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作者：Dittmann, Ingolf; Maug, Ernst; Spalt, Oliver
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Mannheim; Tilburg University
摘要：This paper analyzes optimal executive compensation contracts when managers are loss averse. We calibrate a stylized principal-agent model to the observed contracts of 595 CEOs and show that this model can explain observed option holdings and high base salaries remarkably well for a range of parameterizations. We also derive and calibrate the general shape of the optimal contract that is increasing and convex for medium and high outcomes and that drops discontinuously to the lowest possible pay...
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作者：Cesarini, David; Johannesson, Magnus; Lichtenstein, Paul; Sandewall, Oerjan; Wallace, Bjorn
作者单位：New York University; New York University; Stockholm School of Economics; Karolinska Institutet
摘要：Individuals differ in how they construct their investment portfolios, yet empirical models of portfolio risk typically account only for a small portion of the cross-sectional variance. This paper asks whether genetic variation can explain some of these individual differences. Following a major pension reform Swedish adults had to form a portfolio from a large menu of funds. We match data on these investment decisions with the Swedish Twin Registry and find that approximately 25% of individual ...
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作者：Gatchev, Vladimir A.; Pulvino, Todd; Tarhan, Vefa
作者单位：State University System of Florida; University of Central Florida; Northwestern University; Loyola University Chicago
摘要：We develop a dynamic multiequation model where firms make financing and investment decisions jointly subject to the constraint that sources must equal uses of cash. We argue that static models of financial decisions produce inconsistent coefficient estimates, and that models that do not acknowledge the interdependence among decision variables produce inefficient estimates and provide an incomplete and potentially misleading view of financial behavior. We use our model to examine whether firms ...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University of Toronto; Cornell University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Foreign firms terminate their Securities and Exchange Commission registration in the aftermath of the Sarbanes-Oxley Act (SOX) because they no longer require outside funds to finance growth opportunities. Deregistering firms' insiders benefit from greater discretion to consume private benefits without having to raise higher cost funds. Foreign firms with more agency problems have worse stock-price reactions to the adoption of Rule 12h-6 in 2007, which made deregistration easier, than those fir...
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作者：Barras, Laurent; Scaillet, Olivier; Wermers, Russ
作者单位：McGill University; University of Geneva; University System of Maryland; University of Maryland College Park
摘要：This paper develops a simple technique that controls for false discoveries, or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We find that 75% of funds exhibit zero alpha (net of expenses), consistent with the Berk and Green equilibrium. Further, we find a significant proportion of skilled (positive alpha) funds prior to 1996, but...
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作者：Rice, Tara; Strahan, Philip E.
作者单位：Boston College; University of Pennsylvania; National Bureau of Economic Research
摘要：While relaxation of geographical restrictions on bank expansion permitted banking organizations to expand across state lines, it allowed states to erect barriers to branch expansion. These differences in states' branching restrictions affect credit supply. In states more open to branching, small firms borrow at interest rates 80 to 100 basis points lower than firms operating in less open states. Firms in open states also are more likely to borrow from banks. Despite this evidence that intersta...
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作者：Peress, Joel
摘要：How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private in...
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作者：Andersen, Torben G.; Benzoni, Luca
作者单位：Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We propose using model-free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump-diffusive models cannot accommodate the observ...
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作者：Comerton-Forde, Carole; Hendershott, Terrence; Jones, Charles M.; Moulton, Pamela C.; Seasholes, Mark S.
作者单位：University of Sydney; University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose money. The effects are nonlinear and most prominent when inventories are big or trading results have been particularly poor. These s...
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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：Individual investors lose money around earnings announcements, experience poor posttrade returns, exhibit the disposition effect, and make contrarian trades. Using simulations and trading records of all individual investors in Finland, I find that these trading patterns can be explained in large part by investors' use of limit orders. These patterns arise mechanically because limit orders are price-contingent and suffer from adverse selection. Reverse causality from behavioral biases to order ...
