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作者：Borochin, Paul; Golec, Joseph
作者单位：University of Connecticut
摘要：Many event studies only measure a fraction of an event's full value effect because they do not adjust for market anticipation of the event. We present a method based on stock and options prices to measure the full effect that accounts for market anticipation. We apply the method to the passage of Obamacare. Our method estimates the full value effect of Obamacare on the healthcare sector as $55 billion, compared to $16 billion when market anticipation is ignored. The method is applicable to mos...
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作者：Degeorge, Francois; Martin, Jens; Phalippou, Ludovic
作者单位：Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University of Amsterdam; University of Oxford; University of Oxford
摘要：Private equity firms increasingly sell companies to each other in secondary buyouts (SBOs), raising concerns which we examine using novel data sets. Our evidence paints a nuanced picture. SBOs underperform and destroy value for investors when they are made by buyers under pressure to spend. Investors then reduce their capital allocation to the firms doing those transactions. But not all SBOs are money-burning devices. SBOs made under no pressure to spend perform as well as other buyouts. When ...
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作者：Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu
作者单位：Saint Louis University; Washington University (WUSTL)
摘要：We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R-2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest's predictive power stems predominantly from a cash f...
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作者：Boone, Audra L.; Floros, Loannis V.; Johnson, Shane A.
作者单位：U.S. Securities & Exchange Commission (SEC); Iowa State University; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Nearly 40% of IPO firms redact information from their SEC registration filings. These firms exhibit characteristics consistent with the need to shield proprietary information from potential rivals. They experience greater underpricing, but pre-IPO insiders reduce underpricing-related wealth transfers by selling proportionately less of the firm's shares at the IPO, raising more equity financing in later seasoned equity offerings, and selling their own holdings at a relatively slow pace. The inf...
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作者：Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio
作者单位：Imperial College London; University of Oxford; City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility risk premia for currency returns. The volatility risk premium the difference between expected realized volatility and model-free implied volatility reflects the costs of insuring against currency volatility fluctuations. The strategy sells high insurance-cost currencies and buys low insurance-cost currencies. A distinctive feature of the stra...
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作者：Eser, Fabian; Schwaab, Bernd
作者单位：European Central Bank
摘要：We assess the yield impact of asset purchases within the European Central Bank's (ECB) Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010-11. In addition to large announcement effects, we find an impact of approximately -3 basis points at the five-year maturity for purchases of 1/1000 of the outstanding debt. Bond yield volatility and tail risk are lower on intervention days for most SMP countries. A dynamic specification points to both transitory and long-ru...
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作者：Halling, Michael; Yu, Jin; Zechner, Josef
作者单位：Stockholm School of Economics; Swedish House of Finance; Shanghai University of Finance & Economics
摘要：Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samp...
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作者：Levine, Ross; Lin, Chen; Xie, Wensi
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Hong Kong; Chinese University of Hong Kong
摘要：Do stock markets act as a spare tire during banking crises, providing an alternative corporate financing channel and mitigating the economic severity of these crises? Using firm level data in 36 countries from 1990 through 2011, we find that the adverse consequences of banking crises on equity issuances, firm profitability, employment, and investment efficiency are smaller in countries with stronger shareholder protection laws. These findings are not explained by the development of stock marke...
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作者：Mullins, William; Schoar, Antoinette
作者单位：University System of Maryland; University of Maryland College Park; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using a survey of 800 Chief Executive Officers (CEOs) in 22 emerging economies, we show that CEOs' management styles and philosophies vary with the ownership and governance structure of their firms. Founders and CEOs of firms with greater family involvement display a greater stakeholder focus, and feel more accountable to employees and banks than to shareholders. They also have a more hierarchical management approach, and see their role as maintaining the status quo rather than bringing about ...
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作者：Appel, Ian R.; Gormley, Todd A.; Keim, Donald B.
作者单位：Boston College; University of Pennsylvania
摘要：Passive institutional investors are an increasingly important component of U.S. stock ownership. To examine whether and by which mechanisms passive investors influence firms' governance, we exploit variation in ownership by passive mutual funds associated with stock assignments to the Russell 1000 and 2000 indexes. Our findings suggest that passive mutual funds influence firms' governance choices, resulting in more independent directors, removal of takeover defenses, and more equal voting righ...
