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作者：Dai, Zhonglan; Maydew, Edward; Shackelford, Douglas A.; Zhang, Harold H.
作者单位：University of Texas System; University of Texas Dallas; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
摘要：This paper demonstrates that the equilibrium impact of capital gains taxes reflects both the capitalization effect (i.e., capital gains taxes decrease demand) and the lock-in effect (i.e., capital gains taxes decrease supply). Depending on time periods and stock characteristics, either effect may dominate. Using the Taxpayer Relief Act of 1997 as our event, we find evidence supporting a dominant capitalization effect in the week following news that sharply increased the probability of a reduct...
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作者：[Anonymous]
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作者：Albuquerque, Rui; Wang, Neng
作者单位：Boston University; National Bureau of Economic Research
摘要：The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premia, and higher interest rate. Calibra...
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作者：David, Alexander
作者单位：University of Calgary
摘要：Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk-averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross-s...
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作者：Pastor, Lubos; Sinha, Meenakshi; Swaminathan, Bhaskaran
作者单位：National Bureau of Economic Research; University of Chicago; Cornell University; Cornell University
摘要：We argue that the implied cost of capital (ICC), computed using earnings forecasts, is useful in capturing time variation in expected stock returns. First, we show theoretically that ICC is perfectly correlated with the conditional expected stock return under plausible conditions. Second, our simulations show that ICC is helpful in detecting an intertemporal risk-return relation, even when earnings forecasts are poor. Finally, in empirical analysis, we construct the time series of ICC for the ...
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作者：Goyal, Amit; Wahal, Sunil
作者单位：Emory University; Arizona State University; Arizona State University-Tempe
摘要：We examine the selection and termination of investment management firms by 3,400 plan sponsors between 1994 and 2003. Plan sponsors hire investment managers after large positive excess returns but this return-chasing behavior does not deliver positive excess returns thereafter. Investment managers are terminated for a variety of reasons, including but not limited to underperformance. Excess returns after terminations are typically indistinguishable from zero but in some cases positive. In a sa...
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作者：Albuquerque, Rui; De Francisco, Eva; Marques, Luis B.
作者单位：Boston University; University System of Maryland; Towson University; Johns Hopkins University; Universidade do Porto
摘要：We present a model of equity trading with informed and uninformed investors where informed investors trade on firm-specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co-movement in order flow captures variation mostly in liquidity trades. Market...
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作者：Tookes, Heather E.
作者单位：Yale University
摘要：I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earnings announcements, I use intraday transactions data to test the hypothesis that net order flow and re...
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作者：Marin, Jose M.; Olivier, Jacques P.
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper documents that at the individual stock level, insiders' sales peak many months before a large drop in the stock price, while insiders' purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed investors may react more strongly to the absence of insider sales than to their presence (the dog that did not bark effect). We tes...
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作者：Chava, Sudheer; Roberts, Michael R.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Pennsylvania
摘要：We identify a specific channel (debt covenants) and the corresponding mechanism (transfer of control rights) through which financing frictions impact corporate investment. Using a regression discontinuity design, we show that capital investment declines sharply following a financial covenant violation, when creditors use the threat of accelerating the loan to intervene in management. Further, the reduction in investment is concentrated in situations in which agency and information problems are...
