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作者：Betton, Sandra; Eckbo, B. Espen; Thompson, Rex; Thorburn, Karin S.
作者单位：Concordia University - Canada; Dartmouth College; Southern Methodist University; Norwegian School of Economics (NHH)
摘要：Do preoffer target stock price runups increase bidder takeover costs? We present model-based tests of this issue assuming runups are caused by signals that inform investors about potential takeover synergies. Rational deal anticipation implies a relation between target runups and markups (offer value minus runup) that is greater than minus one-for-one and inherently nonlinear. If merger negotiations force bidders to raise the offer with the runup-a costly feedback loop where bidders pay twice ...
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作者：Del Guercio, Diane; Reuter, Jonathan
作者单位：University of Oregon; Boston College; National Bureau of Economic Research
摘要：To rationalize the well-known underperformance of the average actively managed mutual fund, we exploit the fact that retail funds in different market segments compete for different types of investors. Within the segment of funds marketed directly to retail investors, we show that flows chase risk-adjusted returns, and that funds respond by investing more in active management. Importantly, within this direct-sold segment, we find no evidence that actively managed funds underperform index funds....
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作者：Leary, Mark T.; Roberts, Michael R.
作者单位：Washington University (WUSTL); University of Pennsylvania; National Bureau of Economic Research
摘要：We show that peer firms play an important role in determining corporate capital structures and financial policies. In large part, firms' financing decisions are responses to the financing decisions and, to a lesser extent, the characteristics of peer firms. These peer effects are more important for capital structure determination than most previously identified determinants. Furthermore, smaller, less successful firms are highly sensitive to their larger, more successful peers, but not vice ve...
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作者：Anton, Miguel; Polk, Christopher
作者单位：University of Navarra; IESE Business School; University of London; London School Economics & Political Science
摘要：We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross-sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experimentthe 2003 mutual fund trading scandal. These results motivate a novel cross-stock-reversal trading strate...
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作者：Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Chicago; Imperial College London; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of London; London School Economics & Political Science
摘要：We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and (iii) the correlation risk premium. Priced disagreement risk also explains returns of option volat...
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作者：Kogan, Leonid; Papanikolaou, Dimitris
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：We explore the impact of investment-specific technology (IST) shocks on the cross section of stock returns. Using a structural model, we show that IST shocks have a differential effect on the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, firm risk premia depend on the contribution of growth opportunities to firm value. Second, firms with similar levels of growth opportunities comove with each other,...
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作者：Kuehn, Lars-Alexander; Schmid, Lukas
作者单位：Carnegie Mellon University; Duke University; University of California System; University of California Los Angeles
摘要：A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm-level variables that proxy for asset composition are significant determinants of credit spreads beyond leverage and asset volatility, because they capture the systematic risk of firms' assets. Cross-sectional studies of credit spreads tha...
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作者：Sheen, Albert
作者单位：Harvard University
摘要：I document sources of value creation in mergers by analyzing novel data on the quality and price of goods sold by merging firms. When two competitors in a product market merge, their products converge in quality, and prices fall relative to the competition. These effects take two to three years to be fully realized and are stronger in mature industries. Prices do not fall, however, when the acquirer is diversifying into a new product market. This direct evidence of real changes induced by merg...
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作者：An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret
作者单位：Columbia University; National Bureau of Economic Research; Georgetown University; Fordham University
摘要：Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option implied volatilities, with stocks with high past returns tending to have call and put option contracts that exhibit ...
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作者：[Anonymous]
