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作者：Schallheim, Jim
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作者：Stambaugh, Robert F.
作者单位：University of Pennsylvania
摘要：During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index-like investing. I develop an equilibrium model linking these investment trends to the decline in individual ownership, interpreting the latter as a reduction in noise trading. Active management corrects most noise trader-induced mi...
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作者：Peng, Lin; Roeell, Ailsa
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Columbia University; Center for Economic & Policy Research (CEPR)
摘要：We present a rational expectations model of optimal executive compensation in a setting where managers are in a position to manipulate short-term stock prices and the manipulation propensity is uncertain. We analyze the tradeoffs involved in conditioning pay on long- versus short-term performance and show how manipulation, and investors' uncertainty about it, affects the equilibrium pay contract and the informativeness of prices. Firm and manager characteristics determine the optimal compensat...
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作者：Alti, Aydogan; Tetlock, Paul C.
作者单位：University of Texas System; University of Texas Austin; Columbia University
摘要：We structurally estimate a model in which agents' information processing biases can cause predictability in firms' asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biasesoverconfidence and overextrapolation of trendsthat distort agents' expectations of firm productivity. Our model's predictions closely match empirical data on asset pricing and firm behavior. The estimated bias parameters are well identified and exhibit plausible m...
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作者：Copeland, Adam; Martin, Antoine; Walker, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Berkeley
摘要：The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. Using confidential data on tri-party repo, a major segment of this market, we show that, the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, w...
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作者：Malherbe, Frederic
作者单位：University of London; London Business School
摘要：I analyze a model in which holding cash imposes a negative externality: it worsens future adverse selection in markets for long-term assets, which impairs their role for liquidity provision. Adverse selection worsens when potential sellers of long-term assets hold more cash because then fewer sales reflect cash needs, and proportionally more sales reflect private information. Moreover, future market illiquidity makes current cash holding more appealing. This feedback effect may result in hoard...
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作者：Nikolov, Boris; Whited, Toni M.
作者单位：University of Rochester; National Bureau of Economic Research
摘要：Which agency problems affect corporate cash policy? To answer this question, we estimate a dynamic model of finance and investment with three mechanisms that misalign managerial and shareholder incentives: limited managerial ownership of the firm, compensation based on firm size, and managerial perquisite consumption. We find that perquisite consumption critically impacts cash policy. Size-based compensation also matters, but less. Firms with lower blockholder and institutional ownership have ...
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作者：Burkart, Mike; Gromb, Denis; Mueller, Holger M.; Panunzi, Fausto
作者单位：Stockholm School of Economics; INSEAD Business School; European Corporate Governance Institute; Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; Bocconi University
摘要：This paper examines the role of legal investor protection for the efficiency of the market for corporate control when bidders are financially constrained. In the model, stronger legal investor protection increases bidders' outside funding capacity. However, absent effective bidding competition, this does not improve efficiency, as the bid price, and thus bidders' need for funds, increases one-for-one with the pledgeable income. In contrast, under effective competition for the target, the incre...
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作者：Szymanowska, Marta; De Roon, Frans; Nijman, Theo; Van den Goorbergh, Rob
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high-minus-low portfolio from basis sorts, explain...
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作者：Chaboud, Alain P.; Chiquoine, Benjamin; Hjalmarsson, Erik; Vega, Clara
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Gothenburg; University of London
摘要：We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with ...
