-
作者：Ang, Andrew; Kristensen, Dennis
作者单位：University of London; University College London; Columbia University; National Bureau of Economic Research
摘要：Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or jointly across portfolios. The traditional Gibbons, Ross, and Shanken (1989) test arises as a special case of no time variation in the alphas and factor loadings and homoskedasticity. As applications of th...
-
作者：Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur
作者单位：New York University; Georgetown University; University of Melbourne; Ozyegin University
摘要：This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund-specific or residual risk components. Contrary to the popular understanding that hedge funds are market neutral, we find that systematic risk is a highly significant factor explaining the dispersion of c...
-
作者：Chatterji, Aaron K.; Seamans, Robert C.
作者单位：New York University; Duke University
摘要：This paper examines the impact of financial deregulation on entrepreneurship. We assess the impact of credit card deregulation on transitions into self-employment using state-level removal of credit card interest rate ceilings following the US Supreme Court's 1978 Marquette decision as a quasi-natural experiment. We find that credit card deregulation increases the probability of entrepreneurial entry, with a particularly strong effect for black entrepreneurs. We demonstrate that these effects ...
-
作者：Shive, Sophie
作者单位：University of Notre Dame
摘要：This study examines the effect of locally informed investors on market efficiency and stock prices using large power outages, which are exogenous events that constrain trading. Turnover in stocks headquartered in an outage area with 0.5% of U.S. electrical customers drops by 3-7% on the first full day of the outage, and bid-ask spreads narrow by 2.5%. Firm-specific price volatility is 2.3% lower on blackout dates. This effect is larger for smaller, lesser-known stocks and in higher income area...
-
作者：Elkamhi, Redouane; Ericsson, Jan; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of Toronto; McGill University
摘要：Assessments of the trade-off theory have typically compared the present value of tax benefits to the present value of bankruptcy costs. We verify that this comparison overwhelmingly favors tax benefits, suggesting that firms are under-leveraged. However, when we allow firms to experience even modest (e.g., 1-2% annualized) financial distress costs prior to bankruptcy, the cumulative present value of such costs can easily offset the tax benefits. (C) 2012 Elsevier B.V. All rights reserved.
-
作者：Lin, Chen; Ma, Yue; Malatesta, Paul; Xuan, Yuhai
作者单位：University of Washington; University of Washington Seattle; Chinese University of Hong Kong; Lingnan University; Harvard University
摘要：Using a novel data set on corporate ownership and control, we show that the divergence between the control rights and cash-flow rights of a borrowing firm's largest ultimate owner has a significant impact on the concentration and composition of the firm's loan syndicate. When the control-ownership divergence is large, lead arrangers form syndicates with structures that facilitate enhanced due diligence and monitoring efforts. These syndicates tend to be relatively concentrated and composed of ...
-
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...
-
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...
-
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...
-
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...
