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作者：Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; University of Cologne; Columbia University
摘要：This paper studies the confidential holdings of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater inform...
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作者：Spiegel, Matthew; Tookes, Heather
作者单位：Yale University
摘要：We model the interactions between product market competition and investment valuation within a dynamic oligopoly. To our knowledge, the model is the first continuous-time corporate finance model in a multiple firm setting with heterogeneous products. The model is tractable and amenable to estimation. We use it to relate current industry characteristics with firm value and financial decisions. Unlike most corporate finance models, it produces predictions regarding parameter magnitudes as well t...
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作者：Wachter, Jessica A.
摘要：Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in excess of government bill rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some probability of a consumption realization far out in the left tail. The possibility of this poor outcome substantially increases the...
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作者：Conrad, Jennifer; Dittmar, Robert F.; Ghysels, Eric
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：We use option prices to estimate ex ante higher moments of the underlying individual securities risk-neutral returns distribution. We find that individual securities risk-neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross-section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze ...
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作者：Patton, Andrew J.; Ramadorai, Tarun
作者单位：Duke University; University of Oxford; University of Oxford
摘要：We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfoli...
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作者：Dellavigna, Stefano; Pollet, Joshua M.
作者单位：University of California System; University of California Berkeley; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Using demand shifts induced by demographics, we evaluate capital budgeting and market timing. Capital budgeting implies that industries anticipating positive demand shifts in the near future should issue more equity to finance greater capacity. To the extent that demand shifts in the distant future are not incorporated into equity prices, market timing implies that industries anticipating positive shifts in the distant future should issue less equity due to undervaluation. The evidence support...
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作者：Rapach, David E.; Strauss, Jack K.; Zhou, Guofu
作者单位：Saint Louis University; Washington University (WUSTL)
摘要：We investigate lead-lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries, while lagged non-U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news-diffusion model, and the results indicate that return shocks arising in the United States are only fully reflected in equity prices outside of the United States w...
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作者：Cornelli, Francesca; Kominek, Zbigniew; Ljungqvist, Alexander
作者单位：University of London; London Business School; New York University; National Bureau of Economic Research
摘要：We study how well-incentivized boards monitor CEOs and whether monitoring improves performance. Using unique, detailed data on boards' information sets and decisions for a large sample of private equitybacked firms, we find that gathering information helps boards learn about CEO ability. Soft information plays a much larger role than hard data, such as the performance metrics that prior literature focuses on, and helps avoid firing a CEO for bad luck or in response to adverse external shocks. ...
