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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：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：Asness, Clifford S.; Moskowitz, Tobias J.; Pedersen, Lasse Heje
作者单位：University of Chicago; National Bureau of Economic Research; New York University; Copenhagen Business School
摘要：We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three-factor model. Global funding...
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作者：Vig, Vikrant
作者单位：University of London; London Business School
摘要：We investigate how firms respond to strengthening of creditor rights by examining their financial decisions following a securitization reform in India. We find that the reform led to a reduction in secured debt, total debt, debt maturity, and asset growth, and an increase in liquidity hoarding by firms. Moreover, the effects are more pronounced for firms that have a higher proportion of tangible assets because these firms are more affected by the secured transactions law. These results suggest...
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作者：Kelley, Eric K.; Tetlock, Paul C.
作者单位：University of Arizona; Columbia University
摘要：We analyze the role of retail investors in stock pricing using a database uniquely suited for this purpose. The data allow us to address selection bias concerns and to separately examine aggressive (market) and passive (limit) orders. Both aggressive and passive net buying positively predict firms' monthly stock returns with no evidence of return reversal. Only aggressive orders correctly predict firm news, including earnings surprises, suggesting they convey novel cash flow information. Only ...
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作者：Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydro, Jose-Luis
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; University of London; London Business School; Pompeu Fabra University
摘要：We analyze the impact of financial globalization on business cycle synchronization using a proprietary database on banks' international exposure for industrialized countries during 1978 to 2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time-varying financial linkages data. In contrast to conventional wisdom and previous empirical studies, we identify a strong negative effect of banking integration on output synchronization, conditional on ...
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作者：Covitz, Daniel; Liang, Nellie; Suarez, Gustavo A.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper documents runs on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors' degree of risk intolerance, and inform em...
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作者：Korniotis, George M.; Kumar, Alok
作者单位：University of Miami
摘要：This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state-level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography-based trading strategies earn annualized risk-adjusted returns of 5%. This abnormal performance reflects time-varying systematic risks and local-trading induced mispricing. Consistent with the misprici...
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作者：Garcia, Diego
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions p...
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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...
