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作者：Acharya, Viral; Naqvi, Hassan
作者单位：Sungkyunkwan University (SKKU); New York University; National Bureau of Economic Research
摘要：We examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, to induce effort, loan officers are compensated based on the volume of loans. Volume-based compensation also induces greater risk taking; however, due to lack of commitment, loan officers are penalized ex post only if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened macroeconomic risk, investors reduce direct invest...
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作者：Inderst, Roman; Ottaviani, Marco
作者单位：Bocconi University; Northwestern University; Imperial College London
摘要：This paper investigates the determinants of the compensation structure for brokers who advise customers regarding the suitability of financial products. Our model explains why brokers are commonly compensated indirectly through contingent commissions paid by product providers, even though this compensation structure could lead to biased advice. When customers are wary of the adviser's incentives, contingent commissions can be an effective incentive tool to induce the adviser to learn which spe...
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作者：Mendel, Brock; Shleifer, Andrei
作者单位：Harvard University
摘要：We present a simple model in which rational but uninformed traders occasionally chase noise as if it were information, thereby amplifying sentiment shocks and moving prices away from fundamental values. In the model, noise traders can have an impact on market equilibrium disproportionate to their size in the market. The model offers a partial explanation for the surprisingly low market price of financial risk in the spring of 2007. (C) 2011 Elsevier B.V. All rights reserved.
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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：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：Bae, Kee-Hong; Baek, Jae-Seung; Kang, Jun-Koo; Liu, Wei-Lin
作者单位：Nanyang Technological University; York University - Canada; Hankuk University Foreign Studies
摘要：We develop and test a model that investigates how controlling shareholders' expropriation incentives affect firm values during crisis and subsequent recovery periods. Consistent with the prediction of our model, we find that, during the 1997 Asian financial crisis, Asian firms with weaker corporate governance experience a larger drop in their share values but, during the post-crisis recovery period, such firms experience a larger rebound in their share values. We also find consistent evidence ...
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作者：Harford, Jarrad; Humphery-Jenner, Mark; Powell, Ronan
作者单位：University of New South Wales Sydney; University of Washington; University of Washington Seattle; Tilburg University
摘要：Prior work has established that entrenched managers make value-decreasing acquisitions. In this study, we determine how they destroy that value. Overall, we find that value destruction by entrenched managers comes from a combination of factors. First, they disproportionately avoid private targets, which have been shown to be generally associated with value creation. Second, when they do buy private targets or public targets with blockholders, they tend not to use all-equity offers, which has t...
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作者：Grinblatt, Mark; Keloharju, Matti; Linnainmaa, Juhani T.
作者单位：University of California System; University of California Los Angeles; Aalto University; University of Chicago
摘要：We analyze whether IQ influences trading behavior, performance, and transaction costs. The analysis combines equity return, trade, and limit order book data with two decades of scores from an intelligence (IQ) test administered to nearly every Finnish male of draft age. Controlling for a variety of factors, we find that high-IQ investors are less subject to the disposition effect, more aggressive about tax-loss trading, and more likely to supply liquidity when stocks experience a one-month hig...
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作者：Chernov, Mikhail; Mueller, Philippe
作者单位：University of London; London School Economics & Political Science
摘要：We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences between risk-neutral, subjective, and objective probability measures. We establish that model-based inflation expectations are driven by inflation, output, and one latent factor. We find that this factor...
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作者：Aragon, George O.; Martin, J. Spencer
作者单位：Arizona State University; Arizona State University-Tempe; University of Melbourne
摘要：We study the common equity and equity option positions of hedge fund investment advisors over the 1999-2006 period. We find that hedge funds' stock positions predict future returns and that option positions predict both volatility and returns on the underlying stock. A quarterly tracking portfolio of stocks based on publicly observable hedge fund option holdings earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher benchmark-adjus...
