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作者：Goldstein, Itay; Jiang, Hao; Ng, David T.
作者单位：University of Pennsylvania; Michigan State University; Michigan State University's Broad College of Business; Cornell University
摘要：This paper explores flow patterns in corporate bond mutual funds. We show that corporate bond funds exhibit a concave flow-to-performance relationship: their outflows are sensitive to bad performance more than their inflows are sensitive to good performance. Moreover, corporate bond funds tend to have greater sensitivity of outflows to bad performance when they have more illiquid assets and when the overall market illiquidity is high. These results point to the possibility of fragility in the ...
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作者：Hett, Florian; Schmidt, Alexander
作者单位：Goethe University Frankfurt; Deutsche Bundesbank
摘要：We design a novel test for changes in market discipline based on the relation between firm-specific risk, credit spreads, and equity returns. We use our method to analyze the evolution of bailout expectations during the recent financial crisis. We find that bailout expectations peaked in reaction to government interventions following the failure of Lehman Brothers, and returned to pre-crisis levels following the initiation of the Dodd-Frank Act. We do not find such changes in market discipline...
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作者：Levit, Doron
作者单位：University of Pennsylvania
摘要：This paper studies the advisory role of the board of directors in takeovers. I develop a model in which the takeover premium and the ability of the target board to resist the takeover are endogenous. The analysis relates the influence of the board on target shareholders and the reaction of the market to its recommendations to various characteristics of the acquirer and the target. I also show that the expected target shareholder value can decrease with the expertise of the board and it is maxi...
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作者：Cremers, K. J. Martijn; Litov, Lubomir P.; Sepe, Simone M.
作者单位：University of Notre Dame; University of Oklahoma System; University of Oklahoma - Norman; University of Arizona; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：This paper revisits the staggered board debate focusing on the long-term association of firm value with changes in board structure. We find no evidence that staggered board changes are negatively related to firm value. However, we find a positive relation for firms engaged in innovation and where stakeholder relationships matter more. This suggests that staggered boards promote value creation for some firms by committing the firm to undertaking long-term projects and bonding it to the relation...
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作者：Jung, Hae Won (Henny); Subramanian, Ajay
作者单位：University of Melbourne; University System of Georgia; Georgia State University; University System of Georgia; Georgia State University
摘要：We develop a structural industry equilibrium model to show how competitive chief executive officer (CEO)-firm matching and product markets jointly determine firm value and CEO pay. We analytically derive testable implications for the effects of product market characteristics on firm size, CEO pay, and CEO impact on firm value. CEO talent matters more in more competitive markets with greater product substitutabilities. Our CEO impact estimates are much higher than those obtained by previous str...
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作者：Dyreng, Scott D.; Hanlon, Michelle; Maydew, Edward L.; Thornock, Jacob R.
作者单位：Duke University; Massachusetts Institute of Technology (MIT); University of North Carolina; University of North Carolina Chapel Hill; Brigham Young University
摘要：We investigate systematic changes in corporate effective tax rates over the past 25 years and find that effective tax rates have decreased significantly. Contrary to conventional wisdom, the decline in effective tax rates is not concentrated in multinational firms; effective tax rates have declined at approximately the same rate for both multinational and domestic firms. Moreover, within multinational firms, both foreign and domestic effective rates have decreased. Finally, changes in firm cha...
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作者：Chague, Fernando; De-Losso, Rodrigo; De Genaro, Alan; Giovannetti, Bruno
作者单位：Universidade de Sao Paulo
摘要：High loan fees generate short-selling constraints and, therefore, reduce price efficiency. Despite the importance of loan fees, empirical evidence on their determinants is scarce. Using a market-wide deal-by-deal data set on the Brazilian equity lending market which uniquely identifies borrowers, brokers, and lenders, we are able to construct a proxy of search costs at the borrower-stock-day level. We find that for the same stock, on the same day borrowers with higher search costs pay signific...
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作者：Ali, Usman; Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：We show that opportunistic insiders can be identified through the profitability of their trades prior to quarterly earnings announcements (QEAs) and that opportunistic trading is associated with various kinds of firm or managerial misconduct. A value-weighted trading strategy based on (not necessarily pre-QEA) trades of opportunistic insiders earns monthly four-factor alphas of over 1%, which is much higher than in past insider trading literature and substantial and significant even on the sho...
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作者：Fauver, Larry; Hung, Mingyi; Li, Xi; Taboada, Alvaro G.
作者单位：University of Tennessee System; University of Tennessee Knoxville; Hong Kong University of Science & Technology; Mississippi State University
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作者：Dittmar, Robert F.; Lundblad, Christian T.
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a novel approach to measuring firm-level risk exposures and costs of equity. Using a simple consumption-based asset pricing model that explains nearly two-thirds of the variation in average returns across 55 anomaly portfolios, we map the relation between exposures to consumption risk and portfolio-level characteristics. We use this relation to calculate exposures to consumption risk at the firm level and show that the calculated consumption risk exposures yield portfolios with larg...
