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作者：Gao, Huasheng
作者单位：Nanyang Technological University
摘要：This paper examines optimal compensation contracts when executives can hedge their personal portfolios. In a simple principal-agent framework, I predict that the Chief Executive Officer's (CEO's) pay-performance sensitivity decreases with the executive-hedging cost. Empirically, I find evidence supporting the model's prediction. Providing further support for the theory, I show that shareholders also impose a high sensitivity of CEO wealth to stock volatility and increase financial leverage to ...
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作者：Calomiris, Charles W.; Fisman, Raymond; Wang, Yongxiang
作者单位：Columbia University; Renmin University of China; Jiangxi University of Finance & Economics
摘要：We examine the market response to an unexpected announcement of the sale of government-owned shares in China. In contrast to earlier work, we find a negative effect of government ownership on returns at the announcement date and a symmetric positive effect from the policy's cancellation. We suggest that this results from the absence of a Chinese political transition to accompany economic reforms, so that the benefits of political ties outweigh the efficiency costs of government shareholdings. ...
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作者：Nguyen, Bang Dang; Nielsen, Kasper Meisner
作者单位：University of Cambridge; Hong Kong University of Science & Technology
摘要：We investigate contributions of independent directors to shareholder value by examining stock price reactions to sudden deaths in the US from 1994 to 2007. We find, first, that following director death stock prices drop by 0.85% on average. Second, the degree of independence and board structure determine the marginal value of independent directors. Third, independence is more valuable in crucial board functions. Finally, controlling for director-invariant heterogeneity using a fixed effect app...
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作者：Blouin, Jennifer; Core, John E.; Guay, Wayne
作者单位：University of Pennsylvania
摘要：We re-examine the claim that many corporations are underleveraged in that they fail to take full advantage of debt tax shields. We show prior results suggesting underleverage stems from biased estimates of tax benefits from interest deductions. We develop improved estimates of marginal tax rates using a non-parametric procedure that produces more accurate estimates of the distribution of future taxable income. We show that additional debt would provide firms with much smaller tax benefits than...
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作者：Bakshi, Gurdip; Madan, Dilip; Panayotov, George
作者单位：Georgetown University; University System of Maryland; University of Maryland College Park
摘要：When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing region of the kernel. Using returns of (i) S&P 500 index calls, (ii) calls on major international equity indexes, (iii) digital calls, (iv) upside variance contracts, and (v) a theoretical construct that we ...
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作者：Bartram, Soehnke M.; Brown, Gregory W.; Minton, Bernadette A.
作者单位：Lancaster University; University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; Ohio State University
摘要：Theory predicts sizeable exchange rate (FX) exposure for many firms. However, empirical research has not documented such exposures, To examine this discrepancy, we extend prior theoretical results to model a global firm's FX exposure and show empirically that firms pass through part of currency changes to customers and utilize both operational and financial hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10-15%. Financial hedging with foreign deb...
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作者：Matvos, Gregor; Ostrovsky, Michael
作者单位：University of Chicago; Stanford University
摘要：This paper studies voting in corporate director elections. We construct a comprehensive data set of 2,058,788 mutual fund votes over a two-year period. We find systematic heterogeneity in voting: some funds are consistently more management-friendly than others. We also establish the presence of peer effects: a fund is more likely to oppose management when other funds are more likely to oppose it, all else being equal. We estimate a voting model whose supermodular structure allows us to compute...
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作者：Easley, David; O'Hara, Maureen
作者单位：Cornell University
摘要：During the 2007-2009 financial crisis there was little or no trading in a variety of financial assets, even though bid and ask prices existed for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing fair value for these assets. We show how the extreme uncertainty that traders face can be characterized by incomplete preferences over portfolios, an...
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作者：Longstaff, Francis A.
作者单位：National Bureau of Economic Research
摘要：I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, rather than through a correlated-information channel. Surprisingly, ABX index returns forecast stock ...
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作者：Bradley, Michael; Brav, Alon; Goldstein, Itay; Jiang, Wei
作者单位：Columbia University; Duke University; University of Pennsylvania
摘要：This paper documents frequent attempts by activist arbitrageurs to open-end discounted closed-end funds, particularly after the 1992 proxy reform which reduced the costs of communication among shareholders. Open-ending attempts have a substantial effect on discounts, reducing them, on average, to half of their original level. The size of the discount is a major determinant of whether a fund gets attacked. Other important factors include the costs of communication among shareholders and the gov...
