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作者：Blocher, Jesse; Reed, Adam V.; Van Wesep, Edward D.
作者单位：Vanderbilt University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze a reduced-form framework for understanding the equity loan market's impact on share prices. We show that hard-to-borrow stocks will have distinct return patterns, responding more to shocks in the supply of shares available, and to changes in the heterogeneity of investor beliefs, than other stocks. We conduct two empirical tests in which we find strong support for these equilibrium predictions. In our first test, we take advantage of a tax-driven exogenous shock to share loan supply...
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作者：Li, Gang; Zhang, Chu
作者单位：Hong Kong University of Science & Technology; Hong Kong Polytechnic University
摘要：Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is often attributed to the diffusion term of the unobserved state variables. Using prices of variance-swaps (i.e., squared VIX) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as variance-swap ...
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作者：Chemmanur, Thomas J.; Cheng, Yingmei; Zhang, Tianming
作者单位：Boston College; State University System of Florida; Florida State University; State University System of Florida; Florida State University
摘要：We test the predictions of Titman (1984) and Berk, Stanton, and Zechner (2010) by examining the effect of leverage on labor costs. Leverage has a significantly positive impact on cash, equity-based, and total compensation of chief executive officers (CEOs). Compensation of new CEOs hired from outside the firm is positively related to prior-year firm leverage. In addition, leverage has a positive and significant impact on average employee pay. The incremental total labor expenses associated wit...
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作者：Larrain, Borja; Urzua, Francisco I.
作者单位：Pontificia Universidad Catolica de Chile; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We examine market timing in the equity issuance of firms controlled by large shareholders using a hand-collected data set of controlling shareholders' ownership stakes in Chile between 1990 and 2009. When a firm issues shares, the controlling shareholder can either maintain or change his ownership stake depending on how many of the new shares he subscribes. Issuance predicts poor future returns and is preceded by high returns, but only when the controlling shareholder's stake is significantly ...
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作者：Armstrong, Christopher S.; Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：University of Pennsylvania; Stanford University; University of Navarra; IESE Business School
摘要：Prior research argues that a manager whose wealth is more sensitive to changes in the firm's stock price has a greater incentive to misreport. However, if the manager is risk-averse and misreporting increases both equity values and equity risk, the sensitivity of the manager's wealth to changes in stock price (portfolio delta) will have two countervailing incentive effects: a positive reward effect and a negative risk effect. In contrast, the sensitivity of the manager's wealth to changes in r...
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作者：Fu, Fangjian; Lin, Leming; Officer, Micah S.
作者单位：Singapore Management University; State University System of Florida; University of Florida; Loyola Marymount University
摘要：Theory and recent evidence suggest that overvalued firms can create value for shareholders if they exploit their overvaluation by using their stock as currency to purchase less overvalued firms. We challenge this idea and show that, in practice, overvalued acquirers significantly overpay for their targets. These acquisitions do not, in turn, lead to synergy gains. Moreover, these acquisitions seem to be concentrated among acquirers with the largest governance problems. CEO compensation, not sh...
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作者：Chakraborty, Indraneel; Gantchev, Nickolay
作者单位：Southern Methodist University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a new role for private investments in public equity (PIPEs) as a mechanism to reduce coordination frictions among existing equity holders. We establish a causal link between the coordination ability of incumbent shareholders and PIPE issuance. This result obtains even after controlling for alternative explanations such as information asymmetry and access to public markets. Improved equity coordination following a private placement leads to favorable debt renegotiations within one ye...
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作者：Pastor, L'ubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We develop a general equilibrium model of government policy choice in which stock prices respond to political news. The model implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions. Political uncertainty reduces the value of the implicit put protection that the government provides to the market. It also makes stocks more volatile and more correlated, especially when the economy is weak. We find empirical evidence consistent with these...
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作者：Bebchuk, Lucian A.; Cohen, Alma; Wang, Charles C. Y.
作者单位：National Bureau of Economic Research; Harvard University; Tel Aviv University; Harvard University
摘要：The correlation between governance indices and abnormal returns documented for 1990-1999 subsequently disappeared. The correlation and its disappearance are both due to market participants' gradually learning to appreciate the difference between good-governance and poor-governance firms. Consistent with learning, the correlation's disappearance was associated with increases in market participants' attention to governance; market participants and security analysts were, until the beginning of t...
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作者：Polkovnichenko, Valery; Zhao, Feng
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Texas System; University of Texas Dallas
摘要：The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk-aversion functions can be negative (Nit-Sahalia and Lo, 2000; Jackwerth, 2000). We show theoretically that these and several other properties of empirical pricing kernels are consistent with rank-dependent utility model with probability weighting function, which overweights tail events. We also estimate the pricing kernels nonpar...
