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作者：Khan, Mozaffar; Kogan, Leonid; Serafeim, George
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Massachusetts Institute of Technology (MIT); Harvard University
摘要：We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buyingbuyers with excess liquidityrather than what is being purchased. We document substantial stock price impact associated with purchases by high-inflow mutual funds, and find the probability of a seasoned equity offering (SEO), insider sales, and the probability of a stock-based acquisi...
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作者：Rajan, Raghuram G.
作者单位：University of Chicago; University of Chicago; National Bureau of Economic Research
摘要：To produce significant net present value, an entrepreneur has to differentiate her enterprise from the ordinary. To take collaborators with her, she needs to have substantial ownership, and thus financing. But it is hard to raise finance against differentiated assets. So an entrepreneur has to commit to undertake a second transformation, standardization, that will make the human capital in the firm, including her own, replaceable, so that outside financiers obtain control rights that will allo...
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作者：Griffin, John M.; Tang, Dragon Yongjun
作者单位：University of Texas System; University of Texas Austin; University of Hong Kong
摘要：Analyzing 916 collateralized debt obligations (CDOs), we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to increasingly larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied AAA sizes receive larger adjustments. CDOs with larger adjustments experience more severe subsequent downgrading. Additionally, prior to April 2007, 91.2% of AAA...
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作者：Sialm, Clemens; Starks, Laura
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings, we find that funds held primarily by taxable investors choose investment strategies that result in lower tax burdens than funds held primarily in tax-qualified accounts. Despite these differences, we fi...
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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：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：Bartram, Soehnke M.; Brown, Gregory; Stulz, Rene M.
作者单位：University of Warwick; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
摘要：U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volatility is higher in the United States because it increases with investor protection, stock market development, new patents, and firm-level in...
