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作者：Officer, Micah S.; Ozbas, Oguzhan; Sensoy, Berk A.
作者单位：Loyola Marymount University; University of Southern California; University System of Ohio; Ohio State University
摘要：We analyze the pricing and characteristics of club deal leveraged buyouts (LBOs)-those in which two or more private equity partnerships jointly conduct an LBO. Using a comprehensive sample of completed LBOs of U.S. publicly traded targets conducted by prominent private equity firms, we find that target shareholders receive approximately 10% less of pre-bid firm equity value, or roughly 40% lower premiums, in club deals compared to sole-sponsored LBOs. This result is concentrated before 2006 an...
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作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We undertake a broad-based study of the effect of managerial risk-taking incentives on corporate financial policies and show that the risk-taking incentives of chief executive officers (CEOs) and chief financial officers (CFOs) significantly influence their firms' financial policies. In particular, we find that CEOs' risk-decreasing (-increasing) incentives are associated with lower (higher) leverage and higher (lower) cash balances. CFOs' risk-decreasing (-increasing) incentives are associate...
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作者：Gormley, Todd; Liu, Hong; Zhou, Guofu
作者单位：Washington University (WUSTL); University of Pennsylvania
摘要：In this paper, we show that the existence of a large, negative wealth shock and insufficient insurance against such a shock could explain both the limited stock market participation puzzle and the low-consumption-high-savings puzzle. We then conduct an empirical analysis on the relation between household portfolio choices and access to private insurance and various types of government safety nets. The empirical results demonstrate that a lack of insurance against large, negative wealth shocks ...
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作者：Kaplanski, Guy; Levy, Haim
作者单位：Bar Ilan University; Hebrew University of Jerusalem
摘要：Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with an average market loss of more than $60 billion per aviation disaster, whereas the estimated actual loss is no more than $1 billion. In two days a price reversal occurs. We find the effect to be greater in s...
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作者：Aggarwal, Rajesh K.; Jorion, Philippe
作者单位：University of California System; University of California Irvine; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper provides the first systematic analysis of performance patterns for emerging funds and managers in the hedge fund industry. Emerging funds and managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than established ones. Performance measurement, however, needs to control for the usual biases afflicting hedge fund databases. After adjusting for such biases and using a novel event time approach, we find str...
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作者：Fernandes, Nuno; Lel, Ugur; Miller, Darius P.
作者单位：Southern Methodist University; International Institute for Management Development (IMD); Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the first significant deregulation of U.S. disclosure requirements since the passage of the 1933/1934 Exchange and Securities Acts: the 2007 Securities and Exchange Commission (SEC) Rule 12h-6. Rule 12h-6 has made it easier for foreign firms to deregister with the SEC and thereby terminate their U.S. disclosure obligations. We show that the market reacted negatively to the announcement by the SEC that firms from countries with weak disclosure and governance regimes could more easily...
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作者：Degeorge, Francois; Derrien, Francois; Womack, Kent L.
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：Between 1999 and 2007, WR Hambrecht completed 19 initial public offerings (IPOs) in the US using an auction mechanism. We analyze investor behavior and mechanism performance in these auctioned IPOs using detailed bidding data. The existence of some bids posted at high prices suggests that some investors (mostly retail) try to free-ride on the mechanism. But institutional demand in these auctions is very elastic, suggesting that institutional investors reveal information in the bidding process....
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作者：Qi, Yaxuan; Roth, Lukas; Wald, John K.
作者单位：University of Texas System; University of Texas at San Antonio; Concordia University - Canada; University of Alberta
摘要：We examine the impact of country-level political rights on the cost of debt for corporate bonds issued by firms incorporated in 39 countries. Similar to, but separate from, the relation for creditor rights, greater political rights are associated with lower yield spreads. A one standard deviation increase in political rights is associated with an 18.6% decline in bond spreads. We find evidence that political and legal institutions are substitutes; marginal improvements in political rights prod...
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作者：Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay
作者单位：Dartmouth College; Stanford University; Emory University
摘要：It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used in the literature. We argue that asset pricing tests are often highly misleading, in the sense that apparently strong explanatory power (high cross-sectional R(2)s and small pricing errors) can provide quite weak ...
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作者：Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：Microstructure noise in security prices biases the results of empirical asset pricing specifications, particularly when security-level explanatory variables are cross-sectionally correlated with the amount of noise. We focus on tests of whether measures of illiquidity, which are likely to be correlated with the noise, are priced in the cross-section of stock returns, and show a significant upward bias in estimated return premiums for an array of illiquidity measures in Center for Research in S...
