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作者：Jordan, Bradford D.; Riley, Timothy B.
作者单位：University of Kentucky; U.S. Securities & Exchange Commission (SEC)
摘要：In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a vol anomaly factor contrasting returns on portfolios of low and high volatility stocks. Consistent with Novy-Marx (2014) and Fama and French (2014), the Fama and French (2015) profitability and investment factors are equally effective at eliminating the abnormal returns. Failure to acco...
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作者：Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
作者单位：Northwestern University; Johns Hopkins University
摘要：We study the dynamic relation between market risks and risk premia using time series of index option surfaces. We find that priced left tail risk cannot be spanned by market volatility (and its components) and introduce a new tail factor. This tail factor has no incremental predictive power for future volatility and jump risks, beyond current and past volatility, but is critical in predicting future market equity and variance risk premia. Our findings suggest a wide wedge between the dynamics ...
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作者：Boone, Audra L.; White, Joshua T.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University System of Georgia; University of Georgia
摘要：We examine the effects of institutional ownership on firms' information and trading environments using the annual Russell 1000/2000 index reconstitution. Characteristics of firms near the index cutoffs are similar, except that firms in the top of the Russell 2000 have discontinuously higher proportional institutional ownership than firms in the bottom of the Russell 1000 primarily due to indexing and benchmarking strategies. We find that higher institutional ownership is associated with greate...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri V.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Gross profit scaled by book value of total assets predicts the cross section of average returns. Novy-Marx (2013) concludes that it outperforms other measures of profitability such as bottom line net income, cash flows, and dividends. One potential explanation for the measure's predictive ability is that its numerator (gross profit) is a cleaner measure of economic profitability. An alternative explanation lies in the measure's deflator. We find that net income equals gross profit in predictiv...
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作者：Golubov, Andrey; Yawson, Alfred; Zhang, Huizhong
作者单位：City St Georges, University of London; University of Adelaide
摘要：Firm fixed effects alone explain as much of the variation in acquirer returns as all the firm- and deal-specific characteristics combined. An interquartile range of acquirer fixed effects is over 6%, comparable to the interquartile range of acquirer returns. Acquirer returns persist over time, but mainly at the top end of the distribution. Persistence continues under different chief executive officers (CEOs), and attributes of the broader management team do not explain the fixed effect. Firm-s...
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作者：Bond, Philip; Leitner, Yaron
作者单位：University of Washington; University of Washington Seattle; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study trade between an informed seller and an uninformed buyer who have existing inventories of assets similar to those being traded. We show that these inventories could induce the buyer to increase the price (a run-up) but could also make trade impossible (a freeze) and hamper information dissemination. Competition can amplify the run-up by inducing buyers to purchase assets at a loss to prevent competitors from purchasing at lower prices and releasing bad news about inventories. In a dyn...
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作者：Allen, Franklin; Carletti, Elena; Marquez, Robert
作者单位：Imperial College London; University of Pennsylvania; Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; University of California System; University of California Davis
摘要：In a model with bankruptcy costs and segmented deposit and equity markets, we endogenize the cost of equity and deposit finance for banks. Despite risk neutrality, equity capital earns a higher expected return than direct investment in risky assets. Banks hold positive capital to reduce bankruptcy costs, but there is a role for capital regulation when deposits are insured. Banks could no longer use capital when they lend to firms instead of investing directly in risky assets. This depends on w...
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作者：Ahern, Kenneth R.; Daminelli, Daniele; Fracassi, Cesare
作者单位：University of Southern California; Polytechnic University of Milan; University of Texas System; University of Texas Austin
摘要：We find strong evidence that three key dimensions of national culture (trust, hierarchy, and individualism) affect merger volume and synergy gains. The volume of cross-border mergers is lower when countries are more culturally distant. In addition, greater cultural distance in trust and individualism leads to lower combined announcement returns. These findings are robust to year and country-level fixed effects, time-varying country-pair and deal-level variables, as well as instrumental variabl...
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作者：Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
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作者：Dittmar, Amy; Field, Laura Casares
作者单位：University of Michigan System; University of Michigan; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Little is known about the price firms pay for stock repurchases. Using a data set of all U.S. repurchases from 2004 to 2011, we compare the actual average price paid monthly in a repurchase with the average market price for the same stock over various horizons. We find that firms repurchase stock at a significantly lower price than the average market price in all sample years. Less frequent repurchasers, firms that repurchase when insiders buy on their own account, and firms that experience lo...
