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作者：Ferson, Wayne; Mo, Haitao
作者单位：University of Southern California; National Bureau of Economic Research; Louisiana State University System; Louisiana State University
摘要：The performance of portfolio managers depends on market timing, volatility timing, and security selection. We develop holdings-based performance measures that adjust for risk using stochastic discount factors, display all three components in a consistent framework, and avoid strong assumptions about managers' behavior. Previous models leave out some of the components of performance, and correcting for this we deliver better measures of selectivity. Sorting stocks held by funds on selectivity p...
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作者：Malmendier, Ulrike; Opp, Marcus M.; Saidi, Farzad
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of Cambridge
摘要：Cash- and stock-financed takeover bids induce strikingly different target revaluations. We exploit detailed data on unsuccessful takeover bids between 1980 and 2008, and we show that targets of cash offers are revalued on average by 15% after deal failure, whereas stock targets return to their pre-announcement levels. The differences in revaluation do not revert over longer horizons. We find no evidence that future takeover activities or operational changes explain these differences. While the...
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作者：Bajo, Emanuele; Chemmanur, Thomas J.; Simonyan, Karen; Tehranian, Hassan
作者单位：University of Bologna; Boston College; Suffolk University
摘要：Using various centrality measures from social network analysis, we analyze how the location of a lead initial public offering (IPO) underwriter in its network of investment banks affects various IPO characteristics. We hypothesize that investment banking networks allow lead IPO underwriters to induce institutions to pay attention to the firms they take public and to perform two information-related roles during the IPO process: an information dissemination role, in which the lead underwriter us...
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作者：Hou, Kewei; Loh, Roger K.
作者单位：University System of Ohio; Ohio State University; Singapore Management University
摘要：We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). Surprisingly, we find that many existing explanations explain less than 10% of the puzzle. On the other hand, explanations based on investors' lottery preferences and market frictions show some promise in explaining the puzzle. Together, all existing explanations account for 29-54% of ...
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作者：Chen, Zhanhui
作者单位：Nanyang Technological University
摘要：Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time to -build captures the delay in transforming new investments into productive capital, and time-to-produce captures the delay in transforming productive capital into output. Both delays increase risks in that time-to-build generates procyclical payouts, whereas the time to -produce amplifies this procyclicality. Inventor...
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作者：Bodnaruk, Andriy; Rossi, Marco
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：In Mergers and Acquisitions (M&As) a significant proportion of targets' equity is owned by financial institutions that simultaneously own targets' bonds (dual holders). Targets with larger equity ownership by dual holders have lower M&A equity premia and larger abnormal bond returns, particularly when dual holders stand to benefit more from appreciation of their bond stakes, e.g., when their bond ownership in the target is large and the target credit rating is non-investment grade. Dual holder...
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作者：Altinkilic, Oya; Hansen, Robert S.; Ye, Liyu
作者单位：George Washington University; Tulane University; Freddie Mac
摘要：This paper examines post-revision return drift, or PRD, following analysts' revisions of their stock recommendations. PRD refers to the finding that the analysts' recommendation changes predict future long-term returns in the same direction as the change (i.e., upgrades are followed by positive returns, and downgrades are followed by negative returns). During the high-frequency algorithmic trading period of 2003-2010, average PRD is no longer significantly different from zero. The new findings...
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作者：Lu, Yan; Ray, Sugata; Teo, Melvyn
作者单位：State University System of Florida; University of Central Florida; State University System of Florida; University of Florida; Singapore Management University
摘要：We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load mo...
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作者：Holderness, Clifford G.; Pontiff, Jeffrey
作者单位：Boston College
摘要：Shareholder participation in valuable domestic rights offerings averages only 64%, which is considerably lower than previously asserted. This causes wealth transfers from nonparticipating to participating shareholders that average 7% of the offering. Wealth transfers are larger in nontransferable and bigger offerings. The stock market reacts more negatively to larger wealth transfers. Offerings with lower shareholder participation also fall short in raising publicly stated capital goals. Right...
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作者：Humphery-Jenner, Mark; Lisic, Ling Lei; Nanda, Vikram; Silveri, Sabatino Dino
作者单位：University of New South Wales Sydney; George Mason University; Rutgers University System; Rutgers University New Brunswick; University of Texas System; University of Texas Dallas; University of Memphis
摘要：We examine the impact of overconfidence on compensation structure. Our findings support the exploitation hypothesis: firms offer incentive-heavy compensation contracts to overconfident Chief Executive Officers (CEOs) to exploit their positively biased views of firm prospects. Overconfident CEOs receive more option-intensive compensation and this relation increases with CEO bargaining power. Exogenous shocks (Sarbanes-Oxley Act of 2002 (SOX) and Financial Accounting Standard (FAS) 123R) provide...
