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作者：Schwert, GW
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作者：Ferson, W; Khang, K
作者单位：Boston College; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Milwaukee
摘要：This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (J. Business 60 (1993)). When conditioning information is used, returns-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use the ...
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作者：Zanjani, G
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper studies multi-line pricing and capital allocation by insurance companies when solvency matters to consumers, capital is costly to hold, and the average loss is uncertain. In this environment, product quality concerns lead firms to diversify across markets and charge high prices for risk that threatens company solvency, even if the risk is unrelated to other asset risk. Price differences across markets are traced to differences in capital required at the margin to maintain solvency. ...
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作者：Volpin, PF
作者单位：University of London; London Business School
摘要：This paper studies the determinants of executive turnover and firm valuation as a function of ownership and control structure in Italy, a country that features low legal protection for investors, firms with controlling shareholders, and pyramidal groups. The results suggest that there is poor governance, as measured by a low sensitivity of turnover to performance and a low Q ratio, when (i) the controlling shareholders are also top executives, (ii) the control is fully in the hands of one shar...
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作者：Geczy, CC; Musto, DK; Reed, AV
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：With a year of equity loans by a major lender, we measure the effect of actual short-selling costs and constraints on trading strategies that involve short-selling. We find the loans of initial public offering (IPOs), DotCom, large-cap, growth and low-momentum stocks to be cheap relative to the strategies' documented profits and that investors who can short only stocks that are cheap and easy to borrow can enjoy at least some of the profits of unconstrained investors. Most IPOs are loaned on t...
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作者：Rosenberg, JV; Engle, RF
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using S&P 500 index option data and a stochastic volatility model for the S&P 500 return process. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significant...
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作者：Bris, A; Koskinen, Y
作者单位：Yale University; Stockholm School of Economics
摘要：Currency crises can arise because it is optimal to bail out financially distressed exporting firms through a currency depreciation. Exporting firms will not undertake profitable investments when high leverage causes debt overhang problems. A currency depreciation increases the profitability of new investments when revenues are foreign-currency denominated and domestic-currency costs are nominally rigid. Ex ante, currency depreciation leads to excessive investment in risky projects even if safe...
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作者：Beck, T; Levine, R
作者单位：The World Bank; University of Minnesota System; University of Minnesota Twin Cities
摘要：Are market-based or bank-based financial systems better at financing the expansion of industries that depend heavily on external finance, facilitating the formation of new establishments, and improving the efficiency of capital allocation across industries? We find evidence for neither the market-based nor the bank-based hypothesis. While legal system efficiency and overall financial development boost industry growth, new establishment formation, and efficient capital allocation, having a bank...
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作者：Woidtke, T
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：This paper examines the valuation effects associated with the incentive structures of different types of institutional investors using the ownership levels of public and private pension funds in a firm. The results suggest that institutional monitoring is associated with valuation effects when both observable and unobservable aspects of the relationship between institutions and firms are taken into account, Moreover, the valuation effects vary according to the objective functions of institutio...
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作者：D'Avolio, G
作者单位：Harvard University
摘要：To short a stock, an arbitrageur must first borrow it. This paper describes the market for borrowing and lending U.S. equities, emphasizing the conditions generating and sustaining short-sale constraints. A large institutional lending intermediary provided eighteen months (4/ 2000-9/2001) of data on loan supply (shortability), loan fees (specialness), and loan recalls. The data suggest that while loan market specials and recalls are rare on average, the incidence of these short-sale constraint...
