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作者：Bakshi, Gurdip; Panayotov, George
作者单位：University System of Maryland; University of Maryland College Park; Hong Kong University of Science & Technology
摘要：This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by individual and joint p-values in monthly predictive regressions at horizons up to six months. Predictability is further supported...
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作者：Albuquerque, Ana M.; De Franco, Gus; Verdi, Rodrigo S.
作者单位：Boston University; University of Toronto; Massachusetts Institute of Technology (MIT)
摘要：Current research shows that firms are more likely to benchmark against peers that pay their Chief Executive Officers (CEOs) higher compensation, reflecting self serving behavior. We propose an alternative explanation: the choice of highly paid peers represents a reward for unobserved CEO talent. We test this hypothesis by decomposing the effect of peer selection into talent and self serving components. Consistent with our prediction, we find that the association between a firm's selection of h...
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作者：Bessembinder, Hendrik; Zhang, Feng
作者单位：Utah System of Higher Education; University of Utah
摘要：The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book ratio, event firms on average differ from control firms in terms of idiosyncratic volatility, liquidity, return momentum, and capital investment, each of which also explains returns. We propose a simpl...
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作者：Yang, Fan
作者单位：University of Hong Kong
摘要：I identify a slope factor in the cross section of commodity futures returns: high-basis commodity futures have higher loadings on this factor than low-basis commodity futures. Combined with a level factor (an index of commodity futures), this slope factor explains most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing...
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作者：Boutin, Xavier; Cestone, Giacinta; Fumagalli, Chiara; Pica, Giovanni; Serrano-Velarde, Nicolas
作者单位：City St Georges, University of London; European Corporate Governance Institute; Bocconi University; University of Salerno; Bocconi University; University of Oxford
摘要：We provide evidence that incumbent and entrant firms' access to business group deep pockets affects the entry patterns in product markets. Relying on a unique French data set on business groups, our paper shows that entry into manufacturing industries is negatively related to the cash hoarded by incumbent affiliated groups and positively related to entrant groups' cash. In line with theoretical predictions, we find that the impact of group cash holdingson entry is more important in environment...
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作者：Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; University of Houston System; University of Houston; Tilburg University
摘要：The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically a...
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作者：Malamud, Semyon; Rui, Huaxia; Whinston, Andrew
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Texas System; University of Texas Austin
摘要：We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermediary. We calculate the optimal contract for any given effort level and show the natural emergence of extreme punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization contracts opt...
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作者：Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We show how to price the time series and cross section of the term structure of interest rate using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generat...
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作者：Vijh, Anand M.; Yang, Ke
作者单位：University of Iowa; Lehigh University
摘要：We show an inverted-U relation between targetiveness (probability of being targeted) and firm size. However, this pattern describes stock offers and is more pronounced during hot markets characterized by higher stock valuations. For cash offers we find a negative and monotonic relation. These contrasting patterns suggest that small firms (in the bottom NYSE size quartile) are less vulnerable to overpriced stock offers. In addition, we find that the stock acquirers of small targets are less ove...
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作者：Larkin, Yelena
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper demonstrates that intangible assets play an important role in financial policy. Using a proprietary database of consumer brand evaluation, I show that positive consumer attitude toward a firm's products alleviates financial frictions and provides additional net debt capacity, as measured by higher leverage and lower cash holdings. Brand perception affects financial policy through reducing overall firm riskiness, as strong consumer evaluations translate into lower future cash flow vo...
