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作者：Londono, Juan M.; Zhou, Hao
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Tsinghua University; Tsinghua University
摘要：We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciation rates of 22 with respect to the U.S. dollar, especially at the four-month and one-month horizons, respectively. The heterogeneous exposures of currencies to the currency variance risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption-based asset pricing model, with loc...
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作者：Hartman-Glaser, Barney
作者单位：University of California System; University of California Los Angeles
摘要：Static adverse selection models of security issuance show that informed issuers can perfectly reveal their private information by maintaining a costly stalce in the securities they issue. This paper shows that allowing an issuer to both signal current security quality via retention and build a reputation for honesty leads that issuer to misreport quality even when owning a positive stake, that is, the equilibrium is neither separating nor pooling. An issuer retains less as reputation improves ...
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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：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...
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作者：Di Maggio, Marco; Kermani, Amir; Song, Zhaogang
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; Johns Hopkins University
摘要：This paper investigates how dealers' trading relations shape their trading behavior in the corporate bond market. Dealers charge lower spreads to dealers with whom they have the strongest ties and more so during periods of market turmoil. Systemically important dealers exploit their connections at the expense of peripheral dealers as well as clients, charging higher markups than to other core dealers. Also, intermediation chains lengthened by 20% following the collapse of a flagship dealer in ...
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作者：Kuhnen, Camelia M.; Miu, Andrei C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Babes Bolyai University from Cluj
摘要：The majority of lower socioeconomic status (SES) households in the U.S. and Europe do not have stock investments, which is detrimental to wealth accumulation. Here, we examine one explanation for this puzzling fact, namely, that economic adversity may influence how people learn from financial information. Using experimental and survey data from the U.S. and Romania, we find that lower SES individuals form more pessimistic beliefs about the distribution of stock returns and. are less likely to ...
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作者：Braun, Reiner; Jenkinson, Tim; Stoff, Ingo
作者单位：Technical University of Munich; University of Oxford
摘要：The persistence of returns is a critical issue for investors in their choice of private equity managers. In this paper, we analyse buyout performance persistence in new ways, using a unique database containing cash flow data on 13,523 portfolio company investments by 865 buyout funds. We focus on unique realized deals and find that persistence of fund managers has substantially declined as the private equity sector has matured and become more competitive. Private equity has, therefore, largely...
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作者：Bova, Francesco; Yang, Liyan
作者单位：University of Toronto; Peking University
摘要：We develop a model to illustrate that equity-based compensation for non-executive employees and product market decisions are related. When the product market is competitive and employees have low bargaining power, the unique equilibrium is for each firm's owners to offer equity-based compensation to their employees. In this setting, equity-based compensation leads to a lower wage rate, which makes each firm more competitive with its rival. However, this unique equilibrium is a Prisoner's Dilem...
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作者：Bennett, Benjamin; Bettis, J. Carr; Gopalan, Radhakrishnan; Milbourn, Todd
作者单位：University System of Ohio; Ohio State University; Arizona State University; Arizona State University-Tempe; Washington University (WUSTL)
摘要：Using a large data set of performance goals employed in executive incentive contracts, we find that a disproportionately large number of firms exceed their goals by a small margin as compared to the number that fall short of the goal by a similar margin. This asymmetry is particularly acute for earnings goals, when compensation is contingent on a single goal, when the pay-performance relationship around the goal is concave-shaped, and for grants with non-equity-based payouts. Firms that exceed...
