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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：Brogaard, Jonathan; Engelberg, Joseph; Parsons, Christopher A.
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California San Diego
摘要：Using detailed publication and citation data for over 50,000 articles from 30 major economics and finance journals, we investigate whether network proximity to an editor influences research productivity. During an editor's tenure, his current university colleagues publish about 100% more papers in the editor's journal, compared to years when he is not editor. In contrast to editorial nepotism, such inside articles have significantly higher ex post citation counts, even when same-journal and se...
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作者：Lai, Sandy; Ng, Lilian; Zhang, Bohui
作者单位：University of Hong Kong; University of Wisconsin System; University of Wisconsin Milwaukee; University of New South Wales Sydney
摘要：This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O'Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O'Hara, but consistent with that of Duarte and Young (2009), we do not find that PIN exhibits a positive effect on a cross section of expected stock returns in international markets. Alternative information-based tradin...
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作者：Hanlon, Michelle; Hoopes, Jeffrey L.
作者单位：Massachusetts Institute of Technology (MIT); University System of Ohio; Ohio State University
摘要：This paper investigates whether investor-level taxes affect corporate payout policy decisions. We predict and find a surge of special dividends in the final months of 2010 and 2012, immediately before individual-level dividend tax rates were expected to increase. We also find evidence that immediately before the expected tax increases, firms altered the timing of their regular dividend payments by shifting what would normally be January regular dividend payments into the preceding December. To...
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作者：So, Eric C.; Wang, Sean
作者单位：Massachusetts Institute of Technology (MIT); University of North Carolina; University of North Carolina Chapel Hill
摘要：This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest that market makers demand higher expected returns prior to earnings announcements because of increased inventory risks t...
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作者：Ornthanalai, Chayawat
作者单位：University of Toronto
摘要：Using index options and returns from 1996 to 2009, I estimate discrete-time models where asset returns follow a Brownian increment and a Levy jump. Time variations in these models are generated with an affine GARCH, which facilitates the empirical implementation. I find that the risk premium implied by infinite-activity jumps contributes to more than half of the total equity premium and dominates that of the Brownian increments suggesting that it is more representative of the risks present in ...
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作者：Hombert, Johan; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Limits to arbitrage arise because financial intermediaries may face funding constraints when mispricing worsens. Using a model with limits to arbitrage, where we allow arbitrageurs to secure capital even in case of underperformance, we show that arbitrageurs that are more protected from withdrawals have more mean-reverting and volatile returns. Using data on hedge fund performance, we find robust support for these hypotheses: Funds with contractual impediments to withdrawals, and funds with pe...
