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作者：Ait-Sahalia, Yacine; Fan, Jianqing; Li, Yingying
作者单位：Princeton University; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to be negative. To...
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作者：Strebulaev, Ilya A.; Yang, Baozhong
作者单位：Stanford University; National Bureau of Economic Research; University System of Georgia; Georgia State University
摘要：We present the puzzling evidence that, from 1962 to 2009, an average 10.2% of large public nonfinancial US firms have zero debt and almost 22% have less than 5% book leverage ratio. Zero-leverage behavior is a persistent phenomenon. Dividend-paying zero-leverage firms pay substantially higher dividends, are more profitable, pay higher taxes, issue less equity, and have higher cash balances than control firms chosen by industry and size. Firms with higher Chief Executive Officer (CEO) ownership...
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作者：Huang, Jiekun; Kisgen, Darren J.
作者单位：National University of Singapore; Boston College
摘要：We examine corporate financial and investment decisions made by female executives compared with male executives. Male executives undertake more acquisitions and issue debt more often than female executives. Further, acquisitions made by firms with male executives have announcement returns approximately 2% lower than those made by female executive firms, and debt issues also have lower announcement returns for firms with male executives. Female executives place wider bounds on earnings estimate...
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作者：Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
作者单位：Hebrew University of Jerusalem; Emory University; George Washington University; George Mason University
摘要：This paper explores commonalities across asset pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and capital investments derive their profitability from taking short positions in high credit risk firms that experience deteriorating credit conditions. In contrast, the value-based strategy derives most of...
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作者：Cohen, Lauren; Diether, Karl; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; Brigham Young University
摘要：We demonstrate that legislation has a simple, yet previously undetected, impact on stock prices. Exploiting the voting record of legislators whose constituents are the affected industries, we show that the votes of these interested legislators capture important information seemingly ignored by the market. A long-short portfolio based on these legislators' views earns abnormal returns of over 90 basis points per month following the passage of legislation. Industries that we classify as benefici...
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作者：Hong, Harrison; Sraer, David
作者单位：Princeton University; National Bureau of Economic Research
摘要：Motivated by the recent subprime mortgage crisis, we explore whether speculative bubble models of equity based on investor disagreement and short-sales constraints can also provide an explanation for the overvaluation of debt contracts. We find that this is unlikely. Equity bubbles are loud: price and volume go together as investors speculate on capital gains from reselling to more optimistic investors. But this resale option is limited for debt since its upside payoff is bounded. Debt bubbles...
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作者：Harford, Jarrad; Schonlau, Robert J.
作者单位：University of Washington; University of Washington Seattle; Brigham Young University
摘要：We examine the rewards for experience and ability in the director labor market. We show that large acquisitions are associated with significantly higher numbers of subsequent board seats for the acquiring CEO, target CEO, and the directors. We also find that, in the case of acquisitions, experience is more important than ability. Both value-destroying and value-increasing acquisitions have significant and positive effects on a CEO's future prospects in the director labor market. In addition to...
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作者：Green, T. Clifton; Jame, Russell
作者单位：Emory University; University of New South Wales Sydney; University of Kentucky
摘要：Research from psychology suggests that people evaluate fluent stimuli more favorably than similar information that is harder to process. Consistent with fluency affecting investment decisions, we find that companies with short, easy to pronounce names have higher breadth of ownership, greater share turnover, lower transaction price impacts, and higher valuation ratios. Corporate name changes increase fluency on average, and fluency-improving name changes are associated with increases in breadt...
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作者：Roche, Herve; Tompaidis, Stathis; Yang, Chunyu
作者单位：University of Texas System; University of Texas Austin
摘要：Empirical studies of household portfolios show that young households, with little financial wealth, hold underdiversified portfolios that are concentrated in a small number of assets, a fact often attributed to behavioral biases. We present a potential rational alternative: we show that investors with little financial wealth, who receive labor income, rationally limit the number of assets they invest in when faced with financial constraints such as margin requirements and restrictions on borro...
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作者：Lin, Chen; Ma, Yue; Malatesta, Paul; Xuan, Yuhai
作者单位：Chinese University of Hong Kong; University of Hong Kong; City University of Hong Kong; University of Washington; University of Washington Seattle; Harvard University
摘要：This article examines the relation between a borrowing firm's ownership structure and its choice of debt source using a novel data set on corporate ownership, control, and debt structures for 9,831 firms in 20 countries from 2001 to 2010. We find that the divergence between the control rights and cash-flow rights of a borrowing firm's largest ultimate owner has a significant negative impact on the firm's reliance on bank debt financing. In addition, we show that the control-ownership divergenc...
