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作者：Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian
作者单位：University System of Georgia; Georgia State University; University of Mannheim; University of St Gallen
摘要：We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns and that investments in both tail-sensitive stocks and options drive tail risk. Moreover, leverage and exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time tail risk expos...
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作者：Balsmeier, Benjamin; Fleming, Lee; Manso, Gustavo
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Much research has suggested that independent boards of directors are more effective in reducing agency costs and improving firm governance. How they influence innovation is less clear. Relying on regulatory changes, we show that firms that transition to independent boards focus on more crowded and familiar areas of technology. They patent and claim more and receive more total future citations to their patents. However, the citation increase comes mainly from incremental patents in the middle o...
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作者：Corwin, Shane A.; Larocque, Stephannie A.; Stegemoller, Mike A.
作者单位：University of Notre Dame; Baylor University
摘要：We examine the impact of the Global Settlement on affiliation bias in analyst recommendations. Using a broad measure of investment bank-firm relationships, we find a substantial reduction in analyst affiliation bias following the settlement for sanctioned banks. In contrast, we find strong evidence of bias both before and after the settlement for affiliated analysts at non-sanctioned banks. Our results suggest that the settlement led to an increase in the expected costs of issuing biased cover...
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作者：Gustafson, Matthew T.; Iliev, Peter
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study the consequences of a US deregulation allowing small firms to accelerate their public equity issuance. Post-deregulation, affected firms double their reliance on public equity and transition away from private investments in public equity compared to similar untreated firms. The net effect is a 5.7 percentage point or 49% increase in the annual probability of raising equity. This is accompanied by a reduction in equity issuance costs, an increase in investment, and a decrease in levera...
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作者：Calomiris, Charles W.; Carlson, Mark
作者单位：Columbia University; National Bureau of Economic Research; Federal Reserve System - USA; Bank for International Settlements (BIS)
摘要：The unit banking structure of the United States produced a uniquely important interbank correspondent network. During the National Banking Era, this network normally provided banks with access to money markets, facilitated payment processing, and helped banks meet legal reserve requirements. In crises, network connections could be a source of liquidity risk. That risk became evident during the Panic of 1893, when New York suspended convertibility. Banks with high two-sided liquidity risk (thos...
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作者：Nickerson, Jordan; Griffin, John M.
作者单位：Boston College; University of Texas System; University of Texas Austin
摘要：This paper proposes several frameworks to estimate the appropriate default correlations for structured products, each of which jointly considers the role of co-movements in modeled risk characteristics and unmodeled systematic risk, or 'frailty.' We contrast our estimates with credit rating agencies' default correlation assumptions, which were only 0.01 for Collateralized Loan Obligations (CLOs) pre-crisis and have increased to 0.03 post-crisis. In contrast, the joint consideration of observab...
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作者：Cronqvist, Henrik; Yu, Frank
作者单位：University of Miami; China Europe International Business School
摘要：Corporate executives managing some of the largest public companies in the U.S. are shaped by their daughters. When a firm's chief executive officer (CEO) has a daughter, the corporate social responsibility rating (CSR) is about 9.1% higher, compared to a median firm. The results are robust to confronting several sources of endogeneity, e.g., examining first-born CEO daughters and CEO changes. The relation is strongest for diversity, but significant also for broader pro-social practices related...
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作者：Avdis, Efstathios; Wachter, Jessica A.
作者单位：University of Alberta; University of Pennsylvania; National Bureau of Economic Research
摘要：xThe equity premium the expected return on the aggregate stock market less the government bill rate - is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the sample average excess return. We propose an alternative estimator, based on maximum likelihood, that takes into account information contained in dividends and prices. Applied to the postwar sample, our metho...
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作者：Kedia, Simi; Rajgopal, Shivaram; (Alex) Zhou, Xing
作者单位：Rutgers University System; Rutgers University New Brunswick; Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper addresses regulatory concerns that large shareholders of credit rating agencies can influence the rating process. Unlike Standard & Poor's, which is a privately held division of McGraw-Hill, Moody's is a public company listed on the NYSE. From 2001 to 2010, Moody's has two shareholders, Berkshire Hathaway and Davis Selected Advisors, which collectively own about 23.5% of Moody's. Moody's ratings on bonds issued by important investee firms of these two stable large shareholders are m...
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作者：Field, Laura Casares; Mkrtchyan, Anahit
作者单位：University of Delaware; Northeastern University
摘要：Prior research finds that firms hire directors for their acquisition experience, regardless of acquisition quality (whether their prior acquisitions earned positive or negative announcement returns). Using several short- and long-run measures, we examine the effects of directors' acquisition experience on the acquisition performance of firms hiring them. We find that board acquisition experience is positively related to subsequent acquisition performance, demonstrating that firms appropriately...
