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作者：Chen, Yi; Wang, Zhe
作者单位：Cornell University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study the dynamic profit-maximizing selling mechanism in a merger and acquisitions (M&A) environment with costly bidder entry and without entry fees. Depending on the parameters, the optimal mechanism is implemented by a standard auction or by a two-stage procedure with exclusive offers to one bidder followed by an auction potentially favoring that bidder. The optimal mechanism may involve common deal protections like termination fees, asset lockups, or stock option lockups. Our proposed pr...
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作者：Gryglewicz, Sebastian; Mayer, Simon
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Carnegie Mellon University
摘要：Private equity funds intermediate investment and affect portfolio firm performance by actively engaging in operational, governance, and financial engineering. We study this type of intermediation in a dynamic agency model in which an active intermediary raises funds from outside investors and invests in a firm run by an agent. Optimal contracting addresses moral hazard at the intermediary and firm levels. The intermediary's incentives to affect firm performance are strongest after poor perform...
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作者：Avramov, Doron; Cheng, Si; Metzker, Lior; Voigt, Stefan
作者单位：Reichman University; Syracuse University; Hebrew University of Jerusalem; University of Copenhagen; Danish Finance Institute
摘要：This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over competing factor models weighted by posterior probabilities. Evidence shows that unconditional models record near-zero probabilities, while postearnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in conditional asset pricing. Out-of-sample, the integrated model performs well, tilting...
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作者：Bryzgalova, Svetlana; Huang, Jiantao; Julliard, Christian
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Hong Kong; University of London; London Business School
摘要：We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable and nontradable factors, and detects those weakly identified. For competing factors and (possibly nonnested) models, the method automatically selects the best specification-if a dominant one exists-or provides a Bayesian model averaging-stochastic di...
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作者：Bolton, Patrick; Kacperczyk, Marcin
作者单位：Columbia University; Imperial College London; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of London; London Business School; Imperial College London
摘要：The energy transition away from fossil fuels exposes companies to carbon-transition risk. Estimating the market-based premium associated with carbon-transition risk in a cross section of 14,400 firms in 77 countries, we find higher stock returns associated with higher levels and growth rates of carbon emissions in all sectors and most countries. Carbon premia related to emissions growth are greater for firms located in countries with lower economic development, larger energy sectors, and less ...
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作者：Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; Li, Shuaiqi; Mo, Haitao
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California; Rochester Institute of Technology; City University of Hong Kong; University of Kansas; University of Kansas
摘要：This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. We find that options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not followed by long...
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作者：Goncharov, Igor; Ioannidou, Vasso; Schmalz, Martin C.
作者单位：Lancaster University; Centre for Economic Policy Research - UK; University of Oxford
摘要：We document that central banks are discontinuously more likely to report slightly positive profits than slightly negative profits, especially when political pressure is greater, the public is more receptive to extreme political views, and central bank governors are eligible for reappointment. The propensity to report small profits over small losses is correlated with higher inflation and lower interest rates. We conclude that there are agency problems at central banks, which give rise to disco...
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作者：Han, Bing; Hirshleifer, David; Walden, Johan
作者单位：University of Toronto; University of Southern California; University of California System; University of California Berkeley
摘要：We model visibility bias in the social transmission of consumption behavior. When consumption is more salient than nonconsumption, people perceive that others are consuming heavily, and infer that future prospects are favorable. This increases aggregate consumption in a positive feedback loop. A distinctive implication is that disclosure policy interventions can ameliorate undersaving. In contrast with wealth-signaling models, information asymmetry about wealth reduces overconsumption. The mod...
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作者：Heath, Davidson; Ringgenberg, Matthew C.; Samadi, Mehrdad; Werner, Ingrid M.
作者单位：Utah System of Higher Education; University of Utah; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University; Center for Economic & Policy Research (CEPR); University System of Ohio; Ohio State University
摘要：After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference-in-differences, instrumental variables, and regression discontinuity designs. When we apply our guidance to two extensively...
