2期

最新文章

• Nonlinear incentives and mortgage officers' decisions AI翻译
  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...
• Can hedge funds time market liquidity? AI翻译
  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...
• Delegated asset management, investment mandates, and capital immobility AI翻译
  作者：He, Zhiguo; Xiong, Wei
  作者单位：University of Chicago; National Bureau of Economic Research; Princeton University
  摘要：This paper develops a model to explain the widely used investment mandates in the institutional asset management industry based on two insights: first, giving a manager more investment flexibility weakens the link between fund performance and his effort in the designated market, and thus increases agency cost. Second, the presence of outside assets with negatively skewed returns can further increase the agency cost if the manager is incentivized to pursue outside opportunities. These effects m...
• The value of local political connections in a low-corruption environment AI翻译
  作者：Amore, Mario Daniele; Bennedsen, Morten
  作者单位：Bocconi University; INSEAD Business School
  摘要：We use exogenous changes in Danish local municipality sizes to identify a large positive effect of political power on the profitability of firms related by family to local politicians. Our difference-in-differences estimate is consistent with a unitary elasticity of connected firms' performance to political power (as measured by population per elected politician). Increasing power boosts firms' operating returns, especially in industries relying heavily on public demand. Focusing on arguably t...
• Do personal taxes affect capital structure? Evidence from the 2003 tax cut AI翻译
  作者：Lin, Leming; Flannery, Mark J.
  作者单位：State University System of Florida; University of Florida
  摘要：Because the personal tax treatments of interest and dividend income likely affect the relative cost of debt and equity financing, a sharp change in tax treatment could affect firms' optimal leverage. This paper examines the effect of the 2003 equity income tax cut on firms' debt usage. Because this tax cut affected only individual investors, we can use a difference-in-differences method to identify the effect of personal tax on firms' leverage. Previous research has found that the 2003 tax cut...
• Collateral and capital structure AI翻译
  作者：Rampini, Adriano A.; Viswanathan, S.
  作者单位：Duke University
  摘要：We develop a dynamic model of investment, capital structure, leasing, and risk management based on firms' need to collateralize promises to pay with tangible assets. Both financing and risk management involve promises to pay subject to collateral constraints. Leasing is strongly collateralized costly financing and permits greater leverage. More constrained firms hedge less and lease more, both cross-sectionally and dynamically. Mature firms suffering adverse cash flow shocks may cut risk manag...
• Connecting two markets: An equilibrium framework for shorts, longs, and stock loans AI翻译
  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...
• Human capital, capital structure, and employee pay: An empirical analysis AI翻译
  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...
• The relation between equity incentives and misreporting: The role of risk-taking incentives AI翻译
  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...
• Learning and the disappearing association between governance and returns AI翻译
  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...