-
作者：Hwang, Byoung-Hyoun; Kim, Seoyoung
作者单位：Purdue University System; Purdue University
摘要：Currently. a director is classified as independent if he or she has neither financial nor familial ties to the CEO or to the firm. We add another dimension: social ties. Using a unique data set, we find that 87% of boards are conventionally independent but that only 62% are conventionally and socially independent. Furthermore, firms whose boards are conventionally and socially independent award a significantly lower level of compensation. exhibit stronger pay-performance sensitivity, and exhib...
-
作者：Chay, J. B.; Suh, Jungwon
作者单位：Ewha Womans University; Sungkyunkwan University (SKKU)
摘要：The importance of cash-flow uncertainty in payout policy has received little attention in empirical studies, while survey studies such as [Lintner, J., 1956. Distribution of incomes of operations among dividends, retained earnings, and taxes. American Economic Review 46, 97-113.] and [Brav. A., Graham, J., Harvey C., Michaely, R., 2005. Payout policy in the 21st century. journal of Financial Economics 77, 483-527.] indicate its importance. With worldwide firm-level data, we present evidence th...
-
作者：Goettler, Ronald L.; Parlour, Christine A.; Rajan, Uday
作者单位：University of Chicago; University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We consider a dynamic limit order market in which traders optimally choose whether to acquire information about the asset and the type of order to submit. We numerically solve for the equilibrium and demonstrate that the market is a volatility multiplier: prices are more volatile than the fundamental value of the asset. This effect increases when the fundamental value has high volatility and with asymmetric information across traders. Changes in the microstructure noise are negatively correlat...
-
作者：Kedia, Simi; Rajgopal, Shiva
作者单位：University of Washington; University of Washington Seattle; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：We find that fixed effects related to the location of firms' headquarters explain variation in broad based option grants after controlling for industry effects and firm characteristics traditionally known to affect option granting. Location matters because of local labor market conditions and social interaction with neighboring firms. Broad based option grants are higher: (i) when a firm's stock prices co-move more with stock prices of other firms located in that Metropolitan Statistical Area ...
-
作者：Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin
作者单位：Centre for Economic Policy Research - UK; Boston University; Bank of Canada; Stanford University; National Bureau of Economic Research
摘要：This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that global private information helps explain US investors' trading behavior and performance. In particular, the model predicts global return chasing (positive co-movement of US investors' net purchases with returns in many countries) which we show to be present in the data. Return chasing in...
-
作者：Pasquariello, Paolo; Vega, Clara
作者单位：University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions-information heterogeneity and imperfect competition among informed traders-and a public signal. Cur evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds...
-
作者：Fang, Vivian W.; Noe, Thomas H.; Tice, Sheri
作者单位：Tulane University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Oxford; University of Oxford
摘要：This paper investigates the relation between stock liquidity and firm performance. The study shows that firms with liquid stocks have better performance as measured by the firm market-to-book ratio. This result is robust to the inclusion of industry or firm fixed effects, a control for idiosyncratic risk, a control for endogenous liquidity using two-stage least squares, and the use of alternative measures of liquidity. To identify the causal effect of liquidity on firm performance, we study an...
-
作者：Hong, Harrison; Kacperczyk, Marcin
作者单位：Princeton University; New York University; National Bureau of Economic Research
摘要：We provide evidence for the effects of social norms on markets by studying sin stocks-publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a societal norm against funding operations that promote vice and that some investors, particularly institutions subject to norms, pay a financial cost in abstaining from these stocks. Consistent with this hypothesis, we find that sin stocks are less held by norm-constrained institutions such as pension p...
-
作者：Finkelstein, Amy; Poterba, James; Rothschild, Casey
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Middlebury College
摘要：We illustrate how equilibrium screening models can be used to evaluate the economic consequences of insurance market regulation. We calibrate and solve a model of the United Kingdom's compulsory annuity market and examine the impact of gender-based pricing restrictions. We find that the endogenous adjustment of annuity contract menus in response to such restrictions can undo up to half of the redistribution from men to women that would occur with exogenous Social Security-like annuity contract...
-
作者：Green, T. Clifton; Hwang, Byoung-Hyoun
作者单位：Emory University; Purdue University System; Purdue University
摘要：Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain ...
