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作者：Otto, Clemens A.
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：I study the effect of chief executive officer (CEO) optimism on CEO compensation. Using data on compensation in US firms, I provide evidence that CEOs whose option exercise behavior and earnings forecasts are indicative of optimistic beliefs receive smaller stock option grants, fewer bonus payments, and less total compensation than their peers. These findings add to our understanding of the interplay between managerial biases and remuneration and show how sophisticated principals can take adva...
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作者：Hunter, David; Kandel, Eugene; Kandel, Shmuel; Wermers, Russ
作者单位：University of Hawaii System; Hebrew University of Jerusalem; Center for Economic & Policy Research (CEPR); Tel Aviv University; University System of Maryland; University of Maryland College Park
摘要：We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category funds, which we call an active peer benchmark (APB). We find that APBs substantially reduce the average time series correlation of residuals between individual funds within a group when added to a four...
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作者：Frazzini, Andrea; Pedersen, Lasse Heje
作者单位：New York University; Copenhagen Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (I) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets,...
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作者：Hvide, Hans K.; Panos, Georgios A.
作者单位：University of Bergen; University of Stirling; University of Aberdeen
摘要：A theoretical tradition argues that more risk tolerant individuals are more likely to become entrepreneurs but perform worse. We test and confirm these predictions with several risk tolerance proxies. Using investment data for 400,000 individuals, we find that common stock investors are around 50% more likely to subsequently start up a firm. Firms started up by common stock investors have about 25% lower sales and 15% lower return on assets. The results are similar using personal leverage and ...
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作者：Piotroski, Joseph D.; Zhang, Tianyu
作者单位：Stanford University; Chinese University of Hong Kong
摘要：This paper shows that incentives created by the impending turnover of local politicians can accelerate the pace of initial public offering (IPO) activity in certain politicized environments. Focusing on China, we exploit a research setting where politicians are rewarded for capital market development, firms rely on political connections for access to capital, rent-seeking behavior is rampant, and the objectives of the state might not be to maximize capital market efficiency. We find that the r...
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作者：Christensen, Kim; Oomen, Roel C. A.; Podolskij, Mark
作者单位：CREATES; Aarhus University; Deutsche Bank; University of Amsterdam; Aarhus University
摘要：This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive set of ultra high-frequency equity and foreign exchange tick data recorded at millisecond precision, allowing us to examine the price evolution at the individual order level. We show that in both theory and practice, traditional measures of jump variation b...
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作者：Hendershott, Terrence; Menkveld, Albert J.
作者单位：University of California System; University of California Berkeley; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of 0.92 days. Theoretically, a simple dynamic inventory model captures an intermediary's use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure against price risk...
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作者：Green, T. Clifton; Jame, Russell; Markov, Stanimir; Subasi, Musa
作者单位：Emory University; University of Kentucky; Southern Methodist University; University of Missouri System; University of Missouri Columbia
摘要：We examine whether access to management at broker-hosted investor conferences leads to more informative research by analysts. We find analyst recommendation changes have larger immediate price impacts when the analyst's firm has a conference-hosting relation with the company. The effect increases with hosting frequency and is strongest in the days following the conference. Conference-hosting brokers also issue more informative, accurate, and timely earnings forecasts than non-hosts. Our findin...
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作者：Savor, Pavel; Wilson, Mungo
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Oxford; University of Oxford
摘要：We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In addition to significantly higher average returns for risky assets on announcement days, return patterns are much easier to reconcile with standard asset pricing theories, both cross-sectionally and over time. On such days, stock market beta is strongly related to average returns. This positive relation holds for individual stocks, for various test portfolios, and even f...
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作者：Novy-Marx, Robert
作者单位：University of Rochester
摘要：Predictive regressions find that the party of the US president, the weather in Manhattan, global warming, the El Nino phenomenon, sunspots, and the conjunctions of the planets all have significant power predicting the performance of popular anomalies. The interpretation of these results has important implications for the asset pricing literature. (C) 2014 Elsevier B.V. All rights reserved.
