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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuitythe risk-free payoffand a long-run mean-variance efficient payoff. 'Long-run' moments sum over time as well as states of nature. In equilibrium, long-run expected r...
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作者：Adrian, Tobias; Etula, Erkko; Muir, Tyler
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - New York; Yale University
摘要：Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, bo...
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作者：Gopalan, Radhakrishnan; Milbourn, Todd; Song, Fenghua; Thakor, Anjan V.
作者单位：Washington University (WUSTL); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Extensive discussions on the inefficiencies of short-termism in executive compensation notwithstanding, little is known empirically about the extent of such short-termism. We develop a novel measure of executive pay duration that reflects the vesting periods of different pay components, thereby quantifying the extent to which compensation is short-term. We calculate pay duration in various industries and document its correlation with firm characteristics. Pay duration is longer in firms with m...
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作者：Schallheim, Jim
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作者：Harford, Jarrad; Klasa, Sandy; Maxwell, William F.
作者单位：University of Washington; University of Washington Seattle; University of Arizona; Southern Methodist University
摘要：We find that firms mitigate refinancing risk by increasing their cash holdings and saving cash from cash flows. The maturity of firms' long-term debt has shortened markedly, and this shortening explains a large fraction of the increase in cash holdings over time. Consistent with the inference that cash reserves are particularly valuable for firms with refinancing risk, we document that the value of these reserves is higher for such firms and that they mitigate underinvestment problems. Our fin...
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作者：Von Lilienfeld-Toal, Ulf; Ruenzi, Stefan
作者单位：Stockholm School of Economics; University of Mannheim
摘要：We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak governance. Furthermore, owner-CEOs are value increasing: they reduce empire building and run their fi...
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作者：Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
作者单位：Bocconi University; Bocconi University; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Purdue University System; Purdue University
摘要：We present a model of sovereign debt in which, contrary to conventional wisdom, government defaults are costly because they destroy the balance sheets of domestic banks. In our model, better financial institutions allow banks to be more leveraged, thereby making them more vulnerable to sovereign defaults. Our predictions: government defaults should lead to declines in private credit, and these declines should be larger in countries where financial institutions are more developed and banks hold...
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作者：Hoberg, Gerard; Phillips, Gordon; Prabhala, Nagpurnanand
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California; National Bureau of Economic Research
摘要：We examine how product market threats influence firm payout policy and cash holdings. Using firms' product text descriptions, we develop new measures of competitive threats. Our primary measure, product market fluidity, captures changes in rival firms' products relative to the firm's products. We show that fluidity decreases firm propensity to make payouts via dividends or repurchases and increases the cash held by firms, especially for firms with less access to financial markets. These result...
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作者：Diamond, Douglas W.; He, Zhiguo
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Debt maturity influences debt overhang, the reduced incentive for highly levered borrowers to make real investments because some value accrues to debt. Reducing maturity can increase or decrease overhang even when shorter term debt's value depends less on firm value. Future overhang is more volatile for shorter term debt, making future investment incentives volatile and influencing immediate investment incentives. With immediate investment, shorter term debt typically imposes lower overhang; l...
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作者：Gorbenko, Alexander S.; Malenko, Andrey
作者单位：University of London; London Business School; Massachusetts Institute of Technology (MIT)
摘要：Using data on auctions of companies, we estimate valuations (maximum willingness to pay) of strategic and financial bidders from their bids. We find that a typical target is valued higher by strategic bidders. However, 22.4% of targets in our sample are valued higher by financial bidders. These are mature, poorly performing companies. We also find that (i) valuations of different strategic bidders are more dispersed and (ii) valuations of financial bidders are correlated with aggregate economi...
