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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Carnegie Mellon University
摘要：We evaluate empirically two sources of large takeover premiums: preemptive bidding and target resistance. We develop an auction model that features costly sequential entry of bidders in takeover contests and encompasses both explanations. We estimate the model parameters by simulated method of moments for a sample of US takeovers. Our estimates imply that target resistance explains the entire magnitude of the premium in 74% of successful single-bidder contests. Simulation experiments show that...
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作者：Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen
作者单位：Brandeis University; University of California System; University of California San Diego; Centre for Economic Policy Research - UK; CREATES
摘要：We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two types of constraints: non-negative equity premia and bounds on the conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework. Em...
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作者：Fang, Jieyan; Kempf, Alexander; Trapp, Monika
作者单位：University of Mannheim; University of Cologne; University of Cologne
摘要：We show that fund families allocate their most skilled managers to market segments in which manager skill is rewarded best. In efficient markets, even skilled managers cannot generate excess returns. In less efficient markets, skilled managers can exploit inefficiencies and generate higher performance than unskilled managers. Fund families seem to be aware of the relation between skill, efficiency, and performance, and allocate more skilled managers to inefficient markets. They pursue this str...
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作者：Ouimet, Paige; Zarutskie, Rebecca
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Young firms disproportionately employ and hire young workers. On average, young employees in young firms earn higher wages than young employees in older firms. Young employees disproportionately join young firms with greater innovation potential and that exhibit higher growth, conditional on survival. We argue that the skills, risk tolerance, and joint dynamics of young workers contribute to their disproportionate share of employment in young firms. Moreover, an increase in the supply of young...
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作者：Hu, Jianfeng
作者单位：Singapore Management University
摘要：After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the cross sect...
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作者：Choi, Hyun-Soo; Hong, Harrison; Scheinkman, Jose
作者单位：Singapore Management University; Princeton University; Columbia University; National Bureau of Economic Research
摘要：We develop a speculation-based theory of home improvements. Housing services are produced from a mix of land and structures. Homeowners optimistic about future prices for these services speculate by making improvements, which we model as them increasing their structures holding fixed their land. The recoup value (the difference between the resale value of improvements and construction costs) is simultaneously increasing in home price appreciation and falls with construction cost growth. This p...
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作者：Foucault, Thierry; Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Maryland; University of Maryland College Park
摘要：Peers' valuation matters for firms' investment: a one standard deviation increase in peers' valuation is associated with a 5.9% increase in corporate investment. This association is stronger when a firm's stock price informativeness is lower or when its managers appear less informed. Also, the sensitivity of a firm's investment to its stock price is lower when its peers' stock price informativeness is higher or when demands for its products and its peers' products are more correlated. Furtherm...
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作者：Conrad, Jennifer; Kapadia, Nishad; Xing, Yuhang
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Rice University; Tulane University
摘要：Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms with a high potential for default (death) also tend to have a relatively high probability of extremely large (jackpot) payoffs. Consistent with an investor preference for skewed, lottery-like payoffs, stocks with high predicted probabilities for jackpot returns earn abnormally low average returns. Stocks with high death or jackpot probabiliti...
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作者：Ishii, Joy; Xuan, Yuhai
作者单位：Stanford University; Harvard University
摘要：This article investigates the effect of social ties between acquirers and targets on merger performance. We find that the extent of cross-firm social connection between directors and senior executives at the acquiring and the target firms has a significantly' negative effect on the abnormal returns to the acquirer and to the combined entity upon merger announcement. Moreover, acquirer-target social ties significantly increase the likelihood that the target firm's chief executive officer (CEO) ...
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作者：Baranchuk, Nina; Kieschnick, Robert; Moussawi, Rabih
作者单位：University of Texas System; University of Texas Dallas; University of Pennsylvania
摘要：Prior research suggests that executive option grants that do not quickly vest provide managers with better incentives to pursue long-term, instead of short-term, objectives. Previous research also suggests that the pursuit of long-term objectives could be undermined by the risk of early termination. We conjecture that these arguments jointly suggest that managers are better motivated to pursue innovation when they are given more incentive compensation with longer vesting periods for unexercise...
