-
作者：Spiegel, Matthew; Zhang, Hong
作者单位：Yale University; INSEAD Business School
摘要：Several papers use a fractional specification (net inflow/assets under management) to infer a convex relation between flow and past performance. However, heterogeneous linear response functions combined with the pooled analysis commonly used in these studies can yield false convexity estimates. We show that such heterogeneity obtains in practice. Along these same lines, the paper also finds that several previously unexamined implications of a convex flow-performance relation fail to hold. More...
-
作者：Li, Yan; Yang, Liyan
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Toronto
摘要：We build a general equilibrium model to examine the implications of prospect theory for the disposition effect, asset prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return volatility, and a positive return-volume correlation. Loss aversion generally predicts the opposite. In calibrated economies, there is a nontrivial range of preference parameters for prospect theory to simultaneously explain the disposition effect, the momentum ef...
-
作者：Campello, Murillo; Graham, John R.
作者单位：Cornell University; National Bureau of Economic Research; Duke University
摘要：We study the capital investment, stock issuance, and cash savings behavior of non-tech manufacturers (old economy firms) during the 1990s technology bubble. Our empirical results show that high stock prices affect corporate policies because they relax financing constraints. During the tech bubble, constrained non-tech firms' investment responded strongly to high stock prices (specifically, the component of price that is not captured by fundamentals). They also issued stock in response to that ...
-
作者：Parlour, Christine A.; Winton, Andrew
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Berkeley
摘要：How do markets for debt cash flow rights, with and without accompanying control rights, affect the efficiency of lending? A bank makes a loan, learns if it needs monitoring, and then decides whether to lay off credit risk. The bank can transfer credit risk by either selling the loan or buying a credit default swap (CDS). With a CDS, the originating bank retains the loan's control rights; with loan sales, control rights pass to the loan buyer. Credit risk transfer leads to excessive monitoring ...
-
作者：Chan, Lilian H.; Chen, Kevin C. W.; Chen, Tai-Yuan
作者单位：University of Hong Kong; Hong Kong University of Science & Technology
摘要：Although firm-initiated clawbacks reduce accounting manipulation, they also induce managers to engage in suboptimal activities (e.g., reduce research and development (R&D) expenses) to achieve earnings targets. To assess the effectiveness of clawback provisions, we examine their impact from debtholders' point of view. We find that banks use more financial covenants and performance pricing provisions in the loan contracts and decrease interest rates after firms initiate clawbacks. Moreover, we ...
-
作者：Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun
作者单位：National Bureau of Economic Research; Columbia University; University of Oxford
摘要：We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply decision inducing a link between a financial friction in the futures market and the commodity spot prices. Consistent with the model, measure...
-
作者：Boubakri, Narjess; Cosset, Jean-Claude; Saffar, Walid
作者单位：American University of Sharjah; Universite de Montreal; HEC Montreal; Hong Kong Polytechnic University
摘要：Using a unique database of 381 newly privatized firms from 57 countries, we investigate the impact of shareholders' identity on corporate risk-taking behavior. We find strong and robust evidence that state (foreign) ownership is negatively (positively) related to corporate risk-taking. Moreover, we find that high risk-taking by foreign owners depends on the strength of country-level governance institutions. Our results suggest that relinquishment of government control, openness to foreign inve...
-
作者：Ramadorai, Tarun
作者单位：University of Oxford
摘要：To identify capacity constraints in hedge funds and simultaneously gauge how well-informed hedge fund investors are, we need measures of investor demand that do not affect deployed hedge fund assets. Using new data on investor interest from a secondary market for hedge funds, this paper verifies the existence of capacity constraints in hedge funds. There is more mixed evidence on the information available to hedge fund investors. Buy and sell indications arrive following fund outperformance. W...
-
作者：Nain, Amrita; Yao, Tong
作者单位：University of Iowa
摘要：We show that the commonly observed correlation between institutional investor ownership and the success of mergers is partly driven by active stock picking. Several mutual fund stock selection skill measures strongly predict the post-merger performance of corporate acquirers even after controlling for possible shareholder monitoring. These findings are stronger for funds with characteristics more indicative of active stock picking. Moreover, firms held by funds with higher stock selection skil...
-
作者：Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; Wermers, Russ
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; California Institute of Technology; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
摘要：This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance and that country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas ...
