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作者：Kacperczyk, Marcin; van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：Imperial College London; National Bureau of Economic Research; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
摘要：We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking m...
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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...
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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 These problems are driven by (1) withdrawn quotes, (2) second (versus millisecond) time stamps, and (3) other causes, including canceled quotes.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...
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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...
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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：Chemla, Gilles; Hennessy, Christopher A.
作者单位：Centre National de la Recherche Scientifique (CNRS); Center for Economic & Policy Research (CEPR); University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：What determines securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase expected asset quality, subsequently having private information regarding quality when selling ABS to rational investors. Absent regulation, originators may signal positive information via junior retentions or commonly adopt low retentions if funding value and price informativeness are high. Effort incentives are below fi...
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作者：Loughran, Tim; Mcdonald, Bill
作者单位：University of Notre Dame
摘要：Defining and measuring readability in the context of financial disclosures becomes important with the increasing use of textual analysis and the Securities and Exchange Commission's plain English initiative. We propose defining readability as the effective communication of valuation-relevant information. The Fog Index-the most commonly applied readability measure-is shown to be poorly specified in financial applications. Of Fog's two components, one is misspecified and the other is difficult t...
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作者：Singleton, Kenneth J.
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作者：Schallheim, Jim
