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作者：Favilukis, Jack
作者单位：University of London; London School Economics & Political Science
摘要：The last 30 years saw substantial increases in wealth inequality and stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and the expected equity premium, as well as a prolonged stock market boom. In an incomplete markets, overlapping generations model I jointly explain these trends by the observed rise in wage inequality, decrease in participation costs, and loosening of borrowing constraints. After accoun...
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作者：Gantchev, Nickolay
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper provides benchmarks for monitoring costs and evaluates the net returns to shareholder activism. I model activism as a sequential decision process consisting of demand negotiations, board representation, and proxy contest and estimate the costs of each activism stage. A campaign ending in a proxy fight has average costs of $10.71 million. I find that the estimated monitoring costs reduce activist returns by more than two-thirds. The mean net activist return is close to zero but the t...
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作者：Duchin, Ran; Schmidt, Breno
作者单位：University of Washington; University of Washington Seattle; Emory University
摘要：We show that acquisitions initiated during periods of high merger activity (merger waves) are accompanied by poorer quality of analysts' forecasts, greater uncertainty, and weaker CEO turnover-performance sensitivity. These conditions imply reduced monitoring and lower penalties for initiating inefficient mergers. Therefore, merger waves may foster agency-driven behavior, which, along with managerial herding, could lead to worse mergers. Consistent with this hypothesis, we find that the averag...
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作者：Du, Du
作者单位：City University of Hong Kong
摘要：This paper presents a consumption-based general equilibrium model for valuing foreign exchange contingent claims. The model identifies a novel economic mechanism by exploiting highly but imperfectly shared consumption disaster with variable intensities which are the concerns to the representative investor under recursive utility. When applied to the data, the model simultaneously replicates (i) the moderate option-implied volatilities; (ii) substantial variations in the risk-neutral skewness o...
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作者：Buti, Sabrina; Rindi, Barbara
作者单位：University of Toronto; Bocconi University; Bocconi University
摘要：Reserve orders enable traders to hide a portion of their orders and now appear in most electronic limit order markets. This paper outlines a theory to determine an optimal submission strategy in a limit order book, in which traders choose among limit, market, and reserve orders and simultaneously set price, quantity, and exposure. We show that reserve orders help traders compete for the provision of liquidity and reduce the friction generated by exposure costs. Therefore, total gains from trad...
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作者：Vasicek, Oldrich Alfons
摘要：The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of eco...
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作者：Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei
作者单位：University of Notre Dame; INSEAD Business School; Michigan State University
摘要：We study the link between a firm's quality of governance and its alliance activity. We consider alliances as a commitment technology that helps a company' Chief Executive Officer overcome agency problems that relate to the inability to ex ante motivate division managers. We show that well-governed firms are more likely to avail themselves of this technology to anticipate ex post commitment problems and resolve them. The role of governance is particularly important when the commitment problems ...
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作者：Liu, Baixiao; McConnell, John J.
作者单位：State University System of Florida; Florida State University; Purdue University System; Purdue University
摘要：Using 636 large acquisition attempts that are accompanied by a negative stock price reaction at their announcement (value-reducing acquisition attempts) from 1990 to 2010, we find that, in deciding whether to abandon a value-reducing acquisition attempt, managers' sensitivity to the firm's stock price reaction at the announcement is influenced by the level and the tone of media attention to the proposed transaction. We interpret the results to imply that managers have reputational capital at r...
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作者：Filipovic, Damir; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank risk due to default risk, on average, increases with maturity. At short maturities, the non-default component is important i...
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作者：Jain, Archana; Jain, Pankaj K.; McInish, Thomas H.; McKenzie, Michael
作者单位：Rochester Institute of Technology; University of Memphis; University of Sydney
摘要：We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selling of the country's American Depository Receipts (ADRs) by 68% due to regulatory reach. Also, the 2008 US ban on short selling of financial firms reduced borrowing in foreign locations. These findings are robust to controls for option availability, enforcement, returns, firm size, trading volume, ...
