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作者：Nagel, Stefan
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作者：Schallheim, Jim
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作者：Schallheim, Jim
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作者：Ang, Andrew; Green, Richard C.; Longstaff, Francis A.; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Carnegie Mellon University; University of California System; University of California Los Angeles; Rice University
摘要：The advance refunding of debt is a widespread practice in municipal finance. In an advance refunding, municipalities retire callable bonds early and refund them with bonds with lower coupon rates. We find that 85% of all advance refundings occur at a net present value loss, and that the aggregate losses over the past 20 years exceed $15 billion. We explore why municipalities advance refund their debt at loss. Financially constrained municipalities may face pressure to advance refund since it a...
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作者：Foerster, Stephen; Linnainmaa, Juhani T.; Melzer, Brian T.; Previtero, Alessandro
作者单位：Western University (University of Western Ontario); University of Southern California; National Bureau of Economic Research; Northwestern University; Indiana University System; Indiana University Bloomington
摘要：Using unique data on Canadian households, we show that financial advisors exert substantial influence over their clients' asset allocation, but provide limited customization. Advisor fixed effects explain considerably more variation in portfolio risk and home bias than a broad set of investor attributes that includes risk tolerance, age, investment horizon, and financial sophistication. Advisor effects remain important even when controlling flexibly for unobserved heterogeneity through investo...
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作者：Moreira, Alan; Muir, Tyler
作者单位：University of Rochester; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting-against-beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to co...
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作者：Granja, Joao; Matvos, Gregor; Seru, Amit
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：The average FDIC loss from selling a failed bank is 28% of assets. We document that failed banks are predominantly sold to bidders within the same county, with similar assets business lines, when these bidders are well capitalized. Otherwise, they are acquired by less similar banks located further away. We interpret these facts within a model of auctions with budget constraints, in which poor capitalization of some potential acquirers drives a wedge between their willingness and ability to pay...
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作者：Lins, Karl V.; Servaes, Henri; Tamayo, Ane
作者单位：Utah System of Higher Education; University of Utah; University of London; London Business School; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：During the 2008-2009 financial crisis, firms with high social capital, as measured by corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between a firm and both its stakeholders and investors, built through investments i...
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作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; National Bank of Slovakia; Center for Economic & Policy Research (CEPR)
摘要：We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to po...
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作者：Harvey, Campbell R.
作者单位：Duke University; National Bureau of Economic Research
摘要：Given the competition for top journal space, there is an incentive to produce significant results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In addition, there are basic issues with the interpretation of statistical significance. Increasing thresholds may be necessary, but still may not be sufficient: if the effect being studied is rare, even t > 3 w...
