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作者：Chemmanur, Thomas J.; He, Jie
作者单位：Boston College; University System of Georgia; University of Georgia
摘要：We develop a new rationale for initial public offering (IPO) waves based on product market considerations. Two firms, with differing productivity levels, compete in an industry with a significant probability of a positive productivity shock. Going public, though costly, not only allows a firm to raise external capital cheaply, but also enables it to grab market share from its private competitors. We solve for the decision of each firm to go public versus remain private, and the optimal timing ...
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作者：Kotter, Jason; Lel, Ugur
作者单位：Virginia Polytechnic Institute & State University; University of Michigan System; University of Michigan
摘要：This paper examines investment strategies of sovereign wealth funds (SWFs), their effect on target firm valuation, and how both of these are related to SWF transparency. We find that SWFs prefer large and poorly performing firms facing financial difficulties. Their investments have a positive effect on target firms' stock prices around the announcement date but no substantial effect on firm performance and governance in the long run. We also find that transparent SWFs are more likely to invest...
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作者：Berger, Allen N.; Frame, W. Scott; Ioannidou, Vasso
作者单位：University of South Carolina System; University of South Carolina Columbia; University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tilburg University
摘要：Collateral is a widely used, but not well understood, debt contracting feature. Two broad strands of theoretical literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems between borrowers and lenders. However, the extant empirical literature has been unable to isolate each of these effects. This paper attempts to do so using a credit registry that is unique in that it allows the researcher to have access to some private inf...
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作者：Teo, Melvyn
作者单位：Singapore Management University
摘要：This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. I...
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作者：Edmans, Alex
作者单位：University of Pennsylvania
摘要：This paper analyzes the relationship between employee satisfaction and long-run stock returns. A value-weighted portfolio of the 100 Best Companies to Work For in America earned an annual four-factor alpha of 3.5% from 1984 to 2009, and 2.1% above industry benchmarks. The results are robust to controls for firm characteristics, different weighting methodologies, and the removal of outliers. The Best Companies also exhibited significantly more positive earnings surprises and announcement return...
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作者：Cuoco, Domenico; Kaniel, Ron
作者单位：University of Rochester; University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：This paper analyzes the asset pricing implications of commonly used portfolio management contracts linking the compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters, the extent of delegation, and equilibrium prices are all determined endogenously within the model we consider. Symmetric (fulcrum) performance fees distort the allocation of managed portfolios in a way that induces a significant and unambiguous positive effe...
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作者：Jylha, Petri; Suominen, Matti
作者单位：Aalto University
摘要：In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the risk-adjusted carry trade strategy, explains more than 16% of the overall hedge fund index returns and more than 33% of the fixed income arbitrage sub-index returns. The flow of new money to hedge funds affects market interest rates, exchange rates...
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作者：John, Kose; Knyazeva, Anzhela; Knyazeva, Diana
作者单位：University of Rochester; New York University
摘要：We investigate the impact of geography on agency costs and firm dividend policies. We argue that remote firm location increases the cost of shareholder oversight of managerial investment decisions. We hypothesize that remotely located firms facing free cash flow problems precommit to higher dividends to mitigate agency conflicts. We find that remotely located firms pay higher dividends. As expected, the effect of geography on dividends is most pronounced for firms with severe free cash flow pr...
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作者：Lettau, Martin; Wachter, Jessica A.
作者单位：University of Pennsylvania; University of California System; University of California Berkeley
摘要：This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimon...
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作者：Da, Zhi; Warachka, Mitch
作者单位：Singapore Management University; University of Notre Dame
摘要：We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and long-term analyst forecast errors. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns along with downward and upward revisions in long-term forecasted earnings growth, respective...
