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作者：Bollen, Nicolas P. B.; Pool, Veronika K.
作者单位：Vanderbilt University; Indiana University System; Indiana University Bloomington
摘要：We find a significant discontinuity in the pooled distribution of monthly hedge fund returns: The number of small gains far exceeds the number of small losses. The discontinuity is present in live and defunct funds, and funds of all ages, suggesting that it is not caused by database biases. The discontinuity is absent in the 3 months culminating in an audit, suggesting it is not attributable to skillful loss avoidance. The discontinuity disappears when using bimonthly returns, indicating a rev...
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作者：Cai, Jie; Garner, Jacqueline L.; Walkling, Ralph A.
作者单位：Drexel University
摘要：Using a large sample of director elections, we document that shareholder votes are significantly related to firm performance, governance, director performance, and voting mechanisms. However, most variables, except meeting attendance and ISS recommendations, have little economic impact on shareholder votes-even poorly performing directors and firms typically receive over 90% of votes cast. Nevertheless, fewer votes lead to lower abnormal CEO compensation and a higher probability of removing po...
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作者：Gil-Bazo, Javier; Ruiz-Verdu, Pablo
作者单位：Universidad Carlos III de Madrid
摘要：Gruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before-fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee-setting by mutual funds in the presence of investors with different degrees of sensitivi...
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作者：Hirshleifer, David; Lim, Sonya Seongyeon; Teoh, Siew Hong
作者单位：University of California System; University of California Irvine; DePaul University
摘要：Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made b...
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作者：Kuhnen, Camelia M.
作者单位：Northwestern University
摘要：Business connections can mitigate agency conflicts by facilitating efficient information transfers, but can also be channels for inefficient favoritism. I analyze these two effects in the mutual fund industry and find that fund directors and advisory firms that manage the funds hire each other preferentially based on the intensity of their past interactions. I do not find evidence that stronger board-advisor ties correspond to better or worse outcomes for fund shareholders. These results sugge...
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作者：Bates, Thomas W.; Kahle, Kathleen M.; Stulz, Rene M.
作者单位：Arizona State University; Arizona State University-Tempe; University System of Georgia; University of Georgia; University System of Ohio; Ohio State University
摘要：The average cash-to-assets ratio for U.S. industrial firms more than doubles from 1980 to 2006. A measure of the economic importance of this increase is that at the end of the sample period, the average firm can retire all debt obligations with its cash holdings. Cash ratios increase because firms' cash flows become riskier. In addition, firms change: They hold fewer inventories and receivables and are increasingly R&D intensive. While the precautionary motive for cash holdings plays an import...
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作者：Fang, Lily; Peress, Joel
摘要：By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news. We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and sto...
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作者：Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; Saita, Leandro
作者单位：Stanford University
摘要：The probability of extreme default losses on portfolios of U. S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and collateralized debt obligation (CDO) default losses are typically measured for economic capital and rating purposes, conventionally based loss estimates are downward biased by a full order of magnitude on t...
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作者：Bhojraj, Sanjeev; Hribar, Paul; Picconi, Marc; Mcinnis, John
作者单位：Cornell University; University of Iowa; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Texas System; University of Texas Austin
摘要：This paper examines the performance consequences of cutting discretionary expenditures and managing accruals to exceed analyst forecasts. We show that firms that just beat analyst forecasts with low quality earnings exhibit a short-term stock price benefit relative to firms that miss forecasts with high quality earnings. This trend, however, reverses over a 3-year horizon. Additionally, firms reducing discretionary expenditures to beat forecasts have significantly greater equity issuances and ...
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作者：Cohen, Lauren; Schmidt, Breno
作者单位：Harvard University; University of Southern California; National Bureau of Economic Research
摘要：We explore a new channel for attracting inflows using a unique data set of corporate 401(k) retirement plans and their mutual fund family trustees. Families secure substantial inflows by being named trustee. We find that family trustees significantly overweight, and are reluctant to sell, their 401(k) client firm's stock. Trustee overweighting is more pronounced when the relationship is more valuable to the trustee family, and is concentrated in those funds receiving the greatest benefit from ...
