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作者：Almeida, Heitor; Fos, Vyacheslav; Kronlund, Mathias
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Boston College
摘要：We employ a regression discontinuity design to identify the real effects of share repurchases on other firm outcomes. The probability of share repurchases that increase earnings per share (EPS) is sharply higher for firms that would have just missed the EPS forecast in the absence of the repurchase, when compared with firms that just beat the EPS forecast. We use this discontinuity to show that EPS-motivated repurchases are associated with reductions in employment and investment, and a decreas...
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作者：Bandi, F. M.; Reno, R.
作者单位：Johns Hopkins University; Universite Catholique de Lille; EDHEC Business School; University of Siena
摘要：The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance estimation, as well as infinitesimal cross-moments, we document that a sizeable proportion of discontinuous changes in prices are associated with strongly anti-c...
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作者：Xu, Jin; Yang, Jun
作者单位：Virginia Polytechnic Institute & State University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We examine signing bonuses awarded to executives hired for or promoted to named executive officer (NEO) positions at Standard & Poor's 1500 companies during the period 1992-2011. Executive signing bonuses are sizable and increasing in use, and they are labeled by the media as golden hellos. We find that executive signing bonuses are mainly awarded at firms with greater information asymmetry and higher innate risks, especially to younger executives, to mitigate the executives' concerns about te...
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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：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：Hasler, Michael; Marfe, Roberto
作者单位：University of Toronto; Collegio Carlo Alberto
摘要：Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed, recoveries outweigh the upward-sloping effect of time-varying disaster intensity and expected growth, generating downward-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure of inter...
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作者：Berk, Jonathan B.; van Binsbergen, Jules H.
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania; Tilburg University
摘要：We propose a new method of testing asset pricing models that relies on quantities rather than just prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the risk model that is closest to the model that investors use in making their capital allocation decisions. Using our method, we assess the performance of the most commonly used asset pricing m...
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作者：Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun
作者单位：Goethe University Frankfurt; Universita Ca Foscari Venezia; New York University; Copenhagen Business School; Waseda University
摘要：We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market mak...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri
作者单位：University of Chicago; University of Southern California; National Bureau of Economic Research
摘要：Accruals are the non-cash component of earnings. They represent adjustments made to cash flows to generate a profit measure largely unaffected by the timing of receipts and payments of cash. Prior research uncovers two anomalies: expected returns increase in profitability and decrease in accruals. We show that cash-based operating profitability (a measure that excludes accruals) outperforms measures of profitability that include accruals. Further, cash-based operating profitability subsumes ac...
