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作者：Cooper, Ilan; Priestley, Richard
摘要：We ask to what extent the negative relation between investment and average stock returns is driven by risk We show that: (i) the average return spread between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the loadings on the Chen, Roll, and Ross (1986) factors; (ii) as predicted by q-theory and real options models, systematic risk falls during large investment periods; (iii) the returns of factors formed on the i...
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作者：Gilbert, Thomas
作者单位：University of Washington; University of Washington Seattle
摘要：I show that an empirical relation exists between stock returns on macroeconomic news announcement days and the future revisions of the released data but that this link differs across the business cycle. Using three major macroeconomic series that undergo significant revisions (nonfarm payroll, gross domestic product, and industrial production), I present evidence that daily returns on the Standard & Poor's 500 index and revisions are positively related in expansions and negatively related in r...
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作者：Cumming, Douglas; Johan, Sofia; Li, Dan
作者单位：York University - Canada; Tilburg University
摘要：We examine stock exchange trading rules for market manipulation, insider trading, and broker-agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each ...
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作者：Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F.
作者单位：New York University; National Bureau of Economic Research; Fordham University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we investigate the significance of extreme positive returns in the cross-sectional pricing of stocks. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk-adjusted return differe...
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作者：Liu, Xuewen; Mello, Antonio S.
作者单位：Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Madison
摘要：During a financial crisis, when investors are most in need of liquidity and accurate prices, hedge funds cut their arbitrage positions and hoard cash. The paper explains this phenomenon. We argue that the fragile nature of the capital structure of hedge funds, combined with low market liquidity, creates a risk of coordination in redemptions among hedge fund investors that severely limits hedge funds' arbitrage capabilities. We present a model of hedge funds' optimal asset allocation in the pre...
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作者：Lam, F. Y. Eric C.; Wei, K. C. John
作者单位：Hong Kong University of Science & Technology; City University of Hong Kong
摘要：We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies f...
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作者：An, Xudong; Deng, Yongheng; Gabriel, Stuart A.
作者单位：University of California System; University of California Los Angeles; California State University System; San Diego State University; National University of Singapore
摘要：We demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors and securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private information to liquidate lower quality loans in commercial mortgage-backed securities (CMBS) markets. Conduit lenders, who originate loans for direct sale into securitization markets, mitigate problems of asymmetric information and adverse selection in loan sales. Ou...
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作者：Bae, Kee-Hong; Kang, Jun-Koo; Wang, Jin
作者单位：Nanyang Technological University; York University - Canada; Wilfrid Laurier University
摘要：We investigate the stakeholder theory of capital structure from the perspective of a firm's relations with its employees. We find that firms that treat their employees fairly (as measured by high employeefriendly ratings) maintain low debt ratios. This result is robust to a variety of model specifications and endogeneity issues. The negative relation between leverage and a firm's ability to treat employees fairly is also evident when we measure its ability by whether it is included in the Fort...
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作者：Chod, Jiri; Lyandres, Evgeny
作者单位：Boston University; Boston College
摘要：We examine firms' incentives to go public in the presence of product market competition. As a result of their greater ability to diversify idiosyncratic risk in the capital market, public firms' owners tolerate higher profit variability than owners of private firms. Consequently, public firms adopt riskier and more aggressive output market strategies than private firms, which improves the competitive position of the former vis-a-vis the latter. This strategic benefit of being public, and thus,...
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作者：Kaustia, Markku; Torstila, Sami
作者单位：Aalto University
摘要：We find that left-wing voters and politicians are less likely to invest in stocks, controlling for income, wealth, education, and other relevant factors. This finding from unique data sets in Finland is robust both at the zip code and at the individual level. A moderate left voter is 17-20% less likely to own stocks than a moderate right voter. The results are consistent with the idea that personal values are a factor in important investment decisions, in this case leading to stock market aver...
