-
作者：Francis, Bill; Hasan, Iftekhar; Mani, Sureshbabu; Ye, Pengfei
作者单位：Rensselaer Polytechnic Institute; Fordham University; Virginia Polytechnic Institute & State University
摘要：We examine the performance impact of the relative quality of a Chief Executive Officer (CEO)'s compensation peers (peers to determine a CEO's overall compensation) and bonus peers (peers to determine a CEO's relative-performance-based bonus). We use the fraction of peers with greater managerial ability scores (Demerjian, Lev, and McVay, 2012) than the reporting firm to measure this CEO's relative peer quality (RPQ). We find that firms with higher RPQ earn higher stock returns and experience hi...
-
作者：Michaely, Roni; Rubin, Amir; Vedrashko, Alexander
作者单位：Cornell University; Reichman University; Simon Fraser University
摘要：We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias,...
-
作者：Dagher, Jihad; Sun, Yangfan
作者单位：International Monetary Fund; Georgetown University
摘要：Laws governing the foreclosure process can have direct consequences for the costs of foreclosure and, therefore could affect lending decisions. We exploit the heterogeneity in judicial requirements across US states to examine their impact on banks' lending decisions in a sample of urban areas straddling state borders. A key feature of our study is the way it exploits an exogenous cutoff in loan eligibility to government-sponsored enterprises (GSEs) guarantees, which shift the burden of foreclo...
-
作者：Barrot, Jean-Noel; Kaniel, Ron; Sraer, David
作者单位：Massachusetts Institute of Technology (MIT); Centre for Economic Policy Research - UK; University of Rochester; Reichman University; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：This paper examines the extent to which individual investors provide liquidity to the stock market and whether they are compensated for doing so. We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions decline. While a weekly rebalanced portfolio long in stocks purchased and short in stocks sold by retail investors delivers 19% annualized e...
-
作者：Bradley, Daniel; Pantzalis, Christos; Yuan, Xiaojing
作者单位：State University System of Florida; University of South Florida; University of Massachusetts System; University of Massachusetts Lowell
摘要：Using a sample of state pension funds' equity holdings, we find evidence of not only local bias, but also bias towards politically-connected stocks. Political bias is detrimental to fund performance. State pension funds have longer holding durations of politically-connected local firms and display disposition behavior in these positions. Political bias is positively related to the percentage of politically-affiliated trustees on the board and Congressional connections. The more politically-aff...
-
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...
-
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...
-
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 ...
-
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...
-
作者：Barras, Laurent; Malkhozov, Aytek
作者单位：McGill University; Bank for International Settlements (BIS)
摘要：We formally compare two versions of the market variance risk premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and find that their difference is strongly related to measures of the financial standing of intermediaries. These results shed new light on the information content of the VRP, suggest the presence of market frict...
