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作者：Buchuk, David; Larrain, Borja; Munoz, Francisco; Urzua, Francisco, I
作者单位：University of Houston System; University of Houston; Pontificia Universidad Catolica de Chile; Stanford University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study business groups' internal capital markets using a unique data set on intra-group lending in Chile (1990-2009). In line with groups financing advantage, firms that borrow internally have higher investment, leverage, and return on equity (ROE) than other firms. At the margin, controlling shareholders have higher cash-flow rights in borrowing firms than in lending firms. However, there is no robust evidence of minority shareholders losing out from intra-group loans as tunneling predicts....
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作者：Lettau, Martin; Maggiori, Matteo; Weber, Michael
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Harvard University; University of Chicago
摘要：The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, ...
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作者：Yermack, David
作者单位：New York University; National Bureau of Economic Research
摘要：This paper shows connections between chief executive officers' (CEOs') absences from headquarters and corporate news disclosures. I identify CEO absences by merging records of corporate jet flights and CEOs' property ownership near leisure destinations. CEOs travel to their vacation homes just after companies report favorable news, and CEOs return to headquarters right before subsequent news releases. When CEOs are away, companies announce less news, mandatory disclosures occur later, and stoc...
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作者：Carlin, Bruce I.; Longstaff, Francis A.; Matoba, Kyle
作者单位：University of California System; University of California Los Angeles
摘要：How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility, ...
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作者：Cronqvist, Henrik; Siegel, Stephan
作者单位：China Europe International Business School; University of Washington; University of Washington Seattle
摘要：For a long list of investment biases, including lack of diversification, excessive trading, and the disposition effect, we find that genetic differences explain up to 45% of the remaining variation across individual investors, after controlling for observable individual characteristics. The evidence is consistent with a view that investment biases are manifestations of innate and evolutionary ancient features of human behavior. We find that work experience with finance reduces genetic predispo...
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作者：Fos, Vyacheslav; Tsoutsoura, Margarita
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Chicago
摘要：This paper shows that proxy contests have a significant adverse effect on careers of incumbent directors. Following a proxy contest, directors experience a significant decline in the number of directorships not only in the targeted company, but also in other nontargeted companies. The results are established using the universe of all proxy contests during 1996-2010. To isolate the effect of the proxy contest, our empirical strategy uses within-firm variation in directors' exposure to the possi...
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作者：Jorion, Philippe; Schwarz, Christopher
作者单位：University of California System; University of California Irvine
摘要：A discontinuity, or kink, at zero in the hedge fund net return distribution has been interpreted as evidence of managers manipulating returns to avoid showing small losses. Instead, we propose alternative explanations for this phenomenon. In particular, we show that incentive fees can mechanistically create a kink in the net return distribution. This mechanism accounts for almost the entire kink observed in the large, liquid Long-Short Equity style. Furthermore, we show that asset illiquidity ...
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作者：Xia, Han
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper examines how the information quality of ratings from an issuer-paid rating agency (Standard and Poor's) responds to the entry of an investor-paid rating agency, the Egan-Jones Rating Company (EJR). By comparing S&P's ratings quality before and after EJR initiates coverage of each firm, I find a significant improvement in S&P's ratings quality following EJR's coverage initiation. S&P's ratings become more responsive to credit risk and its rating changes incorporate higher information...
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作者：Jiang, Hao; Sun, Zheng
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Michigan State University; University of Texas System; University of Texas Austin; University of California System; University of California Irvine
摘要：We propose a measure of dispersion in fund managers' beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect is particularly pronounced among stocks with high information asymmetry and binding short-sale constraints. These results suggest that a subgroup of informed managers drives up the dispersion in active ...
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作者：Huang, Qianqian; Jiang, Feng; Lie, Erik; Yang, Ke
作者单位：City University of Hong Kong; State University of New York (SUNY) System; University at Buffalo, SUNY; University of Iowa; Lehigh University
摘要：We examine how directors with investment banking experience affect firms' acquisition behavior. We find that firms with investment bankers on the board have a higher probability of making acquisitions. Furthermore, acquirers with investment banker directors experience higher announcement returns, pay lower takeover premiums and advisory fees, and exhibit superior long-run performance. Overall, our results suggest that directors with investment banking experience help firms make better acquisit...
