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作者：Fracassi, Cesare; Petry, Stefan; Tate, Geoffrey
作者单位：University of Texas System; University of Texas Austin; University of Melbourne; University of North Carolina; University of North Carolina Chapel Hill
摘要：We find evidence of systematic optimism and pessimism among credit analysts, comparing contemporaneous ratings of the same firm across rating agencies. These differences in perspectives carry through to debt prices and negatively predict future changes in credit spreads, consistent with mispricing. Moreover, the pricing effects are the largest among firms that are the most opaque, likely exacerbating financing constraints. We find that masters of business administration (MBAs) provide higher q...
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作者：Hillert, Alexander; Maug, Ernst; Obernberger, Stefan
作者单位：University of Mannheim; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We analyze the impact of share repurchases on liquidity based on a new comprehensive data set of realized share repurchases in the US, which covers 50,204 repurchase months between 2004 and 2010. Using instrumental variable analysis, we show that repurchases unequivocally improve liquidity and suggest that endogenous controls have confounded results in earlier studies. Liquidity also influences how firms execute repurchase programs. Repurchases provide liquidity when other investors sell the f...
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作者：Correa, Ricardo; Lel, Ugur
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Georgia; University of Georgia
摘要：Using a large sample of firms from 38 countries over the 2001-2012 period, this study finds evidence that, following the adoption of say on pay (SoP) laws, chief executive officer (CEO) pay growth rates decline and the sensitivity of CEO pay to firm performance improves. These changes are concentrated in firms with high excess pay and shareholder dissent, long CEO tenure, and less independent boards. Further, the portion of top management pay captured by CEOs is lower in the post-SoP period, w...
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作者：Liu, Xiaoding
作者单位：University of Oregon
摘要：Despite significant interest in corporate culture, there is little empirical research on its role in influencing corporate misconduct. Using cultural background information on key company insiders, I construct a measure of corporate corruption culture, capturing a firm's general attitude toward opportunistic behavior. Firms with high corruption culture are more likely to engage in earnings management, accounting fraud, option backdating, and opportunistic insider trading. I further explore the...
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作者：Byun, Suk-Joon; Kim, Da-Hea
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Nanyang Technological University
摘要：We investigate the relation between the option returns and the underlying stock's lottery like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10-20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put-call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effe...
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作者：Ippolito, Filippo; Peydro, Jose-Luis; Polo, Andrea; Sette, Enrico
作者单位：Pompeu Fabra University; Barcelona School of Economics; Pompeu Fabra University; Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Barcelona School of Economics; Pompeu Fabra University; ICREA; Pompeu Fabra University; Barcelona School of Economics; European Central Bank; Bank of Italy
摘要：By providing liquidity to depositors and credit-line borrowers, banks can be exposed to double-runs on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs. In the cross-section, credit-line drawdowns are not larger for banks more exposed to the interbank market; however, they are larger when we condition on the same firms with multiple credit lines. We...
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作者：Johnson, Timothy C.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：High-frequency reversals are an economically important characteristic of the returns to tradeable claims to the market portfolio. This paper demonstrates that short-horizon negative autocorrelation can arise in a tractable model of agents with tournament-type preferences. Intuitively, investors act as if they are averse to missing out on a trend, causing the risk premium to move strongly counter to realized returns. The model features fully rationalizing agents, complete markets, and no exogen...
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作者：Gormley, Todd A.; Matsa, David A.
作者单位：University of Pennsylvania; Northwestern University; National Bureau of Economic Research
摘要：This article examines managers' incentive to play it safe. We find that, after managers are insulated by the adoption of an antitakeover law, they take value-destroying actions that reduce their firms' stock volatility and risk of distress. To illustrate one such action, we show that managers undertake diversifying acquisitions that target firms likely to reduce risk, have negative announcement returns, and are concentrated among firms with managers who gain the most from reducing risk. Our fi...
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作者：Robinson, David T.; Sensoy, Berk A.
作者单位：Duke University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We study the liquidity properties of private equity cash flows using data from 837 buyout and venture capital funds from 1984 to 2010. Most cash flow variation at a point in time is diversifiable either idiosyncratic to a given fund or explained by the fund's age. Both capital calls and distributions also have a procyclical systematic component. Distributions are more sensitive than calls, implying procyclical aggregate net cash flows. A consequence is that the well-known finding that funds ra...
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作者：Bakke, Tor-Erik; Mahmudi, Hamed; Fernando, Chitru S.; Salas, Jesus M.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Lehigh University
摘要：This study provides strong evidence of a causal effect of risk-taking incentives provided by option compensation on corporate risk management. We utilize the passage of Financial Accounting Standard (FAS) 123R, which required firms to expense options, to investigate how chief executive officer option compensation affects the hedging behavior of oil and gas firms. Firms that did not expense options before FAS 123R significantly reduced option pay, which resulted in a large increase in their hed...
