-
作者：Doskeland, Trond M.; Hvide, Hans K.
作者单位：Norwegian School of Economics (NHH); Centre for Economic Policy Research - UK; University of Aberdeen; Norwegian School of Economics (NHH)
摘要：Using a novel data set covering all individual investors' stock market transactions in Norway over 10 years, we analyze whether individual investors have a preference for professionally close stocks, and whether they make excess returns on such investments. After excluding own-company stock holdings, investors hold 11% of their portfolio in stocks within their two-digit industry of employment. Given the poor hedging properties of such investments, one would expect abnormally high returns. In c...
-
作者：Garlappi, Lorenzo; Yan, Hong
作者单位：University of British Columbia; University of South Carolina System; University of South Carolina Columbia; Shanghai Jiao Tong University
摘要：We explicitly consider financial leverage in a simple equity valuation model and study the cross-sectional implications of potential shareholder recovery upon resolution of financial distress. Our model is capable of simultaneously explaining lower returns for financially distressed stocks, stronger book-to-market effects for firms with high default likelihood, and the concentration of momentum profits among low credit quality firms. The model further predicts (i) a hump-shaped relationship be...
-
作者：Masulis, Ronald W.; Mobbs, Shawn
作者单位：University of New South Wales Sydney; University of Alabama System; University of Alabama Tuscaloosa
摘要：Agency theory and optimal contracting theory posit opposing roles and shareholder wealth effects for corporate inside directors. We evaluate these theories using the market for outside directorships to differentiate among inside directors. Firms with inside directors holding outside directorships have better operating performance and market-to-book ratios, especially when monitoring is more difficult. These firms make better acquisition decisions, have greater cash holdings, and overstate earn...
-
作者：Bao, Jack; Pan, Jun; Wang, Jiang
作者单位：University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper examines the illiquidity of corporate bonds and its asset-pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid-ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market-level illiquidity explain a substantial part of the time variation in yield spreads of high-rated (AAA through A) bonds, overshado...
-
作者：Dharmapala, Dhammika; Foley, C. Fritz; Forbes, Kristin J.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Harvard University; Massachusetts Institute of Technology (MIT)
摘要：The Homeland Investment Act provided a tax holiday for the repatriation of foreign earnings. Advocates argued the Act would alleviate financial constraints by reducing the cost to U.S. multinationals of accessing internal capital. This paper shows that repatriations did not increase domestic investment, employment, or R&D-even for firms that appeared to be financially constrained or lobbied for the holiday. Instead, a $1 increase in repatriations was associated with a $0.60 to $0.92 increase i...
-
作者：Longstaff, Francis A.
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We study the marginal tax rate incorporated into short-term municipal rates using municipal swap market data. Using an affine model, we identify the marginal tax rate and the credit/liquidity spread in 1-week tax-exempt rates, as well as their associated risk premia. The marginal tax rate averages 38.0% and is related to stock, bond, and commodity returns. The tax risk premium is negative, consistent with the strong countercyclical nature of after-tax fixed-income cash flows. These results dem...
-
作者：Babenko, Ilona; Lemmon, Michael; Tserlukevich, Yuri
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：Exercises of employee stock options generate substantial cash inflows to the firm. These cash inflows substitute for costly external finance in those states of the world in which the demand for investment is high. Using the fact that the proceeds from option exercises exhibit a distinct nonlinearity around the point where options fall out of the money, we estimate that firms increase investment by $0.34 for each dollar received from the exercise of stock options. Firms that face higher externa...
-
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, ...
-
作者：Acharya, Viral V.; Myers, Stewart C.; Rajan, Raghuram G.
作者单位：Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Chicago
摘要：We develop a model of internal governance where the self-serving actions of top management are limited by the potential reaction of subordinates. Internal governance can mitigate agency problems and ensure that firms have substantial value, even with little or no external governance by investors. External governance, even if crude and uninformed, can complement internal governance and improve efficiency. This leads to a theory of investment and dividend policy, in which dividends are paid by s...
