-
作者：McLean, R. David; Pontiff, Jeffrey; Watanabe, Akiko
作者单位：Boston College; University of Alberta
摘要：Share issuance predicts cross-sectional returns in a non-U.S. sample of stocks from 41 different countries. Issuance predictability has greater statistical significance than either size or momentum, and is similar to book-to-market. As in the U.S., the international issuance effect is robust across both small and large firms. Unlike the U.S., the effect is driven more by low returns after share creation rather than positive returns following share repurchases. Issuance return predictability is...
-
作者：Kempf, Alexander; Ruenzi, Stefan; Thiele, Tanja
作者单位：University of Texas System; University of Texas Austin; University of Cologne; University of Cologne
摘要：We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the relative importance of these incentives. When employment risk is more important than compensation incentives, fund managers with a poor midyear performance tend to decrease risk relative to leading managers to prevent potential job loss. When...
-
作者：Sensoy, Berk A.
作者单位：University of Southern California
摘要：Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these mismatched benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be...
-
作者：Yermack, David
作者单位：New York University
摘要：I study large charitable stock gifts by Chairmen and Chief Executive Officers (CEOs) of public companies. These gifts, which are not subject to insider trading law, often occur just before sharp declines in their companies' share prices. This timing is more pronounced when executives donate their own shares to their own family foundations. Evidence related to reporting delays and seasonal patterns suggests that some CEOs fraudulently backdate stock gifts to increase personal income tax benefit...
-
作者：Fu, Fangjian
作者单位：Singapore Management University
摘要：Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510] predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang [2006. The cross-section of volatility and expected returns. Journal of Finance 61, 259-299], however, find that monthly stock returns are negatively related to the one-month lagged idiosyncratic volatilitie...
-
作者：Kerr, William R.; Nanda, Ramana
作者单位：Harvard University
摘要：We examine entrepreneurship and creative destruction following US banking deregulations using US Census Bureau data. US banking reforms brought about exceptional growth in both entrepreneurship and business closures. Most of the closures, however, were the new ventures themselves. Although we find evidence for the standard story of creative destruction, the most pronounced impact was a massive increase in churning among new entrants. We argue that creative destruction requires many business fa...
-
作者：Sadka, Gil; Sadka, Ronnie
作者单位：Boston College; Columbia University
摘要：This paper studies the effects of predictability on the earnings-returns relation for individual firms and for the aggregate. We demonstrate that prices better anticipate earnings growth at the aggregate level than at the firm level, which implies that random-walk models are inappropriate for gauging aggregate earnings expectations. Moreover, we show that the contemporaneous correlation of earnings growth and stock returns decreases with the ability to predict future earnings. Our results may ...
-
作者：Cooney, John W.; Moeller, Thomas; Stegemoller, Mike
作者单位：Texas Tech University System; Texas Tech University; Texas Christian University
摘要：We examine acquisitions of private firms with valuation histories and find a positive relation between acquirer announcement returns and target valuation revisions. Similar to other studies, acquirer announcement returns are positive, on average. However, positive acquirer announcement returns are mainly driven by targets that are acquired for more than their prior valuation. This relation is consistent with pricing effects associated with target valuation uncertainty and behavioral biases in ...
-
作者：Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, Xiaoyan
作者单位：Columbia University; National Bureau of Economic Research; Rice University; Cornell University
摘要：Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the United States, we rule out explanations based on trading frictions, information dissemination, and higher mo...
