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作者：Dambra, Michael; Field, Laura Casares; Gustafson, Matthew T.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In April 2012, the Jumpstart Our Business Startups Act (JOBS Act) was enacted to help revitalize the initial public offering (IPO) market, especially for small firms. During the year ending March 2014, IPO volume and the proportion of small firm issuers was the largest since 2000. Controlling for market conditions, we estimate that the JOBS Act has led to 21 additional IPOs annually, a 25% increase over pre-JOBS levels. Firms with high proprietary disclosure costs, such as biotechnology and ph...
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作者：Fang, Lily; Ivashina, Victoria; Lerner, Josh
作者单位：INSEAD Business School; Harvard University; National Bureau of Economic Research
摘要：We examine 20 years of direct private equity investments by seven large institutions. These direct investments perform better than public market indices, especially buyout investments and those made in the 1990s. Outperformance by the direct investments, however, relative to the corresponding private equity fund benchmarks is limited and concentrated among buyout transactions. Co-investments underperform the corresponding funds with which they co-invest, due to an apparent adverse selection of...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). The five-factor model's main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability. The model's performance is not sensitive to the way its factors are defined. With the addition of profitability...
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作者：Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
作者单位：Yale University; Harvard University; Harvard University
摘要：Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. We find that the model captures many features of actual prices and ...
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作者：Jotikasthira, Chotibhak; Anh Le; Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central banks react to changing economic environments. Investors could also respond to these shocks by altering their required compensation for risk. Macroeconomic shocks thus influence bond yields both through a ...
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作者：Mironov, Maxim
摘要：This paper examines the interaction between the propensity to corrupt (PTC) and firm performance. Using a unique data set of Moscow traffic violations, I construct the PTC of every Muscovite with a driver's license. Next, I determine the PTC for the top management of 58,157 privately held firms. I find that a 1 standard deviation increase in management PTC corresponds to a 3.6% increase in income diversion and that firms with corrupt management significantly outperform their counterparts. This...
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作者：Bollerslev, Tim; Todorov, Viktor; Xu, Lai
作者单位：Duke University; National Bureau of Economic Research; CREATES; Northwestern University; Syracuse University
摘要：The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensation demanded by investors for bearing jump tail risk, consistent with the idea that market fears pl...
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作者：Pevzner, Mikhail; Xie, Fei; Xin, Xiangang
作者单位：University System of Maryland; University of Baltimore; Clemson University; City University of Hong Kong
摘要：We examine whether the level of trust in a country affects investors' perception and utilization of information transmitted by firms through financial disclosure. Specifically, we investigate the effect of societal trust on investor reactions to corporate earnings announcements. We test two competing hypotheses. On the one hand, corporate earnings announcements are perceived as more credible by investors in more trusting societies and, therefore, elicit stronger investor reactions. On the othe...
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作者：John, Kose; Knyazeva, Anzhela; Knyazeva, Diana
作者单位：New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; U.S. Securities & Exchange Commission (SEC)
摘要：This paper examines the outcomes and characteristics of corporate acquisitions from the perspective of stakeholder-shareholder agency conflicts. Using state variation in labor protections, we find that acquirers with strong labor rights experience lower announcement returns. Combined acquirer and target announcement returns are also lower in the presence of strong labor rights. Our findings remain statistically and economically significant after we control for a range of deal, firm, industry a...
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作者：Barroso, Pedro; Santa-Clara, Pedro
作者单位：University of New South Wales Sydney; Universidade Nova de Lisboa; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the origin...
