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作者：Johnson, William C.; Karpoff, Jonathan M.; Yi, Sangho
作者单位：Suffolk University; University of Washington; University of Washington Seattle; Sogang University
摘要：We propose and test an efficiency explanation for why Firms deploy takeover defenses using initial public offering (IPO) firm data. We hypothesize that takeover defenses bond the firm's commitments by reducing the likelihood that an outside takeover will change the firm's operating strategy and impose costs on its business partners. Consistent with this hypothesis, we find that IPO firms deploy more takeover defenses when they have important business relationships to protect. An IPO firm's use...
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作者：Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time-varying prices of risk, time-varying betas, and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asym...
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作者：Segal, Gill; Shaliastovich, Ivan; Yaron, Amir
作者单位：University of Pennsylvania
摘要：Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into 'good' and 'bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such as consumption, ou...
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作者：Levi, Shai; Zhang, Xiao-Jun
作者单位：Tel Aviv University; University of California System; University of California Berkeley
摘要：Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce their sales as much as their purchases in the days before announcements. Investors needing liquidity sell stocks at a discount relative to the post-announcement price, and these preannouncement liquidity ...
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作者：Amihud, Yakov; Hameed, Allaudeen; Kang, Wenjin; Zhang, Huiping
作者单位：New York University; National University of Singapore; Renmin University of China; Shanghai University of Finance & Economics
摘要：We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross section Fama-MacBeth regressions. Second, a commonality exists across countries in the illiquidity return premium, con...
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作者：Cronqvist, Henrik; Siegel, Stephan; Yu, Frank
作者单位：China Europe International Business School; University of Washington; University of Washington Seattle
摘要：We find that several factors explain an individual investor's style, i.e., the value versus growth orientation of the investor's stock portfolio. First, we find that an investor's style has a biological basis and is partially ingrained in an investor from birth. Second, we show that an investor's hedging demands as well as behavioral biases explain investment style. Finally, an investor's style is explained by life course theory in that experiences, both earlier and later in life, are related ...
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作者：Dimson, Elroy; Rousseau, Peter L.; Spaenjers, Christophe
作者单位：University of Cambridge; University of London; London Business School; Vanderbilt University; Hautes Etudes Commerciales (HEC) Paris
摘要：Using historical price records for Bordeaux Premiers Crus, we examine the impact of aging on wine prices and the long-term investment performance of fine wine. In line with the predictions of an illustrative model, young maturing wines from high-quality vintages provide the highest financial returns. Past maturity, famous chateaus deliver growing non-pecuniary benefits to their owners. Using an arithmetic repeat-sales regression over 1900-2012, we estimate a real financial return to wine inves...
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作者：Jeong, Daehee; Kim, Hwagyun; Park, Joon Y.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Korea Development Institute (KDI); Indiana University System; Indiana University Bloomington; Sungkyunkwan University (SKKU)
摘要：This paper considers asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors recursive utility. We find that relative risk aversion is estimated around 1-8 with ambiguity aversion and 7.4-15 without ambiguity aversion. Estimated ambiguity aversion is both economically and statisticall...
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作者：Sen, Rik; Tumarkin, Robert
作者单位：Hong Kong University of Science & Technology
摘要：We show that an executive is optimistic about her company's prospects if and only if she retains some of the shares received whenever she exercises company stock options. Empirically, an indicator of optimism based on this idea matches the expected relations between optimism and corporate decision-making better than commonly used indicators based on the timing of option exercise. This makes sense, as our model of an executive's optimal option exercise and portfolio choice demonstrates that the...
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作者：Hugonnier, Julien; Prieto, Rodolfo
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Boston University
摘要：We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility. Such credit is valuable as it allows arbitrageurs to exploit the limited arbitrage opportunities that emerge endogenously in reaction to the demand imbalance generated by the portfolio constraint The model is solved in closed...
