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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：Weber, Michael
作者单位：University of Chicago; National Bureau of Economic Research
摘要：The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, and the difference in returns is three times larger after periods of high investor sentiment. Analysts extrapolate from past earnings growth into th...
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作者：Phalippou, Ludovic; Rauch, Christian; Umber, Marc
作者单位：University of Oxford; American University of Sharjah
摘要：In private equity, general partners (GPs) receive fee payments from companies whose boards they control. Fees amount to $20 billion evenly distributed over time, representing over 6% of equity invested by GPs. They do not vary with business cycles, company characteristics, or GP performance. Fees vary significantly across GPs and are persistent within GPs, even after accounting for fee rebates to limited partners (LPs). GPs charging the least raise more capital postfinancial crisis and are bac...
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作者：Davies, Shaun William; Van Wesep, Edward Dickersin
作者单位：University of Colorado System; University of Colorado Boulder
摘要：A divestment campaign aims to depress share prices to induce managers to change firm behavior. Assuming that managers make profit-maximizing decisions in the absence of a campaign, firms that accede to divestors' demands raise short-run share prices but depress long-run profits. Managers who are more interested in short-run prices are therefore more motivated by divestment than managers who care about long-run profits. We show that, as most managerial compensation contracts reward long-run pro...
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作者：Ehling, Paul; Gallmeyer, Michael; Heyerdahl-Larsen, Christian; Illeditsch, Philipp
作者单位：BI Norwegian Business School; University of Virginia; University of London; London Business School; Carnegie Mellon University
摘要：We show that inflation disagreement, not just expected inflation, has an impact on nominal interest rates. In contrast to expected inflation, which mainly affects the wedge between real and nominal yields, inflation disagreement affects nominal yields predominantly through its impact on the real side of the economy. We show theoretically and empirically that inflation disagreement raises real and nominal yields and their volatilities. Inflation disagreement is positively related to consumers' ...
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作者：Choi, Jaewon; Hackbarth, Dirk; Zechner, Josef
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Boston University; Vienna University of Economics & Business
摘要：We study a novel aspect of a firm's capital structure, namely, the profile of its debt maturity dates. In a simple theoretical framework we show that the dispersion of debt maturities constitutes an important dimension of capital structure choice, driven by firm characteristics and debt rollover risk. Guided by these predictions we establish two main empirical results. First, using an exogenous shock to rollover risk, we document a significant increase in maturity dispersion for firms that nee...
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作者：Goetzmann, William N.; Huang, Simon
作者单位：Yale University; University of Massachusetts System; University of Massachusetts Amherst
摘要：Some of the leading theories of momentum have different empirical predictions that depend on market composition and structure. The institutional theory predicts lower momentum profits in markets with less agency. Behavioral theories predict lower profits in markets with more sophisticated investors. In this paper, we use a dataset from a major 19th century equity market to test these predictions. We find no evidence to support the institutional theory due to the lack of delegated management. W...
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作者：Barinov, Alexander
作者单位：University of California System; University of California Riverside
摘要：The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains the majority of low abnormal returns to stocks with high maximum returns in the past month (Bali et al., 2011) and high expected skewness (Boyer et al., 2010). Aggregate volatility risk also explains the new evidence that the maximum effect and the skewness effect are stronger for firms with high market to book or high expected prob...
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作者：Donaldson, Jason Roderick; Micheler, Eva
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：Many debt claims, such as bonds, are resaleable; others, such as repos, are not. There was a fivefold increase in repo borrowing before the 2008-2009 financial crisis. Why? Did banks' dependence on non-resaleable debt precipitate the crisis? In this paper, we develop a model of bank lending with credit frictions. The key feature of the model is that debt claims are heterogenous in their resaleability. We find that decreasing credit market frictions leads to an increase in borrowing via non-res...
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作者：Moreno, David; Rodriguez, Rosa; Zambrana, Rafael
作者单位：Universidad Carlos III de Madrid; Universidade Nova de Lisboa
摘要：This is a study of how contractual mechanisms can mitigate agency conflicts in sub advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such as co-branding, multi-advising, and performance based compensation, can mitigate agency conflicts in outsourcing and protect investors from potential underperformance. Fund families will find it cost-e...
