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作者：Chui, Andy C. W.; Titman, Sheridan; Wei, K. C. John
作者单位：Hong Kong Polytechnic University; University of Texas System; University of Texas Austin; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：This paper examines how cultural differences influence the returns of momentum strategies. Cross-country cultural differences are measured with an individualism index developed by Hofstede (2001), which is related to overconfidence and self-attribution bias. We find that individualism is positively associated with trading volume and volatility, as well as to the magnitude of momentum profits. Momentum profits are also positively related to analyst forecast dispersion, transaction costs, and th...
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作者：Beck, Thorsten; Levine, Ross; Levkov, Alexey
作者单位：Tilburg University; Tilburg University; Brown University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We assess the impact of bank deregulation on the distribution of income in the United States. From the 1970s through the 1990s, most states removed restrictions on intrastate branching, which intensified bank competition and improved bank performance. Exploiting the cross-state, cross-time variation in the timing of branch deregulation, we find that deregulation materially tightened the distribution of income by boosting incomes in the lower part of the income distribution while having little ...
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作者：Hameed, Allaudeen; Kang, Wenjin; Viswanathan, S.
作者单位：National University of Singapore; Duke University
摘要：Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to ar...
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作者：Brockman, Paul; Martin, Xiumin; Unlu, Emre
作者单位：Lehigh University; Washington University (WUSTL); University of Nebraska System; University of Nebraska Lincoln
摘要：Executive compensation influences managerial risk preferences through executives' portfolio sensitivities to changes in stock prices (delta) and stock return volatility (vega). Large deltas discourage managerial risk-taking, while large vegas encourage risk-taking. Theory suggests that short-maturity debt mitigates agency costs of debt by constraining managerial risk preferences. We posit and find evidence of a negative (positive) relation between CEO portfolio deltas (vegas) and short-maturit...
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作者：van Binsbergen, Jules H.; Koijen, Ralph S. J.
作者单位：Stanford University; University of Chicago
摘要：We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with R-2 values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Bo...
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作者：Almazan, Andres; De Motta, Adolfo; Titman, Sheridan; Uysal, Vahap
作者单位：McGill University; National Bureau of Economic Research; University of Oklahoma System; University of Oklahoma - Norman
摘要：This paper investigates the relation between firms' locations and their corporate finance decisions. We develop a model where being located within an industry cluster increases opportunities to make acquisitions, and to facilitate those acquisitions, firms within clusters maintain more financial slack. Consistent with our model we find that firms located within industry clusters make more acquisitions, and have lower debt ratios and larger cash balances than their industry peers located outsid...
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作者：Cooper, Michael J.; Gulen, Huseyin; Ovtchinnikov, Alexei V.
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; Vanderbilt University
摘要：We develop a new and comprehensive database of firm-level contributions to U.S. political campaigns from 1979 to 2004. We construct variables that measure the extent of firm support for candidates. We find that these measures are positively and significantly correlated with the cross-section of future returns. The effect is strongest for firms that support a greater number of candidates that hold office in the same state that the firm is based. In addition, there are stronger effects for firms...
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作者：Gomes, Joao F.; Schmid, Lukas
作者单位：University of Pennsylvania; Duke University
摘要：This paper revisits the theoretical relation between financial leverage and stock returns in a dynamic world where both corporate investment and financing decisions are endogenous. We find that the link between leverage and stock returns is more complex than static textbook examples suggest, and depends on the investment opportunities available to the firm. In the presence of financial market imperfections, leverage and investment are generally correlated so that highly levered firms are also ...
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作者：Hsu, Hung-Chia; Reed, Adam V.; Rocholl, Joerg
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee; University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the effect of initial public offerings (IPOs) on industry competitors and provide evidence that companies experience negative stock price reactions to completed IPOs in their industry and positive stock price reactions to their withdrawal. Following a successful IPO in their industry, they show significant deterioration in their operating performance. These results are consistent with the existence of IPO-related competitive advantages through the loosening of financial constraints,...
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作者：Gerardi, Kristopher S.; Rosen, Harvey S.; Willen, Paul S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We develop a technique to assess the impact of changes in mortgage markets on households, exploiting an implication of the permanent income hypothesis: The higher a household's expected future income, the higher its desired consumption, ceteris paribus. With perfect credit markets, desired consumption matches actual consumption and current spending forecasts future income. Because credit market imperfections mute this effect, the extent to which house spending predicts future income measures t...
