-
作者：Lin, Xiaoji; Wang, Chong; Wang, Neng; Yang, Jinqiang
作者单位：University of Minnesota System; University of Minnesota Twin Cities; United States Department of Defense; United States Navy; Naval Postgraduate School; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We study the impact of stochastic interest rates and capital illiquidity on investment and firm value by incorporating a widely used arbitrage-free term structure model of interest rates into a standard g theoretic framework. Our generalized q model informs us to use corporate credit-risk information to predict investments when empirical measurement issues of Tobin's average q are significant (e.g., equity is much more likely to be mis-priced than debt), as in Philippon (2009). We find, consis...
-
作者：Ewens, Michael; Nanda, Ramana; Rhodes-Kropf, Matthew
作者单位：California Institute of Technology; Harvard University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We study how technological shocks to the cost of starting new businesses have led the venture capital model to adapt in fundamental ways over the prior decade. We both document and provide a framework to understand the changes in the investment strategy of venture capitalists (VCs) in recent years - an increased prevalence of a spray and pray investment approach - where investors provide a little funding and limited governance to an increased number of startups that they are more likely to aba...
-
作者：Kolasinski, Adam C.; Yang, Nan
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Hong Kong Polytechnic University
摘要：Prominent policy makers assert that managerial short-termism was at the root of the sub-prime crisis of 2007-2009. Prior scholarly research, however, largely rejects this assertion. Using a more comprehensive measure of Chief Executive Officer (CEO) incentives for short-termism, we uncover evidence that short-termism indeed played a role. Firms whose CEOs were contractually allowed to sell or exercise more of their stock and options holdings sooner had more subprime exposure, a higher probabil...
-
作者：Agarwal, Vikas; Green, T. Clifton; Ren, Honglin
作者单位：University System of Georgia; Georgia State University; Emory University
摘要：Capital Asset Pricing Model (CAPM) alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic risk components and find that while investors chase both components, they place greater relative emphasis on returns associated with exotic risk exposures that can only be o...
-
作者：Bonaime, Alice; Gulen, Huseyin; Ion, Mihai
作者单位：University of Arizona; Purdue University System; Purdue University
摘要：Political and regulatory uncertainty is strongly negatively associated with merger and acquisition activity at the macro and firm levels. The strongest effects are for uncertainty regarding taxes, government spending, monetary and fiscal policies, and regulation. Consistent with a real options channel, the effect is exacerbated for less reversible deals and for firms whose product demand or stock returns exhibit greater sensitivity to policy uncertainty, but attenuated for deals that cannot be...
-
作者：Kruger, Samuel
作者单位：University of Texas System; University of Texas Austin
摘要：Did securitization exacerbate the foreclosure crisis by altering mortgage servicing practices? I exploit the unanticipated freeze of private mortgage securitization in 2007 to provide new evidence that securitization increases foreclosure probability and decreases modification probability. These effects are economically large and persist over time even after implementation of the Home Affordable Modification Program (HAMP) in 2009. Using hand-collected data on the contractual terms of servicin...
-
作者：Del Guercio, Diane; Genc, Egemen; Tran, Hai
作者单位：University of Oregon; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Loyola Marymount University
摘要：We examine the performance of mutual funds whose managers simultaneously manage portfolios with performance-based incentive fees for three account types: mutual funds, hedge funds, and separate accounts. Importantly, our data set is free of selection bias because it is hand-collected from mandatory SEC filings. We find that only funds whose managers also manage hedge funds significantly underperform peer mutual funds. Moreover, underperformance begins only after fund managers begin to manage a...
-
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...
-
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...
-
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...
