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作者：Julio, Brandon; Yook, Youngsuk
作者单位：University of London; London Business School; Sungkyunkwan University (SKKU)
摘要：We document cycles in corporate investment corresponding with the timing of national elections around the world. During election years, firms reduce investment expenditures by an average of 4.8% relative to nonelection years, controlling for growth opportunities and economic conditions. The magnitude of the investment cycles varies with different country and election characteristics. We investigate several potential explanations and find evidence supporting the hypothesis that political uncert...
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作者：Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Oxford; University of Oxford
摘要：Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link be...
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作者：Grullon, Gustavo; Lyandres, Evgeny; Zhdanov, Alexei
作者单位：Rice University; Boston University; University of Lausanne
摘要：We provide evidence that the positive relation between firm-level stock returns and firm-level return volatility is due to firms real options. Consistent with real option theory, we find that the positive volatility-return relation is much stronger for firms with more real options and that the sensitivity of firm value to changes in volatility declines significantly after firms exercise their real options. We reconcile the evidence at the aggregate and firm levels by showing that the negative ...
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作者：Solomon, David H.
作者单位：University of Southern California
摘要：I examine how media coverage of good and bad corporate news affects stock prices, by studying the effect of investor relations (IR) firms. I find that IR firms spin their clients news, generating more media coverage of positive press releases than negative press releases. This spin increases announcement returns. Around earnings announcements, however, IR firms cannot spin the news and their clients returns are significantly lower. This pattern is consistent with positive media coverage increa...
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作者：Gande, Amar; Saunders, Anthony
作者单位：Southern Methodist University; New York University
摘要：Secondary market trading in loans elicits a significant positive stock price response by a borrowing firms equity investors. We find the major reason for this response is the alleviation of borrowing firms financial constraints. We also find that new loan announcements are associated with a positive stock price effect even when prior loans made to the same borrower already trade on the secondary market. We conclude that the special role of banks has changed due to their ability to create an ac...
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作者：Guthrie, Katherine; Sokolowsky, Jan; Wan, Kam-Ming
作者单位：William & Mary; University of Michigan System; University of Michigan; Hong Kong Polytechnic University
摘要：Chhaochharia and Grinstein estimate that CEO pay decreases 17% more in firms that were not compliant with the recent NYSE/Nasdaq board independence requirement than in firms that were compliant. We document that 74% of this magnitude is attributable to two outliers of 865 sample firms. In addition, we find that the compensation committee independence requirement increases CEO total pay, particularly in the presence of effective shareholder monitoring. Our evidence casts doubt on the effectiven...
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作者：He, Jie (Jack); Qian, Jun (QJ); Strahan, Philip E.
作者单位：University System of Georgia; University of Georgia; Boston College; National Bureau of Economic Research
摘要：Initial yields on both AAA-rated and non-AAA rated mortgage-backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004 to 2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004 to 2006. These results suggest that investors price the risk that large issuers received more inflated rating...
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作者：Cetorelli, Nicola; Goldberg, Linda S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Globalization of banking raises questions about banks liquidity management, their response to liquidity shocks, and the potential for international shock propagation. We conjecture that global banks manage liquidity on a global scale, actively using cross-border internal funding in response to local shocks. Having global operations insulates banks from changes in monetary policy, while banks without global operations are more affected by monetary policy than previously found. We provide direct...
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作者：Garleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng
作者单位：University of California System; University of California Berkeley; University of Chicago; University of Minnesota System; University of Minnesota Twin Cities
摘要：We study the asset-pricing implications of technological growth in a model with small, disembodied productivity shocks and large, infrequent technological innovations, which are embodied into new capital vintages. The technological-adoption process leads to endogenous cycles in output and asset valuations. This process can help explain stylized asset-valuation patterns around major technological innovations. More importantly, it can help provide a unified, investment-based theory for numerous ...
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作者：Edmans, Alex; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; National Bureau of Economic Research; Columbia University
摘要：Using mutual fund redemptions as an instrument for price changes, we identify a strong effect of market prices on takeover activity (the trigger effect). An interquartile decrease in valuation leads to a seven percentage point increase in acquisition likelihood, relative to a 6% unconditional takeover probability. Instrumentation addresses the fact that prices are endogenous and increase in anticipation of a takeover (the anticipation effect). Our results overturn prior literature that finds a...
