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作者：Chen, Long; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Washington University (WUSTL)
摘要：Within the standard search and matching model, time-to-build implies that high aggregate risk premiums should forecast low employment growth in the short run but high employment growth in the long run. If there is also time-to-plan, high risk premiums should forecast low net hiring rates in the short run but high net hiring rates in the long run. Our evidence indicates two-quarter time-to-build in the aggregate payroll data, no time-to-plan in the aggregate hiring data, but two-quarter time-to...
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作者：Morellec, Erwan; Schuerhoff, Norman
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Lausanne
摘要：We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of corporate actions and their debt-equity mix. Using this result, we show that asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option valu...
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作者：Morse, Adair
作者单位：University of Chicago
摘要：Does access to high-interest credit (payday loans) exacerbate or mitigate individual financial distress. Using natural disasters as an exogenous shock, I apply a propensity score-matched, triple-difference specification to identify a causal relation between welfare and access to credit. California foreclosures increase by 4.5 units per 1,000 homes after a natural disaster. The existence of payday lenders mitigates 1.0-1.3 of them, with the caveat that not all payday loans are for emergency dis...
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作者：O'Hara, Maureen; Ye, Mao
作者单位：Cornell University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine how fragmentation is affecting market quality in US equity markets. We use newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use a variety of empirical approaches to compare execution quality and efficiency of stocks with more and less fragmented trading. We find that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is associated with higher short-term volatilit...
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作者：Boguth, Oliver; Carlson, Murray; Fisher, Adlai; Simutin, Mikhail
作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe; University of Toronto
摘要：Unconditional alphas are biased when conditional beta covaries with the market risk premium (market timing) or volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist estimates risk using information, such as a realized beta, that is not available to investors ex ante. Calibrating to U.S. equity returns, volatility timing and overconditioning can plausibly impact alphas more than market timing, which has been the focus of prior...
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作者：Bebchuk, Lucian A.; Cremers, K. J. Martijn; Peyer, Urs C.
作者单位：INSEAD Business School; Harvard University; National Bureau of Economic Research; Yale University
摘要：We investigate the relation between the CEO Pay Slice (CPS) the fraction of the aggregate compensation of the top-five executive team captured by the Chief Executive Officer and the value, performance, and behavior of public firms. The CPS could reflect the relative importance of the CEO as well as the extent to which the CEO is able to extracts rents. We find that, controlling for all standard controls, CPS is negatively associated with firm value as measured by industry-adjusted Tobin's q. C...
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作者：Edmans, Alex
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：The option to terminate a manager early minimizes investor losses if he is unskilled. However, it also deters a skilled manager from undertaking efficient long-term projects that risk low short-term earnings. This paper demonstrates how risky debt can overcome this tension. Leverage concentrates equityholders' stakes, inducing them to learn the cause of low earnings. If they result from investment (poor management), the firm is continued (liquidated). Therefore, unskilled managers are terminat...
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作者：Berkman, Henk; Jacobsen, Ben; Lee, John B.
作者单位：Massey University; University of Auckland
摘要：This study provides empirical support for theoretical models that allow for time-varying rare disaster risk. Using a database of 447 international political crises during the period 1918-2006, we create a crisis index that shows substantial variation over time. Changes in this crisis index, our proxy for changes in perceived disaster probability, have a large impact on both the mean and volatility of world stock market returns. Crisis risk is positively correlated with the earnings-price ratio...
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作者：Bakshi, Gurdip; Panayotov, George; Skoulakis, Georgios
作者单位：University System of Maryland; University of Maryland College Park; Georgetown University
摘要：This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive ability is both individual and joint parameter statistical significance within a market, as well as across a set of markets. (C...
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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：This article identifies an important channel through which excess control rights affect firm value. Using a new, hand-collected data set on corporate ownership and control of 3,468 firms in 22 countries during the 1996-2008 period, we find that the cost of debt financing is significantly higher for companies with a wider divergence between the largest ultimate owner's control rights and cash-flow rights and investigate factors that affect this relation. Our results suggest that potential tunne...
