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作者：Chen, Xia; Harford, Jarrad; Li, Kai
作者单位：University of Washington; University of Washington Seattle; University of British Columbia
摘要：Within a cost benefit framework, we hypothesize that independent institutions with long-term investments will specialize in monitoring and influencing efforts rather than trading. Other institutions will not monitor. Using acquisition decisions to reveal monitoring, we show that only concentrated holdings by independent long-term institutions are related to post-merger performance. Further, the presence of these institutions makes withdrawal of bad bids more likely. These institutions make lon...
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作者：Khorana, Ajay; Servaes, Henri; Wedge, Lei
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Centre for Economic Policy Research - UK; State University System of Florida; University of South Florida
摘要：This paper documents the range of portfolio manager ownership in the funds they manage and examines whether higher ownership is associated with improved future performance. Almost half of all managers have ownership stakes in their funds, though the absolute investment is modest. Future risk-adjusted performance is positively related to managerial ownership, with performance improving by about 3 basis points for each basis point of managerial ownership. These findings persist after controlling...
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作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bloomberg L.P.; New York University
摘要：We analyze the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that, on any given date, the conditional risk-neutral distribution of currency returns can show strong asymmetry. This asymmetry varies greatly over time and often switches signs. We develop and estimate a class of models that captures this stochastic skew behavior. Model estimation shows that our s...
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作者：Baker, Malcolm; Coval, Joshua; Stein, Jeremy C.
作者单位：National Bureau of Economic Research; Harvard University; Harvard University
摘要：We argue that inertial behavior on the part of investors can have significant consequences for corporate financial policy. One implication of investor inertia is that it improves the terms for the acquiring firm in a stock-for-stock merger, because acquirer shares are placed in the hands of investors, who, independent of their beliefs, do not resell these shares on the open market. In the presence of a downward-sloping demand curve, this leads to a reduction in price pressure and, hence, to ch...
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作者：Malmendier, Ulrike; Shanthikumar, Devin
作者单位：University of California System; University of California Berkeley; Harvard University
摘要：Security analysts tend to bias stock recommendations upward, particularly if they are affiliated with the underwriter. We analyze how investors account for such distortions. Using the NYSE Trades and Quotations database, we find that large traders adjust their trading response downward. While they exert buy pressure following strong buy recommendations, they display no reaction to buy recommendations and selling pressure following hold recommendations. This discounting is even more pronounced ...
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作者：Lowry, Michelle; Murphy, Kevin J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
摘要：In about one-third of US IPOs between 1996 and 2000, executives received stock options with an exercise price equal to the IPO offer price rather than a market-determined price. Among firms with such IPO options, 58% of top executives realize a net benefit from underpricing: the gain from the options exceeds the loss from the dilution of their pre-IPO shareholdings. If executives can influence either the IPO offer price or the timing and terms of their stock option grants, there should be a po...
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作者：Shanken, Jay; Zhou, Guofu
作者单位：Washington University (WUSTL); Emory University
摘要：We conduct a simulation analysis of the Fama and MacBeth[1973. Risk, returns and equilibrium: empirical tests. Journal of Political Economy 71, 607-636.] two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the relations between estimators, and asymptotic distributions under model misspecification. The generalized least squares estimator...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：Dartmouth College; University of Chicago
摘要：Standard asset pricing models assume that: (i) there is complete agreement among investors about probability distributions of future payoffs on assets; and (ii) investors choose asset holdings based solely on anticipated payoffs-, that is, investment assets are not also consumption goods. Both assumptions are unrealistic. We provide a simple framework for studying how disagreement and tastes for assets as consumption goods can affect asset prices. (c) 2006 Elsevier B.V. All rights reserved.
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作者：Goldfarb, Brent; Kirsch, David; Miller, David A.
作者单位：University System of Maryland; University of Maryland College Park; University of California System; University of California San Diego
摘要：We present four stylized facts about the Dot Corn Era: (1) there was a widespread belief in a Get Big Fast business strategy, (2) the increase and decrease in public and private equity investment was most prominent in the Internet and information technology sectors, (3) the survival rate of dot com firms is on par with or higher than other emerging industries, and (4) firm survival is independent of private equity funding. To connect these findings we offer a herding model that accommodates a ...
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作者：McBrady, Matthew R.; Schill, Michael J.
作者单位：University of Virginia
摘要：It is well known that corporations issue foreign currency-denominated debt to hedge foreign currency cash flows with offsetting interest payments. We test an alternative opportunistic motive for foreign currency-denominated borrowing. We do so by constructing a comprehensive sample of foreign currency-denominated bonds issued by sovereign government and agency issuers with no foreign currency cash flows or foreign operations. We find strong and consistent evidence that the borrowers in our sam...
