more diversified innovation portfolios. Reallocation of innovative resources, redeployment of human ca...
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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：Abel, Andrew B.
作者单位：University of Pennsylvania
摘要：I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed -form expressions for the coefficients in regressions of investment on q and cash flow. The cash -flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated co...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; Stanford University; National Bureau of Economic Research
摘要：We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629-1812), UK (1813-1870), and US (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time varying. In part, this variation is related to the business ...
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作者：Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.
作者单位：New York University; Yale University; Copenhagen Business School; Vrije Universiteit Amsterdam; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its carry, an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from thes...
