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作者：Bargeron, Leonce; Kulchania, Manoj; Thomas, Shawn
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Marquette University
摘要：Accelerated share repurchases (ASRs) are credible commitments by firms to repurchase shares immediately. Including an ASR in a repurchase program reduces the flexibility that firms have to alter an announced program in response to subsequent changes in the price and liquidity of its shares, unexpected shocks to cash flow and/or investment, etc. Thus, we investigate whether firms' decisions to include ASRs in their repurchase programs are associated with factors expected to influence the costs ...
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作者：Lin, Hai; Wang, Junbo; Wu, Chunchi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Otago; Xiamen University; Xiamen University; City University of Hong Kong
摘要：This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default and term betas, liquidity level, and other bond characteristics, as well as to different model specif...
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作者：Tu, Jun; Zhou, Guofu
作者单位：Washington University (WUSTL); Singapore Management University
摘要：The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its extensions not only underperform the naive 1/N rule (that invests equally across N assets) in simulations, but also lose money on a risk-adjusted basis in many real data sets. In this paper, we propose an optimal combination of the naive 1/N rule with one of the four sophisticated strategies the Markowitz rule, the ...
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作者：Kumar, Alok; Page, Jeremy K.; Spalt, Oliver G.
作者单位：University of Miami; Brigham Young University; Tilburg University
摘要：This study investigates whether geographic variation in religion-induced gambling norms affects aggregate market outcomes. We conjecture that gambling propensity would be stronger in regions with higher concentrations of Catholics relative to Protestants. Consistent with our conjecture, we show that in regions with higher Catholic-Protestant ratios, investors exhibit a stronger propensity to hold lottery-type stocks, broad-based employee stock option plans are more popular, the initial day ret...
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作者：Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：Stanford University; University of Pennsylvania
摘要：This paper investigates the market reaction to recent legislative and regulatory actions pertaining to corporate governance. The managerial power view of governance suggests that executive pay, the existing process of proxy access, and various governance provisions [e.g., staggered boards and Chief Executive Officer (CEO)-chairman duality] are associated with managerial rent extraction. This perspective predicts that broad government actions that reduce executive pay, increase proxy access, an...
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作者：Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias
作者单位：University of Guelph; University of Warwick; City St Georges, University of London
摘要：This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new dataset of spot implied volatility quoted on over-the-counter currency options, we compute the forward implied volatility that corresponds to the delivery price of a forward...
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作者：Houston, Joel F.; Lin, Chen; Ma, Yue
作者单位：State University System of Florida; University of Florida; Chinese University of Hong Kong; Lingnan University
摘要：Building on the pioneering study by Beck, Demirguc-Kunt, and Levine (2006), this study examines the effects of media ownership and concentration on corruption in bank lending using a unique World Bank data set covering more than 5,000 firms across 59 countries. We find strong evidence that state ownership of media is associated with higher levels of bank corruption. We also find that media concentration increases corruption both directly and indirectly through its interaction with media state ...
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作者：Henkel, Sam James; Martin, J. Spencer; Nardari, Federico
作者单位：University of Houston System; University of Houston; University of Melbourne
摘要：In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed. (C) 2010 Elsevier B.V. All right...
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作者：Wahal, Sunil; Wang, Albert (Yan)
作者单位：Arizona State University; Arizona State University-Tempe; Chinese University of Hong Kong
摘要：We examine the impact of the entry of new mutual funds on incumbents using the overlap in their portfolio holdings as a measure of competitive intensity. This simple metric delivers powerful economic results. Incumbents that have a high overlap with entrants subsequently engage in price competition by reducing management fees. Distribution fees, however, rise so that investors do not benefit as much from price competition. Funds with high overlap also experience quantity competition through lo...
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作者：Kim, Jeong-Bon; Li, Yinghua; Zhang, Liandong
作者单位：City University of Hong Kong; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Using a large sample of U.S. firms for the period 1993-2009, we provide evidence that the sensitivity of a chief financial officer's (CFO) option portfolio value to stock price is significantly and positively related to the firm's future stock price crash risk. In contrast, we find only weak evidence of the positive impact of chief executive officer option sensitivity on crash risk. Finally, we find that the link between CFO option sensitivity and crash risk is more pronounced for firms in non...
