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作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level. As the size of the active mutual fund industry increases, a fund's ability to outperform passive:benchmarks declines. At the fund level, all methods considered indicate decreasing returns, though estimates that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled over time. Th...
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作者：Heider, Florian; Hoerova, Marie; Holthausen, Cornelia
作者单位：European Central Bank
摘要：We develop a model of interbank lending and borrowing with counterparty risk. The model has two key ingredients. First, liquidity in the banking sector is endogenous, so there is an opportunity cost of holding liquid assets. Second, banks are privately informed about the risk of their long-term assets, which can lead to adverse selection and high interest rates in the interbank market. We identify a novel form of a market break-down, which can lead to liquidity hoarding. It arises because adve...
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作者：Benmelech, Efraim; Frydman, Carola
作者单位：Northwestern University; National Bureau of Economic Research; Boston University
摘要：There is mounting evidence of the influence of personal characteristics of chief executive officers (CEOs) on corporate outcomes. In this paper we analyze the relation between military service of CEOs and managerial decisions, financial policies, and corporate outcomes. Exploiting exogenous variation in the propensity to serve in the military, we show that military service is associated with conservative corporate policies and ethical behavior. Military CEOs pursue lower corporate investment, ...
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作者：Dang, Tung Lam; Moshirian, Fariborz; Zhang, Bohui
作者单位：University of New South Wales Sydney; University of New South Wales Sydney; University of Danang
摘要：Motivated by the pioneering study of Morck. Yeung, and Yu (2000), this paper investigates whether and how news commonality varies according to a country's institutional environments. Using a unique global news data set across 41 countries for the 20002009 period, we document three notable findings. First, firm-level news comoves more in countries with weaker institutional environments than in those with stronger institutional environments. Second, news commonality is positively associated with...
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作者：Arcot, Sridhar; Fluck, Zsuzsanna; Gaspar, Jose-Miguel; Hege, Ulrich
作者单位：ESSEC Business School; Michigan State University; Universite PSL; Universite Paris-Dauphine; Hautes Etudes Commerciales (HEC) Paris
摘要：The fastest growing segment of private equity (PE) deals is secondary buyouts (SBOs)-sales from one PE fund to another. Using a comprehensive sample of leveraged buyouts, we investigate whether SBOs are value-maximizing, or reflect opportunistic behavior. To proxy for adverse incentives, we develop buy and sell pressure indexes based on how close PE funds are to the end of their investment period or lifetime, their unused capital, reputation, deal activity, and fundraising frequency. We report...
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作者：Graham, John R.; Harvey, Campbell R.; Puri, Manju
作者单位：Duke University; National Bureau of Economic Research
摘要：We use a unique data set that contains information on more than 1,000 Chief Executive Officers (CEOs) and Chief Financial Officers (CFOs) around the world to investigate the degree to which executives delegate financial decisions and the circumstances that drive variation in delegation. Delegation does not appear to be monolithic; instead, our results show that it varies across corporate policies and also varies with the personal characteristics of the CEO. We find that CEOs delegate financial...
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作者：Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A.
作者单位：Princeton University; National Bureau of Economic Research; University of Amsterdam
摘要：We propose a model to capture the dynamics of asset returns, with periods of crises that are characterized by contagion. In the model, a jump in one region of the world increases the intensity of jumps both in the same region (self-excitation) as well as in other regions (cross-excitation), generating episodes of highly clustered jumps across world markets that mimic the observed features of the data. We develop and implement moment-based estimation and testing procedures for this model. The e...
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作者：Hanson, Samuel G.; Shleifer, Andrei; Stein, Jeremy C.; Vishny, Robert W.
作者单位：Harvard University; University of Chicago
摘要：We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe money-like claims, they go about this in different ways. Traditional banks create money-like claims by holding illiquid fixed-income assets to maturity, and they rely on deposit insurance and costly equity capital to support this strategy. This strategy allows bank depositors to remain sleepy: they do not have to pay attention to transient fluctuatio...
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作者：Schmidt, Breno
作者单位：Emory University
摘要：Finance theory predicts that board independence is not always in the shareholders' interest, in situations in which board advice is more important than monitoring, independence can decrease firm value. I test this prediction by examining the connection between takeover returns and board friendliness, using social ties between the CEO and board members as a proxy for less independent boards. I find that social ties are associated with higher bidder announcement returns when the potential value ...
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作者：Yuan, Yu
作者单位：Shanghai Jiao Tong University
摘要：Market-wide attention-grabbing events - record levels for the Dow and front-page articles about the stock market - predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following...
