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作者：Engelberg, Joseph; McLean, R. David; Pontiff, Jeffrey
作者单位：University of California System; University of California San Diego; Boston College
摘要：Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly correc...
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作者：Ferreira, Daniel; Ferreira, Miguel A.; Mariano, Beatriz
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; Universidade Nova de Lisboa; City St Georges, University of London
摘要：We find that the number of independent directors on corporate boards increases by approximately 24% following financial covenant violations in credit agreements. Most of these new directors have links to creditors. Firms that appoint new directors after violations are more likely to issue new equity, and to decrease payout, operational risk, and CEO cash compensation, than firms without such appointments. We conclude that a firm's board composition, governance, and policies are shaped by curre...
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作者：Duffee, Gregory R.
作者单位：Johns Hopkins University
摘要：Shocks to nominal bond yields consist of news about expected future inflation, expected future real short rates, and expected excess returnsall over the bond's life. I estimate the magnitude of the first component for short- and long-maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation account for between 10% to 20% of variances of yield shocks. Standard dynamic models with long-run risk imply variance ratios close to 1. Habit formation models fare some...
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作者：Hombert, Johan; Matray, Adrien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK; Princeton University
摘要：We study whether R&D-intensive firms are more resilient to trade shocks. We correct for the endogeneity of R&D using tax-induced changes to R&D costs. While rising imports from China lead to slower sales growth and lower profitability, these effects are significantly smaller for firms with a larger stock of R&D (about half when moving from the bottom quartile to the top quartile of R&D). We provide evidence that this effect is explained by R&D allowing firms to increase product differentiation...
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作者：Kirchler, Michael; Lindner, Florian; Weitzel, Utz
作者单位：University of Innsbruck; University of Gothenburg; Max Planck Society; Utrecht University; Radboud University Nijmegen
摘要：Rankings are omnipresent in the finance industry, yet the literature is silent on how they impact financial professionals' behavior. Using lab-in-the-field experiments with 657 professionals and lab experiments with 432 students, we investigate how rank incentives affect investment decisions. We find that both rank and tournament incentives increase risk-taking among underperforming professionals, while only tournament incentives affect students. This rank effect is robust to the experimental ...
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作者：Parsons, Christopher A.; Sulaeman, Johan; Titman, Sheridan
作者单位：University of Southern California; National University of Singapore; University of Texas System; University of Texas Austin
摘要：Financial misconduct (FM) rates differ widely between major U.S. cities, up to a factor of 3. Although spatial differences in enforcement and firm characteristics do not account for these patterns, city-level norms appear to be very important. For example, FM rates are strongly related to other unethical behavior, involving politicians, doctors, and (potentially unfaithful) spouses, in the city.
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作者：Jiang, Hao; Verardo, Michela
作者单位：Michigan State University; University of London; London School Economics & Political Science
摘要：We uncover a negative relation between herding behavior and skill in the mutual fund industry. Our new, dynamic measure of fund-level herding captures the tendency of fund managers to follow the trades of the institutional crowd. We find that herding funds underperform their antiherding peers by over 2% per year. Differences in skill drive this performance gap: Antiherding funds make superior investment decisions even on stocks not heavily traded by institutions, and can anticipate the trades ...
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作者：Wong, Maisy
作者单位：University of Pennsylvania
摘要：Self-dealing is potentially important but difficult to measure. In this paper, I study special servicers in commercial mortgage-backed securities (CMBS), which sell distressed assets on behalf of bondholders. Around 2010, ownership changes of four major servicers raised concerns that they may direct benefits to new owners' affiliates (buyers and service providers). Loans liquidated after ownership changes have greater loss rates than before (8 percentage points (p.p.), $2.3 billion in losses),...
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作者：Andonov, Aleksandar; Hochberg, Yael V.; Rauh, Joshua D.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Rice University; National Bureau of Economic Research; Stanford University
摘要：Representation on pension fund boards by state officialsoften determined by statute decades pastis negatively related to the performance of private equity investments made by the pension fund, despite state officials' relatively strong financial education and experience. Their underperformance appears to be partly driven by poor investment decisions consistent with political expediency, and is also positively related to political contributions from the finance industry. Boards dominated by ele...
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作者：Ferreira, Miguel A.; Matos, Pedro; Pires, Pedro
作者单位：Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Virginia
摘要：We study the performance of equity mutual funds run by asset management divisions of commercial banking groups using a worldwide sample. We show that bank-affiliated funds underperform unaffiliated funds by 92 basis points per year. Consistent with conflicts of interest, the underperformance is more pronounced among those affiliated funds that overweight the stock of the bank's lending clients to a great extent. Divestitures of asset management divisions by banking groups support a causal inte...
