-
作者：Ahern, Kenneth R.; Sosyura, Denis
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：Firms have an incentive to manage media coverage to influence their stock prices during important corporate events. Using comprehensive data on media coverage and merger negotiations, we find that bidders in stock mergers originate substantially more news stories after the start of merger negotiations, but before the public announcement. This strategy generates a short-lived run-up in bidders' stock prices during the period when the stock exchange ratio is determined, which substantially impac...
-
作者：Ferson, Wayne; Lin, Jerchern
作者单位：University of Southern California; National Bureau of Economic Research; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete, investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a traditional alpha and study the cross-sectional relation of disagreement and investor heterogeneity...
-
作者：Joslin, Scott; Priebsch, Marcel; Singleton, Kenneth J.
作者单位：University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors; Stanford University; National Bureau of Economic Research
摘要：This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a l...
-
作者：Mclean, R. David; Zhao, Mengxin
作者单位：University of Alberta; Massachusetts Institute of Technology (MIT)
摘要：The recent financial crisis shows that financial markets can impact the real economy. We investigate whether access to finance typically time-varies and, if so, what are the real effects. Consistent with time-varying external finance costs, both investment and employment are less sensitive to Tobin's q and more sensitive to cash flow during recessions and low investor sentiment periods. Share issuance plays a bigger role than debt issuance in causing these effects. Alternative tests that do no...
-
作者：Bena, Jan; Li, Kai
作者单位：University of British Columbia
摘要：Using a large and unique patent-merger data set over the period 1984 to 2006, we show that companies with large patent portfolios and low R&D expenses are acquirers, while companies with high R&D expenses and slow growth in patent output are targets. Further, technological overlap between firm pairs has a positive effect on transaction incidence, and this effect is reduced for firm pairs that overlap in product markets. We also show that acquirers with prior technological linkage to their targ...
-
作者：Peress, Joel
摘要：The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate...
-
作者：Holden, Craig W.; Jacobsen, Stacey
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Southern Methodist University
摘要：Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ) database. These problems are driven by (1) withdrawn quotes, (2) second (versus millisecond) time stamps, and (3) other causes, including canceled quotes. The expensive solution, using DTAQ, is first-best. For financially constrai...
-
作者：Peters, Florian S.; Wagner, Alexander F.
作者单位：University of Amsterdam; Swiss Finance Institute (SFI); University of Zurich; Harvard University
摘要：We establish that CEOs of companies experiencing volatile industry conditions are more likely to be dismissed. At the same time, accounting for various other factors, industry risk is unlikely to be associated with CEO compensation other than through dismissal risk. Using this identification strategy, we document that CEO turnover risk is significantly positively associated with compensation. This finding is important because job-risk-compensating wage differentials arise naturally in competit...
-
作者：Koijen, Ralph S. J.
作者单位：University of Chicago; National Bureau of Economic Research; Tilburg University
摘要：I estimate a dynamic investment model for mutual managers to study the cross-sectional distribution of ability, incentives, and risk preferences. The manager's compensation depends on the size of the fund, which fluctuates due to fund returns and due to fund flows that respond to the fund's relative performance. The model provides an economic interpretation of time-varying coefficients in performance regressions in terms of the structural parameters. I document that the estimates of fund alpha...
-
作者：Berkman, Henk; Koch, Paul D.; Westerholm, P. Joakim
作者单位：University of Auckland; University of Kansas; University of Sydney
摘要：This study shows that the guardians behind underaged accounts are successful at picking stocks. Moreover, they tend to channel their best trades through the accounts of children, especially when they trade just before major earnings announcements, large price changes, and takeover announcements. Building on these results, we argue that the proportion of total trading activity through underaged accounts (labeled BABYPIN) should serve as an effective proxy for the probability of information trad...
