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作者：Edwards, Alexander; Shevlin, Terry
作者单位：University of Washington; University of Washington Seattle; University of Toronto
摘要：In an integrated corporate tax system, resident shareholders receive a tax credit for corporate tax paid that can be used to offset personal tax on dividend income. Nonresident and tax-exempt (pension plan) investors cannot use the tax credit on corporate dividends and thus prefer to invest in flow-through entities. We estimate the value of the flow-through entity to nonresident and pension plan investors by examining the price change around the date of an unexpected announcement of a change i...
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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：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：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：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：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：DeAngelo, Harry; DeAngelo, Linda; Whited, Toni M.
作者单位：University of Rochester; University of Southern California
摘要：Firms deliberately but temporarily deviate from permanent leverage targets by issuing transitory debt to fund investment. Leverage targets conservatively embed the option to issue transitory debt, with the evolution of leverage reflecting the sequence of investment outlays. We estimate a dynamic capital structure model with these features and find that it replicates industry leverage very well, explains debt issuances/repayments better than extant tradeoff models, and accounts for the leverage...
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作者：Du, Du
作者单位：Hong Kong University of Science & Technology
摘要：This paper proposes a general equilibrium model that explains the pricing of the S&P 500 index options. The central ingredients are a peso component in the consumption growth rate and the time-varying risk aversion induced by habit formation which amplifies consumption shocks. The amplifying effect generates the excess volatility and a large jump-risk premium which combine to produce a pronounced volatility smirk for index options. The time-varying volatility and jump-risk premiums explain the...
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作者：Maksimovic, Vojislav; Phillips, Gordon; Prabhala, N. R.
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine how firms redraw their boundaries after acquisitions using plant-level data. We find that there is extensive restructuring in a short period following mergers and full-firm acquisitions. Acquirers of full firms sell 27% and close 19% of the plants of target firms within three years of the acquisition. Acquirers with skill in running their peripheral divisions tend to retain more acquired plants. Retained plants increase in productivity whereas sold plants do not. These results sugge...
