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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：Glode, Vincent; Green, Richard C.
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition if informed investors were to partner with non-incumbent managers, incumben...
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作者：Desai, Mihir A.; Jin, Li
作者单位：Harvard University
摘要：This paper employs heterogeneity in institutional shareholder tax characteristics to identify the relation between firm payout policy and tax incentives. Analysis of a panel of firms matched with the tax characteristics of the clients of their institutional shareholders indicates that dividend-averse institutions are significantly less likely to hold shares in firms with larger dividend payouts. This relation between the tax preferences of institutional shareholders and firm payout policy may ...
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作者：Bhattacharyya, Sugato; Nain, Amrita
作者单位：McGill University; University of Michigan System; University of Michigan
摘要：Horizontal mergers exert price pressure on dependent suppliers and adversely affect their performance. Consistent with the theory of countervailing power, concentrated suppliers and those with greater barriers to entry experience larger price declines after consolidation downstream. Time-series results suggest that consolidation in dependent supplier industries follows mergers in main customer industries, indicating that consolidation activity travels up the supply chain. The findings are broa...
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作者：Yu, Jialin
作者单位：Columbia University
摘要：This paper provides evidence that portfolio disagreement measured bottom-up from individual-stock analyst forecast dispersions has a number of asset pricing implications. For the market portfolio, market disagreement mean-reverts and is negatively related to ex post expected market return. Contemporaneously, an increase in market disagreement manifests as a drop in discount rate. For book-to-market sorted portfolios, the value premium is stronger among high disagreement stocks. The underperfor...
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作者：Bulkley, George; Giordani, Paolo
作者单位：University of Bristol
摘要：We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in t...
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作者：Butler, Alexander W.; Cornaggia, Jess
作者单位：Rice University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We study the relation between access to finance and productivity. Our contribution to the literature is a clean identification of a causal effect of access to finance on productivity. Specifically, we exploit an exogenous shift in demand for a product to expose how producers adapt their productivity in the presence of varying levels of access to finance. We use a triple differences testing approach and find that production increases the most over the sample period in areas with relatively stro...
