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作者：Opp, Marcus M.
作者单位：University of California System; University of California Berkeley
摘要：This paper develops a unified framework to analyze the dynamics of firm investment in countries with poor legal enforcement. The firm's technology edge over the government generates endogenous property rights. Industry variation in the technology gap predicts a sectoral pecking-order of expropriations. Long-run investment distortions may be Pareto superior relative to persistent investment at the static optimum. The dynamics of investment and transfers depend on whether incentives (backloading...
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作者：Garcia, Diego; Norli, Oyvind
作者单位：University of North Carolina; University of North Carolina Chapel Hill; BI Norwegian Business School
摘要：This paper shows that stocks of truly local firms have returns that exceed the return on stocks of geographically dispersed firms by 70 basis points per month. By extracting state name counts from annual reports filed with the Securities and Exchange Commission (SEC) on Form 10-K, we distinguish firms with business operations in only a few states from firms with operations in multiple states. Our findings are consistent with the view that lower investor recognition for local firms results in h...
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作者：Grundy, Bruce D.; Lim, Bryan; Verwijmeren, Patrick
作者单位：Vrije Universiteit Amsterdam; University of Melbourne
摘要：The effectiveness of any sanction depends on the costs of avoiding its restrictions. We examine whether bearish option strategies were substitutes for short sales during the September 2008 short-sale ban. We find a significant diminution in option volumes and a significant increase in option bid-ask spreads for banned stock relative to unbanned stock during the ban period. Apparent violations of the put-call parity bound became significantly more frequent for banned stocks during the ban perio...
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作者：Shanken, Jay; Tamayo, Ane
作者单位：Emory University; University of London; London School Economics & Political Science
摘要：We develop a simple parametric model in which hypotheses about predictability, mispricing, and the risk-return tradeoff can be evaluated simultaneously, while allowing for time variation in both risk and expected return. Most of the return predictability based on aggregate payout yield is unrelated to market risk. We consider a range of Bayesian prior beliefs about the risk-return tradeoff and the extent to which predictability is driven by mispricing. The impact of these beliefs on an investo...
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作者：Basak, Suleyman; Makarov, Dmitry
作者单位：New Economic School; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers are expected to increase their volatility so as to catch up with winners. We consider a rational model of a mutual fund tournament in the presence of short-sale constraints and find the opposite: Interim...
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作者：Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
作者单位：University of Houston System; University of Houston; University of Toronto; Copenhagen Business School; Tilburg University
摘要：We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic ...
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作者：Bae, Kee-Hong; Ozoguz, Arzu; Tan, Hongping; Wirjanto, Tony S.
作者单位：York University - Canada; University of Texas System; University of Texas Dallas; University of Waterloo
摘要：Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We show that greater investibility reduces price delay to global market information. We also find that returns of highly investible stocks lead those of noninvestible stocks because they incorporate global i...
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作者：Hartman-Glaser, Barney; Piskorski, Tomasz; Tchistyi, Alexei
作者单位：University of California System; University of California Berkeley; Duke University; Columbia University
摘要：We consider the optimal design of mortgage-backed securities (MBS) in a dynamic setting in which a mortgage underwriter with limited liability can engage in costly hidden effort to screen borrowers and can sell loans to investors. We show that (i) the timing of payments to the underwriter is the key incentive mechanism, (ii) the maturity of the optimal contract can be short, and that (iii) bundling mortgages is efficient as it allows investors to learn about underwriter effort more quickly, an...
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作者：Ahern, Kenneth R.
作者单位：University of Michigan System; University of Michigan
摘要：In contrast to the widely held belief that targets capture the lion's share of merger gains, I show that the average dollar gains to targets are only modestly more than the dollar gains to acquirers. To help explain the variation in merger outcomes, I present empirical evidence in support of a new hypothesis that a target's relative scarcity (proxied by its market power) and product market dependence (proxied by customer-supplier relations) help to explain its share of the total merger gains. ...
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作者：Faulkender, Michael; Flannery, Mark J.; Hankins, Kristine Watson; Smith, Jason M.
作者单位：University of Kentucky; University System of Maryland; University of Maryland College Park; State University System of Florida; University of Florida
摘要：Recent research has emphasized the impact of transaction costs on firm leverage adjustments. We recognize that cashflow realizations can provide opportunities to adjust leverage at relatively low marginal cost. We find that a firm's cashflow features affect not only the leverage target, but also the speed of adjustment toward that target. Heterogeneity in adjustment speeds is driven by an economically meaningful concept: adjustment costs. Accounting for this fact produces adjustment speeds tha...
