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作者：Aslan, Hadiye; Kumar, Praveen
作者单位：University System of Georgia; Georgia State University; University of Houston System; University of Houston
摘要：We examine the product market spillover effects of hedge fund activism (HFA) on the industry rivals of target firms. HFA has negative real and stockholder wealth effects on the average rival firm. The effects on rivals' product market performance is commensurate with post-activism improvements in target's productivity, cost and capital allocation efficiency, and product differentiation. Financially constrained rivals accommodate these improvements but those facing high intervention threat resp...
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作者：Baker, Malcolm; Xuan, Yuhai
作者单位：Harvard University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：There is a strong link between measures of stock market performance and subsequent equity issues. We find that management turnover weakens the link between equity issues and the returns that preceded the new chief executive officer (CEO). Moreover, there is a discontinuity in the distribution of equity issues around the specific share price that the CEO inherited, while there is no discontinuity around salient share prices prior to turnover. The evidence suggests that capital allocation involv...
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作者：Ho, Po-Hsin; Huang, Chia-Wei; Lin, Chih-Yung; Yen, Ju-Fang
作者单位：National Taipei University; Yuan Ze University; Yuan Ze University; National Taipei University
摘要：Over a period that includes the 1998 Russian crisis and 2007-2009 financial crisis, banks with overconfident chief executive officers (CEOs) were more likely to weaken lending standards and increase leverage than other banks in advance of a crisis, making them more vulnerable to the shock of the crisis. During crisis years, they generally experienced more increases in loan defaults, greater drops in operating and stock return performance, greater increases in expected default probability, and ...
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作者：Baker, Steven D.; Hollifield, Burton; Osambela, Emilio
作者单位：University of Virginia; Carnegie Mellon University
摘要：When investors disagree, speculation between them alters equilibrium prices in financial markets. Because managers maximize firm value given financial market prices, disagreement alters firms' value-maximizing investment policies. Disagreement therefore impacts aggregate investment, consumption, and output. In a production economy with recursive preferences and disasters, we demonstrate that static disagreement among investors generates dynamic aggregate investment that is positively correlate...
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作者：Filipovic, Damir; Gourier, Elise; Mancini, Loriano
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of London; Queen Mary University London
摘要：We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis. Various goodness-of-fit tests show that quadratic models fit variance swaps on the S&P 500 remarkably well, and outperform affine models. We solve a dynamic optimal portfolio problem in variance swaps, index optio...
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作者：Bessembinder, Hendrik; Carrion, Allen; Tuttle, Laura; Venkataraman, Kumar
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; U.S. Securities & Exchange Commission (SEC); Southern Methodist University
摘要：We extend the theory of strategic trading around a predictable liquidation by considering the role of market resiliency. Our model predicts that even a monopolist strategic trader improves market quality and increases liquidator proceeds if trades' temporary price impacts are quickly reversed, and that competition among strategic traders strictly improves market quality. We provide related empirical evidence by studying prices, liquidity, and individual account trading activity around the larg...
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作者：Feldhutter, Peter; Hotchkiss, Edith; Karakas, Oguzhan
作者单位：University of London; London Business School; Boston College
摘要：This paper introduces a measure that captures the premium in bond prices that is due to the value of creditor control. We estimate the premium as the difference in the bond price and an equivalent synthetic bond without control rights that is constructed using credit default swap (CDS) contracts. We find empirically that this premium increases as firm credit quality decreases and around important credit events such as defaults, bankruptcies, and covenant violations. The increase is greatest fo...
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作者：Linnainmaaa, Juhani T.; Torous, Walter; Yae, James
作者单位：University of Southern California; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Houston System; University of Houston
摘要：We put forward a model in which analysts are uncertain about a firm's earnings process. Faced with the possibility of using a misspecified model, analysts issue forecasts that are robust to model misspecification. We estimate that this mechanism explains approximately 60% of the autocorrelation in analysts' forecast errors. The remainder stems from the cross-sectional variation in mean forecast errors and in analysts' estimation errors of the persistence of earnings growth shocks. Consistent w...
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作者：Carr, Peter; Wu, Liuren
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We develop a new option pricing framework that tightly integrates with how institutional investors manage options positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no-arbitrage constraints on its current shape. Within this framework, we show that just like option implied volatilities, realized and expected volatilities can also be constructed specific to, and different across, option contracts. Applying the new theory to the S&P 500 index...
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作者：Faulkender, Michael; Smith, Jason M.
作者单位：University System of Maryland; University of Maryland College Park; Utah System of Higher Education; Utah State University
摘要：Empirical research has struggled to show that variation in corporate capital structure arises from variation in estimated corporate income tax rates. We argue that, in previdus studies, both the tax rates applied to multinational corporations and the taxable income earned have been mismeasured. Using the Bureau of Economic Analysis annual survey sample combined with each firm's income and country specific tax rate, we find that firms do have higher leverage ratios and lower interest coverage r...
