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作者：Gebhardt, WR; Hvidkjaer, S; Swaminathan, B
作者单位：Cornell University; University System of Maryland; University of Maryland College Park
摘要：This paper finds that default betas are significantly related to the cross-section of average bond returns even after controlling for characteristics such as duration, ratings, and yield-to-maturity. Among characteristics, only yield-to-maturity is significantly related to average bond returns after controlling for default and term betas. The default and term factors are able to price the returns of beta-sorted portfolios better than they do the returns of yield-sorted portfolios. The magnitud...
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作者：Ozbas, O
作者单位：University of Southern California
摘要：Does the level of integration of a firm affect the quality of information available to its top decision makers responsible for allocating resources? Motivated by the pervasiveness of specific knowledge in large multi-division firms, I develop a model of internal competition for corporate resources among specialist managers and show that: (i) managers of integrated firms exaggerate the payoffs of their projects to obtain resources despite potentially adverse career consequences, and (ii) the ex...
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作者：Merrick, JJ Jr; Naik, NY; Yadav, PK
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of London; London Business School; Lancaster University
摘要：This paper investigates an attempted delivery squeeze in a bond futures contract traded in London. Using cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion, and learning in a market manipulation setting. We argue that marked differences in settlement failure penalties in the cash and futures markets create conditions that favor squeezes. We recommend that regulators require special flagging of forward term repurchase agreements on th...
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作者：Cochrane, JH
作者单位：University of Chicago
摘要：This paper measures the mean, standard deviation, alpha, and beta of venture capital investments, using a maximum likelihood estimate that corrects for selection bias. The bias-corrected estimation neatly accounts for log returns. It reduces the estimate of the mean log return from 108% to 15%, and of the log market model intercept from 92% to -7%. The selection bias correction also dramatically attenuates high arithmetic average returns: it reduces the mean arithmetic return from 698% to 59%,...
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作者：Atanasov, V
作者单位：Babson College
摘要：This study examines the emergence of the Bulgarian stock market and the role of controlling blockholders. A new approach using mass privatization auction data measures the premium for control and demonstrates that, in the absence of legal constraints, majority owners extract more than 85% of firm value as private benefits of control. Institutional investors form portfolios of predominantly controlling positions or participate in majority coalitions. Ownership stakes cluster at 51%. After the p...
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作者：Fehle, F; Tsyplakov, S
作者单位：University of South Carolina System; University of South Carolina Columbia; Barclays
摘要：We present and test an infinite-horizon, continuous-time model of a firm that can dynamically adjust the use of risk management instruments which seek to reduce product price uncertainty and thereby mitigate financial distress losses and reduce taxes. The dynamic setting relaxes several restrictive assumptions common to static models. In the model, the firm can adjust its use and the hedge ratio and maturity of risk management instruments over time, risk management instruments expire as time p...
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作者：Oyer, P; Schaefer, S
作者单位：Northwestern University; Stanford University
摘要：Many firms issue stock options to all employees. We consider three potential economic justifications for this practice: providing incentives to employees, inducing employees to sort, and employee retention. We gather data from three sources on firms' stock option grants to middle managers. First, we directly calibrate models of incentives, sorting and retention, and ask whether observed magnitudes of option grants are consistent with each potential explanation. We also conduct a cross-sectiona...
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作者：Ni, SXY; Pearson, ND; Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge rebalancing by option market maker...
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作者：Gupta, A; Liang, B
作者单位：University System of Ohio; Case Western Reserve University; University of Massachusetts System; University of Massachusetts Amherst
摘要：We examine the risk characteristics and capital adequacy of hedge funds through the Value-at-Risk approach. Using extensive data on nearly 1,500 hedge funds, we find only 3.7% live and 10.9% dead funds are undercapitalized as of March 2003. Moreover, the undercapitalized funds are relatively small and constitute a tiny fraction of total fund assets in our sample. Cross-sectionally, the variability in fund capitalization is related to size, investment style, age, and management fee. Hedge fund ...
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作者：Christoffersen, SEK; Géczy, CC; Musto, DK; Reed, AV
作者单位：University of Pennsylvania; McGill University; Universite de Montreal; University of North Carolina; University of North Carolina Chapel Hill
摘要：We consider how fund managers respond to the conflicting preferences of their investors. We focus on the conflict between the taxable and retirement accounts of international funds, which face different tradeoffs between dividends and capital gains. In principle, managers could resolve this conflict through dividend arbitrage, but a proprietary database of dividend-arbitrage transactions shows that in practice they cannot. Thus, managers must resolve it through their investment policies. We fi...
