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作者：Garlappi, Lorenzo; Song, Zhongzhi
作者单位：University of British Columbia
摘要：Capital utilization and market power crucially affect asset prices in an economy exposed to shocks that improve real investment opportunities through capital-embodied technological innovations. We embed these two mechanisms in a standard general equilibrium model and show that (i) the price of risk for investment shocks is negative under fixed capital utilization, but positive under sufficiently flexible capital utilization, and (ii) the equity return exposure to investment shocks is negative ...
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作者：Korteweg, Arthur; Sorensen, Morten
作者单位：University of Southern California; Copenhagen Business School
摘要：Private equity (PE) performance is persistent, with PE firms consistently producing high (or low) net-of-fees returns. We use a new variance decomposition model to isolate three components of persistence. We find high long-term persistence: the spread in expected net-of-fee future returns between top and bottom quartile PE firms is 7-8 percentage points annually. This spread is estimated controlling for spurious persistence, which arises mechanically from the overlap of contemporaneous funds. ...
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作者：Zhao, Guihai
作者单位：Bank of Canada
摘要：I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from negative to positive in 1997. Motivated by this evidence, I develop and estimate a model in which the confidence process has discrete regime shifts, and I find that the time-varying impact of inflation on confidence enables the model to match bond risks over dif...
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作者：Clark-Joseph, Adam D.; Ye, Mao; Zi, Chao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Independent technological glitches forced two separate trading halts on different U.S. exchanges during the week of July 6, 2015. During each halt, all other exchanges remained open. We exploit exogenous variation provided by this unprecedented coincidence, in conjunction with a proprietary data set, to identify the causal impact of Designated Market Maker (DMM) participation on liquidity. When the voluntary liquidity providers on one exchange were removed, liquidity remained unchanged; when D...
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作者：Bakke, Tor-Erik; Gu, Tiantian
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Northeastern University
摘要：Why do diversified firms hold significantly less cash than focused firms? We study this question using a dynamic model of corporate investment, saving, and diversification decisions. We find that investment dynamics are more important in explaining the cash differences than financing frictions. More efficient internal capital markets increase cash differences and are especially valuable when a firm diversifies or refocuses. Contrary to static models, more diverse conglomerates have lower cash ...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University of Toronto; Cornell University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Relative to other countries, the U.S. now has abnormally few listed firms. This U.S. listing gap is consistent with a decrease in the net benefit of a listing for U.S. firms. Since the listing peak in 1996, the propensity to be listed is lower for all firm size categories and industries, the new list rate is low, and the delist rate is high. The high delist rate accounts for 46% of the listing gap and the low new list rate for 54%. The high delist rate is explained by an unusually high rate of...
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作者：Dannhauser, Caitlin D.
作者单位：Villanova University
摘要：Using distinct features of corporate bond exchange-traded funds (ETFs), I find that financial innovation has a significant and long-term positive valuation impact on the systemically important underlying securities. A one standard deviation increase in ETF ownership reduces high-yield and investment-grade bond spreads by 20.3 and 9.2 basis points, respectively, implying an average monthly price increase of 1.03% and 0.75%. Two novel quasi-natural experiments exploit exogenous changes in ETF el...
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作者：Beneish, Messod D.; Marshall, Cassandra D.; Yang, Jun
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Richmond
摘要：We propose a framework that advances our understanding of Chief Executive Officer (CEO) retention decisions in misreporting firms. Consistent with economic intuition, outside directors are more likely to fire (retain) CEOs when retention (replacement) costs are high relative to replacement (retention) costs. When the decision is ambiguous because neither cost dominates, outside directors are more likely to retain the CEO when they both benefit from selling stock in the misreporting period. We ...
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作者：Bali, Turan G.; Brown, Stephen J.; Tang, Yi
作者单位：Georgetown University; Monash University; New York University; Fordham University
摘要：We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find that the uncertainty premium is driven by the outperformance (underperformance) by stocks with negative (positive) uncertainty beta. Our res...
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作者：Garlappi, Lorenzo; Giammarino, Ron; Lazrak, Ali
作者单位：University of British Columbia
摘要：We study a dynamic corporate investment problem where decisions have to be made collectively by a group of agents holding heterogeneous beliefs and adhering to a utilitarian governance mechanism in which each agent has a given influence in the decision. In this setting we show that: (i)group decisions are typically dynamically inconsistent, (ii)dynamic inconsistency leads to inefficient underinvestment, and (iii)the ability to trade securities among insiders or with outsiders may restore effic...
