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作者：Malamud, Semyon; Vilkov, Grigory
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of Geneva; Frankfurt School Finance & Management
摘要：An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding const...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability ...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; Columbia University; European Corporate Governance Institute
摘要：We develop a theory of banking that explains why banks started out as commodities warehouses. We show that warehouses become banks because their superior storage technology allows them to enforce the repayment of loans most effectively. Further, interbank markets emerge endogenously to support this enforcement mechanism. Even though warehouses store deposits of real goods, they make loans by writing new fake warehouse receipts, rather than by taking deposits out of storage. Our theory helps to...
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作者：Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.; Stucke, Ruediger
作者单位：University of Virginia; University of Oxford; University of Chicago
摘要：This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts outperform public markets, they underperform direct fund investment strategies in buyout. In contrast, the average performance of FOFs in venture capital is on a par with results from direct venture fund inv...
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作者：Lin, Chen; Schmid, Thomas; Xuan, Yuhai
作者单位：University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze how direct employee voice affects financial leverage. German law mandates that firms' supervisory boards consist of an equal number of employees' and owners' representatives. This requirement, however, applies only to firms with more than two thousand domestic employees. We exploit this discontinuity and the law's introduction in 1976 for identification and find that direct employee power increases financial leverage. This is explained by a supply side effect: as banks' interests ar...
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作者：Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu
作者单位：Iowa State University; University of North Carolina; University of North Carolina Charlotte; Rutgers University System; Rutgers University New Brunswick; Washington University (WUSTL); Shanghai Jiao Tong University
摘要：Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993-2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day's market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most a...
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作者：Huizinga, Harry; Voget, Johannes; Wagner, Wolf
作者单位：Tilburg University; Centre for Economic Policy Research - UK; University of Mannheim; University of Oxford; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：In a cross-border takeover, the tax base associated with future capital gains is transferred from target shareholders to acquirer shareholders. Cross-country differences in capital gains tax rates enable us to estimate the discount in target valuation on account of future capital gains. We estimate that a 1 percentage point increase in the capital gains tax rate reduces the value of equity by around 0.3%, which suggests that the capital gains tax significantly raises firms' cost of capital. Fu...
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作者：Horner, Johannes; Lovo, Stefano; Tomala, Tristan
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers' pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model's predictions are robust to different specifications of the dealers' information structure. These equilibria reconcile, in a unified and parsimonious framework, price dyn...
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作者：Cline, Brandon N.; Walkling, Ralph A.; Yore, Adam S.
作者单位：Mississippi State University; Drexel University; University of Missouri System; University of Missouri Columbia
摘要：Personal managerial indiscretions are separate from a firm's business activities but provide information about the manager's integrity. Consequently, they could affect counter parties' trust in the firm and the firm's value and operations. We find that companies of accused executives experience significant wealth deterioration, reduced operating margins, and lost business partners. Indiscretions are also associated with an increased probability of unrelated shareholder-initiated lawsuits, Depa...
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作者：Wagner, Alexander F.; Zeckhauser, Richard J.; Ziegler, Alexandre
作者单位：University of Zurich; Swiss Finance Institute (SFI); Harvard University; National Bureau of Economic Research
摘要：Donald Trump's surprise election shifted expectations: corporate taxes would be lower and trade policies more restrictive. Relative stock prices responded appropriately. High-tax firms and those with large deferred tax liabilities (DTLs) gained: those with significant deferred tax assets from net operating loss carryforwards (NOL DTAs) lost. Domestically focused companies fared better than internationally oriented firms. A price contribution analysis shows that easily assessed consequences (DT...
