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作者：Nagel, Stefan; Singleton, Kenneth J.
作者单位：Stanford University; National Bureau of Economic Research
摘要：We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these conclusions, we construct an optimal Generalized Method of Moments (GMM) estimator for models in which the stochastic discount factor (SDF) is a conditionally affine function of a set of priced risk factors, ...
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作者：Abrahamson, Mark; Jenkinson, Tim; Jones, Howard
作者单位：University of Oxford
摘要：We compare fees charged by investment banks for conducting IPOs in the United States and Europe. In recent years, the 7% solution, as documented by Chen and Ritter (2000), has become even more prevalent in the United States, and is now the norm for IPOs raising up to $250 million. The same banks dominate both markets, but European IPO fees are roughly three percentage points lower, are much more variable, and have been falling. We review explanations for the gap in spreads and find the evidenc...
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作者：Campello, Murillo; Lin, Chen; Ma, Yue; Zou, Hong
作者单位：Cornell University; National Bureau of Economic Research; Chinese University of Hong Kong; Lingnan University; City University of Hong Kong
摘要：We study the implications of hedging for corporate financing and investment. We do so using an extensive, hand-collected data set on corporate hedging activities. Hedging can lower the odds of negative realizations, thereby reducing the expected costs of financial distress. In theory, this should ease a firm's access to credit. Using a tax-based instrumental variable approach, we show that hedgers pay lower interest spreads and are less likely to have capital expenditure restrictions in their ...
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作者：Da, Zhi; Engelberg, Joseph; Gao, Pengjie
作者单位：University of Notre Dame; University of California System; University of California San Diego
摘要：We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the...
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作者：Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju
作者单位：National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short-term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and a small probability of meeting a buy-to-hold investor. We then show that a small change in the asset's fundamental value can be associated with a catastrophic drop in the debt capacity, t...
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作者：Malmendier, Ulrike; Tate, Geoffrey; Yan, Jon
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We show that measurable managerial characteristics have significant explanatory power for corporate financing decisions. First, managers who believe that their firm is undervalued view external financing as overpriced, especially equity financing. Such overconfident managers use less external finance and, conditional on accessing external capital, issue less equity than their peers. Second, CEOs who grew up during the Great Depression are averse to debt and lean excessively on internal finance...
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作者：Foucault, Thierry; Sraer, David; Thesmar, David J.
作者单位：Hautes Etudes Commerciales (HEC) Paris; Princeton University
摘要：We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected...
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作者：Rajan, Raghuram G.; Ramcharan, Rodney
作者单位：University of Chicago; International Monetary Fund
摘要：We find that, in the early 20th century, counties in the United States where the agricultural elite had disproportionately large land holdings had significantly fewer banks per capita, even correcting for state-level effects. Moreover, credit appears to have been costlier, and access to it more limited, in these counties. The evidence suggests that elites may restrict financial development in order to limit access to finance, and they may be able to do so even in countries with well-developed ...
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作者：Bolton, Patrick; Chen, Hui; Wang, Neng
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Shanghai University of Finance & Economics; National Bureau of Economic Research
摘要：We propose a model of dynamic investment, financing, and risk management for financially constrained firms. The model highlights the central importance of the endogenous marginal value of liquidity (cash and credit line) for corporate decisions. Our three main results are: (1) investment depends on the ratio of marginal q to the marginal value of liquidity, and the relation between investment and marginal q changes with the marginal source of funding; (2) optimal external financing and payout ...
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作者：Kadyrzhanova, Dalida; Rhodes-Kropf, Matthew
作者单位：University System of Maryland; University of Maryland College Park; Harvard University
摘要：This paper develops a novel trade-off view of corporate governance. Using a model that integrates agency costs and bargaining benefits of management-friendly provisions, we identify the economic determinants of the resulting trade-offs for shareholder value. Consistent with the theory, our empirical analysis shows that provisions that allow managers to delay takeovers have significant bargaining effects and a positive relation with shareholder value in concentrated industries. By contrast, non...
