-
作者：Hao, Grace Qing
作者单位：University of Missouri System; University of Missouri Columbia
摘要：Laddering is a practice whereby the allocating underwriter requires the ladderer to buy additional shares of the issuer in the aftermarket as a condition for receiving shares at the offer price. This paper identifies factors that create incentives to engage in this type of manipulation and models the effect of laddering on initial public offering (IPO) pricing. I show that laddering has a bigger effect on the market price of IPOs with greater expected underpricing (without laddering) and great...
-
作者：Ludvigson, Sydney C.; Ng, Serena
作者单位：New York University; University of Michigan System; University of Michigan
摘要：Existing empirical literature on the risk-return relation uses relatively small amount of conditioning information to model the conditional mean and conditional volatility of excess stock market returns. We use dynamic Factor analysis for large data sets, to summarize a large amount of economic information by few estimated factors, and find that three new factors-termed volatility, risk premium, and real factors-contain important information about one-quarter-ahead excess returns and volatilit...
-
作者：Louis, Henock; White, Hal
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Signaling is the most commonly cited explanation for stock repurchases in the academic literature. Yet, there is little evidence on whether managers intentionally use repurchases as signaling devices. Using a firm's financial reporting behavior to infer managerial intent, we find evidence suggesting that managers intentionally use fixed-price repurchase tender offers to signal undervaluation. In contrast, we find no evidence that managers use Dutch-auction tender offers to signal undervaluatio...
-
作者：Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
作者单位：University of London; London Business School; Imperial College London; Singapore Management University
摘要：Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Sorting on Bayesian alphas, relative to OLS alphas, yields a 5.5% per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are...
-
作者：Calvet, Laurent E.; Fisher, Adial J.
作者单位：University of British Columbia; Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Equity prices are driven by shocks with persistence levels ranging from intraday horizons to several decades. To accommodate this diversity, we introduce a parsimonious equilibrium model with regime shifts of heteroaeneous durations in fundamentals, and estimate specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel [1992. No news is good news: an asymmetric model of changing volatility in stock retu...
-
作者：Beck, Thorsten; Demirguc-Kunt, Ash; Martinez Peria, Maria Soledad
作者单位：The World Bank
摘要：This paper is a first attempt at measuring financial sector outreach and investigating its determinants. First, we present new indicators of banking sector outreach across 99 countries, constructed from aggregate data provided by bank regulators. Second, we show that our indicators closely predict harder-to-collect micro-level statistics of household and firm use of banking services, and are associated with measures of firm financing obstacles in the expected way. Finally, we explore the assoc...
-
作者：Dallami, Mansoor; Hauswald, Robert
作者单位：American University; The World Bank
摘要：This paper provides an in-depth study of the allocation of a firm's residual risks not explicitly managed through interlocking contracts in the context of project finance. Focusing on the Ras Gas project, we relate its credit spreads as a measure of investor risk perceptions to firm-specific risk factors in the context of 25year supply agreements, debt covenants, and a debt-service guarantee contingent on output prices. Consistent with theoretical predictions, we find that unmanaged risk facto...
-
作者：Ang, Andrew; Liu, Jun
作者单位：Columbia University; University of California System; University of California San Diego
摘要：Using only the definition of returns, together with a transversality assumption, we demonstrate that given a dividend process, any one of three variables-expected return, return volatility, and the price-dividend ratio-completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our findings lend insight into the nature of the risk-return rela...
-
作者：Grenadier, Steven R.; Wang, Neng
作者单位：Columbia University; Stanford University; National Bureau of Economic Research
摘要：While standard real options models assume that agents possess a constant rate of time preference, there is substantial evidence that agents are impatient about choices in the short term but are patient when choosing between long-term alternatives. We extend the real options framework to model the investment-timing decisions of entrepreneurs with time-inconsistent preferences. The impact on investment-timing depends on such factors as whether entrepreneurs are sophisticated or naive in their ex...
-
作者：Farhi, Emmanuel; Panageas, Stavros
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We Study optimal consumption and portfolio choice in a framework where investors adjust their labor Supply through an irreversible choice of their retirement time. We show that investing for early retirement tends to increase savings and reduce an agent's effective relative risk aversion, thus increasing her stock market exposure. Contrary to common intuition, an investor might find it optimal to increase the proportion of financial wealth held in stocks as she ages and accumulates assets, eve...
