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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：Mutual funds often disappear following poor performance. When this poor performance is partly attributable to negative idiosyncratic shocks, funds' estimated alphas understate their true alphas. This paper estimates a structural model to correct for this bias. Although most funds still have negative alphas, they are not nearly as low as those suggested by the fund-by-fund regressions. Approximately 12% of funds have net four-factor model alphas greater than 2% per year. All studies that run fu...
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作者：Eiling, Esther
作者单位：University of Toronto
摘要：Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find th...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We present a model of financial crises that stem from endogenous complexity. We conceptualize complexity as banks' uncertainty about the financial network of cross exposures. As conditions deteriorate, cross exposures generate the possibility of a domino effect of bankruptcies. As this happens, banks face an increasingly complex environment since they need to understand a greater fraction of the financial network to assess their own financial health. Complexity dramatically amplifies banks' pe...
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作者：Mironov, Maxim
作者单位：IE University
摘要：This paper examines the interaction between income diversion and firm performance. Using unique Russian banking transaction data, I identify 42,483 spacemen, fly-by-night firms created specifically for income diversion. Next, I build a direct measure of income diversion for 45,429 companies and show that it is negatively related to firm performance. I identify the main reason for the observed effect as managerial diversion rather than tax evasion per se. I further show that stricter tax enforc...
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作者：Singleton, Kenneth J.; Biais, Bruno; Roberts, Michael
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作者：Atanassov, Julian
作者单位：University of Oregon
摘要：I examine how strong corporate governance proxied by the threat of hostile takeovers affects innovation and firm value. I find a significant decline in the number of patents and citations per patent for firms incorporated in states that pass antitakeover laws relative to firms incorporated in states that do not. Most of the impact of antitakeover laws on innovation occurs 2 or more years after they are passed, indicating a causal effect. The negative effect of antitakeover laws is mitigated by...
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作者：Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to the Center for Research in Security Prices monthly returns, the corrections indicate significant biases in uncorrected return premium estimates associa...
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作者：Kan, Raymond; Robotti, Cesare; Shanken, Jay
作者单位：University of Toronto; Emory University
摘要：Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R-2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R-2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CA...
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作者：Brunnermeier, Markus K.; Oehmke, Martin
作者单位：Princeton University; National Bureau of Economic Research; Columbia University
摘要：Why do some firms, especially financial institutions, finance themselves so short-term? We show that extreme reliance on short-term financing may be the outcome of a maturity rat race: a borrower may have an incentive to shorten the maturity of an individual creditor's debt contract because this dilutes other creditors. In response, other creditors opt for shorter maturity contracts as well. This dynamic toward short maturities is present whenever interim information is mostly about the probab...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using hand-collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers' formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections on investment efficiency depends on the tradeoff between agency and information asymmetry. Under wea...
