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作者：Belo, Frederico; Gala, Vito D.; Li, Jun
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of London; London Business School; University of Texas System; University of Texas Dallas
摘要：Using a novel measure of industry exposure to government spending, we show predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite pattern holds true during Republican presidencies. Business cycles, firm characteristics, and standard risk factors do not account for the pattern in returns across presidencies. An investment strategy that expl...
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作者：Amore, Mario Daniele; Schneider, Cedric; Zaldokas, Alminas
作者单位：Copenhagen Business School; Hong Kong University of Science & Technology
摘要：We present evidence that banking development plays a key role in technological progress. We focus on manufacturing firms' innovative performance, measured by patent-based metrics, and employ exogenous variations in banking development arising from the staggered deregulation of banking activities across US states during the 1980s and 1990s. We find that interstate banking deregulation had significant beneficial effects on the quantity and quality of innovation activities, especially for firms h...
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作者：Chava, Sudheer; Oettl, Alexander; Subramanian, Ajay; Subramanian, Krishnamurthy V.
作者单位：University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia State University; Indian School of Business (ISB)
摘要：We document empirical support for a key micro-level channel-innovation by young, private firms-through which financial sector deregulation affects economic growth. We find that intrastate banking deregulation, which increased the local market power of banks, decreased the level and risk of innovation by young, private firms. In contrast, interstate banking deregulation, which decreased the local market power of banks, increased the level and risk of innovation by young, private firms. These co...
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作者：D'Amico, Stefania; King, Thomas B.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure. Using security-level data on Treasury prices and quantities during the course of this program, we document a 'local supply' effect in the yield curve yields within a particular maturity ...
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作者：Aktas, Nihat; de Bodt, Eric; Roll, Richard
作者单位：SKEMA Business School; Universite de Lille; Universite de Lille; SKEMA Business School
摘要：Knowledge gleaned from previous acquisitions may confer valuation expertise and other benefits. But numerous acquisitions also entail costs, due to problems of incorporating diverse units into an ever larger firm. Such benefits and costs are not directly observable from outside the firm. This article proposes a simple model to infer their relative importance, using the time between successive deals. The data requirements are minimal and allow the use of all mergers and acquisitions during 1992...
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作者：Ferson, Wayne; Nallareddy, Suresh; Xie, Biqin
作者单位：University of Southern California; Columbia University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the short-run consumption shocks in the models are empirically important for the models' performance. The models' average pricing errors are especially small in the decades from the 1950s to the 1990s. When w...
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作者：Bereskin, Frederick L.; Cicero, David C.
作者单位：University of Delaware; University of Tennessee System; University of Tennessee Knoxville
摘要：We examine how Chief Executive Officer (CEO) compensation increased at a subset of firms in response to a governance shock that affected compensation levels at other firms in the economy. We first show that Delaware-incorporated firms with staggered boards and no outside blockholders increased CEO compensation following the mid-1990s Delaware legal cases that strengthened their ability to resist hostile takeovers. Consistent with the Gabaix and Landier (2008) contagion hypothesis, non-Delaware...
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作者：Tzioumis, Konstantinos; Gee, Matthew
作者单位：United States Department of the Treasury; Office of the Comptroller of the Currency; University of Chicago
摘要：In the aftermath of the recent financial crisis, banks should ensure that their incentive compensation policies appropriately balance long-term risk with short-term rewards. Using daily output data from mortgage officers in a US commercial bank, we test the notion that nonlinear contracts create time-varying incentives for the employees and impose costs on the firm. We provide empirical evidence that mortgage officers greatly increase their output toward the end of each month, when the minimum...
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作者：Cao, Charles; Chen, Yong; Liang, Bing; Lo, Andrew W.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Massachusetts System; University of Massachusetts Amherst; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sample tests, top liquidity timers outperform bottom timers by 4.0-5.5% annually on a risk-adjusted ba...
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作者：Bolton, Patrick; Chen, Hui; Wang, Neng
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equit...
