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作者：Banerjee, Snehal; Kremer, Ilan
作者单位：Northwestern University; Stanford University
摘要：The empirical evidence on investor disagreement and trading volume is difficult to reconcile in standard rational expectations models. We develop a dynamic model in which investors disagree about the interpretation of public information. We obtain a closed-form linear equilibrium that allows us to study which restrictions on the disagreement process yield empirically observed volume and return dynamics. We show that when investors have infrequent but major disagreements, there is positive auto...
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作者：Heston, Steven L.; Korajczyk, Robert A.; Sadka, Ronnie
作者单位：University System of Maryland; University of Maryland College Park; Northwestern University; Boston College
摘要：Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by tempor...
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作者：Routledge, Bryan R.; Zin, Stanley E.
作者单位：Carnegie Mellon University; New York University; National Bureau of Economic Research
摘要：We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This feature comes from endogenous variation in the probability of disappointment in the representative agent's intertemporal consumption-saving problem that underlies the asset pricing model. The variation in eff...
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作者：Busse, Jeffrey A.; Goyal, Amit; Wahal, Sunil
作者单位：Emory University; Arizona State University; Arizona State University-Tempe
摘要：Using new, survivorship bias-free data, we examine the performance and persistence in performance of 4,617 active domestic equity institutional products managed by 1,448 investment management firms between 1991 and 2008. Controlling for the Fama-French (1993) three factors and momentum, aggregate and average estimates of alphas are statistically indistinguishable from zero. Even though there is considerable heterogeneity in performance, there is only modest evidence of persistence in three-fac...
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作者：Chen, Hui
作者单位：Massachusetts Institute of Technology (MIT)
摘要：I build a dynamic capital structure model that demonstrates how business cycle variation in expected growth rates, economic uncertainty, and risk premia influences firms' financing policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise endogenously through firms' responses to macroeconomic conditions. These comovements generate large credit risk premia for investment grade firms, which helps address the credit spread puzzle and the under-leverage...
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作者：van Binsbergen, Jules H.; Graham, John R.; Yang, Jie
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research; Duke University; Georgetown University
摘要：We use exogenous variation in tax benefit functions to estimate firm-specific cost of debt functions that are conditional on company characteristics such as collateral, size, and book-to-market. By integrating the area between the benefit and cost functions, we estimate that the equilibrium net benefit of debt is 3.5% of asset value, resulting from an estimated gross benefit (cost) of debt equal to 10.4% (6.9%) of asset value. We find that the cost of being overlevered is asymmetrically higher...
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作者：Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio
作者单位：Imperial College London; University of St Gallen; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging co...
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作者：Wang, Tracy Yue; Winton, Andrew; Yu, Xiaoyun
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Shanghai Jiao Tong University
摘要：We examine how a firm's incentive to commit fraud when going public varies with investor beliefs about industry business conditions. Fraud propensity increases with the level of investor beliefs about industry prospects but decreases when beliefs are extremely high. We find that two mechanisms are at work: monitoring by investors and short-term executive compensation, both of which vary with investor beliefs about industry prospects. We also find that monitoring incentives of investors and und...
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作者：Carlson, Murray; Lazrak, Ali
作者单位：University of British Columbia; Hautes Etudes Commerciales (HEC) Paris
摘要：We model the debt and asset risk choice of a manager with performance-insensitive pay (cash) and performance-sensitive pay (stock) to theoretically link compensation structure, leverage, and credit spreads. The model predicts that optimal leverage trades off the tax benefit of debt against the utility cost of ex-post asset substitution and that credit spreads are increasing in the ratio of cash-to-stock. Using a large cross-section of U.S.-based corporate credit default swaps (CDS) covering 20...
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作者：Berk, Jonathan B.; Stanton, Richard; Zechner, Josef
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California Berkeley; Vienna University of Economics & Business
摘要：We derive the optimal labor contract for a levered firm in an economy with perfectly competitive capital and labor markets. Employees become entrenched under this contract and so face large human costs of bankruptcy. The firm's optimal capital structure therefore depends on the trade-off between these human costs and the tax benefits of debt. Optimal debt levels consistent with those observed in practice emerge without relying on frictions such as moral hazard or asymmetric information. Consis...
