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作者：Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio
作者单位：University of Quebec; University of Quebec Montreal; University of Toronto; Copenhagen Business School; CREATES; Aarhus University; University of Houston System; University of Houston; Instituto Tecnologico Autonomo de Mexico
摘要：We use intraday data to compute weekly realized moments for equity returns and study their time-series and cross-sectional properties. Buying stocks in the lowest realized skewness decile and selling stocks in the highest realized skewness decile generates an average return of 19 basis points the following week with a t-statistic of 3.70. This result is robust across a wide variety of implementations and is not captured by the Fama-French and Carhart factors. The relation between realized kurt...
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作者：Demiroglu, Cem; James, Christopher
作者单位：Koc University; State University System of Florida; University of Florida
摘要：This paper examines the relation between the number and type of lenders that participate in corporate loan facilities and the nature of troubled debt restructurings. We find that loans from traditional bank lenders are significantly easier to restructure out of court than loans from institutional lenders. We also find that the existence of a past banking relationship between the borrower and the lead arranger of a syndicated loan adversely affects the ease of restructuring. Finally, we find th...
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作者：Braguinsky, Serguey; Mityakov, Sergey
作者单位：Carnegie Mellon University; Clemson University
摘要：Firms from developed countries carry a culture of transparency in business transactions that is opposite to the culture of hiding and insider dealing in developing and transition economies. We employ Russian administrative data on reported earnings and market values of cars to measure wage misreporting for individual employees of domestic firms in Moscow. We show that closer ties to multinationals lead to improved transparency of wage reporting in private Russian companies. Employees located c...
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作者：Efing, Matthias; Hau, Harald
作者单位：University of Geneva
摘要：We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business. Such rating favors are larger for very complex structured debt deals and for deals issued during the credit boom period. Our analysis is b...
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作者：Kung, Howard
作者单位：University of London; London Business School
摘要：This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond marke...
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作者：Sloan, Richard G.; You, Haifeng
作者单位：University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：Previous research indicates that firms issue shares when their stock is overpriced and repurchase shares when their stock is underpriced. Such transactions transfer wealth from transacting stockholders to ongoing stockholders. We quantify the magnitude of these wealth transfers and analyze their implications. Strikingly, we find that for the average firm-year, these wealth transfers approximate 40% of net income. We also find that these wealth transfers can be predicted using a variety of firm...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：Northwestern University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We study which dimensions of corporate culture are related to a firm's performance and why. We find that proclaimed values appear irrelevant. Yet, when employees perceive top managers as trustworthy and ethical, a firm's performance is stronger. We then study how different governance structures impact the ability to sustain integrity as a corporate value. We find that publicly traded firms are less able to sustain it. Traditional measures of corporate governance do not seem to have much of an ...
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作者：DeBacker, Jason; Heim, Bradley T.; Anh Tran
作者单位：United States Department of the Treasury; Indiana University System; Indiana University Bloomington
摘要：We study how cultural norms and enforcement policies influence illicit corporate activities. Using confidential Internal Revenue Service (IRS) audit data, we show that corporations with owners from countries with higher corruption norms evade more tax in the U.S. This effect is strong for small corporations and decreases as the size of the corporation increases. In the mid-2000s, the United States implemented several enforcement measures to increase tax compliance. We find that these enforceme...
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作者：Berk, Jonathan B.; van Binsbergen, Jules H.
作者单位：Stanford University; University of Pennsylvania; Tilburg University; National Bureau of Economic Research
摘要：Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and a strong positive correlation exists between current compensation and future performance. The cros...
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作者：Fich, Eliezer M.; Harford, Jarrad; Tran, Anh L.
作者单位：Drexel University; University of Washington; University of Washington Seattle; City St Georges, University of London
摘要：Studies of institutional monitoring focus on the fraction of the firm held by institutions. We focus on the fraction of the institution's portfolio represented by the firm. In the context of acquisitions, we hypothesize that institutional monitoring will be greatest when the target firm represents a significant allocation of funds in the institution's portfolio. We show that this measure is important in reconciling mixed findings for total institutional ownership in the prior literature. The r...
