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作者：Dorn, Daniel; Huberman, Gur
作者单位：Drexel University; Columbia University; Centre for Economic Policy Research - UK
摘要：The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks whose volatilities are commensurate with their risk aversion. The data, 1995-2000 holdings of over 20,000 clients at a large German broker, are consistent with the predictions of the hypothesis: the returns of stocks within each portfolio have remarkably similar volatilities, when stocks are sold they are replaced by stocks of similar volatilities, and the more risk-averse customers indeed hold l...
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作者：Huang, Jennifer; Wang, Jiang
作者单位：University of Texas System; University of Texas Austin; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper represents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that, when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity, which calls for potential policy interventions. However, we demonstrate that different policy tools can yield different efficiency co...
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作者：Gompers, Paul; Kovner, Anna; Lerner, Josh; Scharfstein, David
作者单位：Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper presents evidence of performance persistence in entrepreneurship. We show that entrepreneurs with a track record of success are much more likely to succeed than first-time entrepreneurs and those who have previously failed. In particular, they exhibit persistence in selecting the right industry and time to start new ventures. Entrepreneurs with demonstrated market timing skill are also more likely to outperform industry peers in their subsequent ventures. This is consistent with the...
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作者：Gagnon, Louis; Karolyi, G. Andrew
作者单位：Cornell University; Queens University - Canada
摘要：We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices of their home-market shares on a currency-adjusted basis for a sample of 506 U.S. cross-listed stocks from 35 different countries. Deviations from price parity average an economically small 4.9 basis points, but they are volatile and can reach large extremes. Price parity deviations and their daily c...
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作者：Ait-Sahalia, Yacine; Kimmel, Robert L.
作者单位：Princeton University; National Bureau of Economic Research; Princeton University; Universite Catholique de Lille; EDHEC Business School
摘要：We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but infeasible) MLE. Using US Treasury data, we estimate nine affine yield models with different market price of risk specifications. MLE allows non-nested model comparison using likelihood ratio tests; the...
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作者：Brockman, Paul; Liebenberg, Ivonne; Schutte, Maria
作者单位：Lehigh University; University of Mississippi; Michigan Technological University
摘要：Recent theoretical research suggests that information production is a positive externality of aggregate economic activity (Veldkamp, 2005). Both the quantity and quality of information increase during periods of economic expansion and decrease during periods of contraction. Based on this insight, we hypothesize and confirm that time-varying information production drives the comovement patterns observed in stock returns. We examine stock return comovement in 36 countries from 1980 to 2007 and s...
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作者：Christophe, Stephen E.; Ferri, Michael G.; Hsieh, Jim
作者单位：George Mason University
摘要：This paper studies short-selling prior to the release of analyst downgrades in a sample of 670 downgrades of Nasdaq stocks between 2000 and 2001. We find abnormal levels of short-selling in the three days before downgrades are publicly announced. Further, we show that this pre-announcement abnormal short-selling is significantly related to the subsequent share price reaction to the downgrade, and especially so for downgrades that prompt the most substantial price declines. Our findings are rob...
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作者：Chen, Yong; Person, Wayne; Peters, Helen
作者单位：Virginia Polytechnic Institute & State University; University of Southern California; Boston College; National Bureau of Economic Research
摘要：This paper evaluates the ability of bond funds to market time nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models. With controls, the timing coefficients appear neutral ...
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作者：Chen, Shuping; Chen, Xia; Cheng, Qiang; Shevlin, Terry
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Texas System; University of Texas Austin; University of Washington; University of Washington Seattle
摘要：Taxes represent a significant cost to the firm and shareholders, and it is generally expected that shareholders prefer tax aggressiveness. However, this argument ignores potential non-tax costs that can accompany tax aggressiveness, especially those arising from agency problems. Firms owned/run by founding family members are characterized by a unique agency conflict between dominant and small shareholders. Using multiple measures to capture tax aggressiveness and founding family presence, we f...
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作者：Gao, Xiaohui; Ritter, Jay R.
作者单位：University of Hong Kong; State University System of Florida; University of Florida
摘要：In an accelerated seasoned equity offering (SEO), an issuer foregoes the investment bank's marketing efforts in return for a lower fee. To explain why many issuing firms choose a higher cost fully marketed offer, we posit that the marketing effort flattens the issuer's short-run demand curve. Alternatively stated, with a fully marketed offer, the issuer is paying investment bankers to create demand, making the elasticity of demand at the time of issuance an endogenous choice variable. Empirica...
