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作者：Hayes, Rachel M.; Lemmon, Michael; Qiu, Mingming
作者单位：Utah System of Higher Education; University of Utah
摘要：We provide new evidence on the relation between option-based compensation and risk-taking behavior by exploiting the change in the accounting treatment of stock options following the adoption of FAS 123R in 2005. The implementation of FAS 123R represents an exogenous change in the accounting benefits of stock options that has no effect on the economic costs and benefits of options for providing managerial incentives. Our results do not support the view that the convexity inherent in option-bas...
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作者：Gorton, Gary; Metrick, Andrew
作者单位：Yale University; National Bureau of Economic Research
摘要：The panic of 2007-2008 was a run on the sale and repurchase market (the repo market), which is a very large, short-term market that provides financing for a wide range of securitization activities and financial institutions. Repo transactions are collateralized, frequently with securitized bonds. We refer to the combination of securitization plus repo finance as securitized banking and argue that these activities were at the nexus of the crisis. We use a novel data set that includes credit spr...
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作者：Chen, Huafeng (Jason); Chen, Shaojun (Jenny)
作者单位：University of British Columbia
摘要：Investment-cash flow sensitivity has declined and disappeared, even during the 2007-2009 credit crunch. If one believes that financial constraints have not disappeared, then investment-cash flow sensitivity cannot be a good measure of financial constraints. The decline and disappearance are robust to considerations of R&D and cash reserves, and across groups of firms. The information content in cash flow regarding investment opportunities has declined, but measurement error in Tobin's q does n...
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作者：Dezso, Cristian L.; Ross, David Gaddis
作者单位：Columbia University; University System of Maryland; University of Maryland College Park
摘要：While traditional finance theory holds that managers with option-laden incentive contracts may favor equity at the expense of debt, a risk-averse manager may be more likely to retain vested in-the-money options if the manager has private information that the firm's risk-adjusted performance will be better. It follows that vested option holdings should be positively associated with credit quality. In support of this, we find that vested option holdings have a strong negative association with lo...
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作者：Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego; Washington University (WUSTL)
摘要：We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future returns is twice as large on news days and four times as large on days with negative news. Further, we find that the most informed short sales are not from market makers but rather from clients, and we ...
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作者：Dimmock, Stephen G.; Gerken, William C.
作者单位：Nanyang Technological University; Auburn University System; Auburn University
摘要：We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC. We find that disclosures related to past regulatory and legal violations, conflicts of interest, and monitoring have significant power to predict fraud. Avoiding the 5% of firms with the highest ex ante predicted fraud risk would allow an investor to avoid 29% of fraud cases and over 40% of the total dollar losses from fraud. We find no evidence that investors receive compensation for frau...
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作者：Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje
作者单位：University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
摘要：We document significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset ...
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作者：Cronqvist, Henrik; Makhija, Anil K.; Yonker, Scott E.
作者单位：University System of Ohio; Ohio State University; Claremont Colleges; Claremont Graduate University; Claremont McKenna College; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We find that firms behave consistently with how their CEOs behave personally in the context of leverage choices. Analyzing data on CEOs' leverage in their most recent primary home purchases, we find a positive, economically relevant, robust relation between corporate and personal leverage in the cross-section and when examining CEO turnovers. The results are consistent with an endogenous matching of CEOs to firms based on preferences, as well as with CEOs imprinting their personal preferences ...
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作者：Maio, Paulo; Santa-Clara, Pedro
作者单位：Hanken School of Economics; Universidade Nova de Lisboa; National Bureau of Economic Research
摘要：Can any multifactor model be interpreted as a variant of the Intertemporal CAPM (ICAPM)? The ICAPM places restrictions on time-series and cross-sectional behavior of state variables and factors. If a state variable forecasts positive (negative) changes in investment opportunities in time-series regressions, its innovation should earn a positive (negative) risk price in the cross-sectional test of the respective multifactor model. Second, the market (covariance) price of risk must be economical...
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作者：Johnson, Travis L.; So, Eric C.
作者单位：Stanford University
摘要：We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the highest decile by 0.34% per week (19.3% annualized). Our model and empirics both indicate that O/S is a stronger signal when short-sale...
