这是“金融学前沿论文速递”第 327 篇推送 编辑:陈倩雯 审核:颜海明 仅用于学术交流，原文版权归原作者和原发刊所有 目录 Risk, Uncertainty, and Expected Returns Are Ex Ante CEO Severance Pay Contracts Consistent with Efficient Contracting? On the Style-Based Feedback Trading of Mutual Fund Managers The Price of Street Friends: Social Networks, Informed Trading, and Shareholder Costs Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans New Evidence on the Forward Premium Puzzle Corporate Boards and SEOs: The Effect of Certification and Monitoring What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy Portfolio Diversification and International Corporate Bonds Understanding Portfolio Efficiency with Conditioning Information The Valuation of Hedge Funds’ Equity Positions A Rent-Protection Explanation for SEO Flotation-Method Choice 1 Risk, Uncertainty, and Expected Returns 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Turan Bali (Georgetown University) Hao Zhou (Tsinghua University) Abstract A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP. 2 Are Ex Ante CEO Severance Pay Contracts Consistent with Efficient Contracting? 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Brian Cadman (University of Utah) John Campbell (University of Georgia) Sandy Klasa (University of Arizona) Abstract Efficient contracting predicts that ex ante severance pay contracts are offered to chief executive officers (CEOs) as protection against downside risk and to encourage investment in risky projects with a positive net present value (NPV). Consistent with this prediction, we find that ex ante contracted severance pay is positively associated with proxies for a CEO’s risk of dismissal and costs the CEO would incur from dismissal. Additionally, we show that the contracted severance payment amount is positively associated with CEO risk taking and the extent to which a CEO invests in projects that have a positive NPV. Overall, our findings imply that ex ante severance pay contracts are consistent with efficient contracting. 3 On the Style-Based Feedback Trading of Mutual Fund Managers 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Bart Frijns (Auckland University of Technology) Aaron Gilbert (Auckland University of Technology) Remco Zwinkels (VU University Amsterdam) Abstract This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer’s style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for “twin style” switching, where capital is channeled between value and growth, and between large- and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha. 4 The Price of Street Friends: Social Networks, Informed Trading, and Shareholder Costs 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Jie Cai (Drexel University) Ralph Walkling (Drexel University) Ke Yang (Lehigh University) Abstract Recent studies suggest the transfer of privileged information via social ties but do not explicitly examine the cost of these ties to shareholders. We document a significant positive relation between stock transaction costs and a company’s social ties to the investment community. Social ties based on education and leisure activities, stronger ties, and ties to individuals responsible for trading have greater effects. Using investment connection deaths as natural experiments, we document that exogenous severance of ties reduces trading costs and trading activities by connected parties. Our evidence illustrates an important and previously undocumented consequence of social ties. 5 Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Matthew Billett (Indiana University) Redouane Elkamhi (University of Toronto) Latchezar Popov (University of Virginia) Raunaq Pungaliya (Sungkyunkwan University (SKK)) Abstract In a model of dual-agency problems where borrower–lender and bank–nonbank incentives may conflict, we predict a hockey stick relation between bank skin in the game and covenant tightness. As bank participation declines, covenant tightness increases until reaching a low threshold, at which point the relation sharply reverses and covenant protection is removed with a commensurate increase in spread. We find support for the hockey stick relation with bank’s stake in covenant-lite loans averaging 8% (0% median). We also find that covenant-lite loans are more likely when borrower moral hazard is less severe and when bank relationship rents are high. 6 New Evidence on the Forward Premium Puzzle 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Jacob Boudoukh (Arison School of Business) Matthew Richardson (New York University) Robert Whitelaw (New York University) Abstract The forward premium anomaly (exchange rate changes are negatively related to interest rate differentials) is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of lagged forward interest rate differentials, documenting a reversal of the anomalous sign on the coefficient in the traditional specification. We show that this novel evidence is consistent with recent empirical models of exchange rates that imply exchange rate changes depend on two key variables: the interest rate differential and the magnitude of the deviation of the current exchange rate from that implied by purchasing power parity. 7 Corporate Boards and SEOs: The Effect of Certification and Monitoring 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Miguel Ferreira (Nova School of Business and Economics) Paul Laux (University of Delaware) Abstract In a sample of underwritten seasoned equity offerings (SEOs), issuers with boards dominated by independent directors experience higher abnormal announcement returns than issuers with boards dominated by insiders. Firm size, transparency, and other governance characteristics do not explain the effect of board independence. The positive relation between board independence and SEO returns is more pronounced for firms with lower monitoring costs and more severe financial constraints. The evidence suggests that independent directors have a positive effect because of their role in controlling both shareholder–manager conflicts (monitoring the use of funds) and current–new shareholder conflicts (certification of the issue’s value). 8 What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Charles Cao (Pennsylvania State University) Bradley Goldie (Miami University) Bing Liang (University of Massachusetts Amherst) Lubomir Petrasek (Board of Governors of the Federal Reserve System) Abstract To understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk. 9 Portfolio Diversification and International Corporate Bonds 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Edith Liu (Cornell University) Abstract This article examines the benefits of corporate bond diversification for U.S. investors. Analysis of a newly compiled bond-level data set for 2000–2010 finds that diversification with corporate bonds can significantly reduce volatility and increase risk-adjusted returns for U.S. investors. Unlike diversification with equities, corporate bonds offer significant out-of-sample risk reduction, particularly during the recent financial crisis. Risk-reduction gains are large even when the benchmark includes international equities or when longer samples of equities and sovereign bonds are used to inform corporate bond returns. Finally, significant risk-reduction gains remain after accounting for bond characteristics, liquidity, and informational costs. 10 Understanding Portfolio Efficiency with Conditioning Information 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Francisco Peñaranda (City University of New York) Abstract I develop two new types of portfolio efficiency when returns are predictable. The first type maximizes the unconditional Sharpe ratio of excess returns and differs from unconditional efficiency unless the safe asset return is constant over time. The second type maximizes conditional mean-variance preferences and differs from unconditional efficiency unless, additionally, the maximum conditional Sharpe ratio is constant. Using stock data, I quantify and test their performance differences with respect to unconditionally and fixed-weight efficient returns. I also show the relevance of the two new portfolio strategies to test conditional asset pricing models. 11 The Valuation of Hedge Funds’ Equity Positions 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Gjergji Cici (College of William and Mary) Alexander Kempf (University of Cologne) Alexander Puetz (University of Cologne) Abstract We provide evidence on the valuation of equity positions by hedge funds. Reported valuations deviate from standard valuations based on closing prices from the Center for Research in Security Prices for roughly 7% of the positions. These equity valuation deviations are positively related to illiquidity and price volatility of the underlying stocks. They respond to past performance and intensify after an advisor starts reporting to a commercial database. Furthermore, advisors with more valuation deviations show a stronger discontinuity in their reported returns around 0, manage a higher fraction of potentially fraudulent funds, report smoother returns, and exhibit an upward spike in their December reported returns. 12 A Rent-Protection Explanation for SEO Flotation-Method Choice 原刊和作者： Journal of Financial and Quantitative Analysis 2016 年 6 月 Xueping Wu (City University of Hong Kong) Zheng Wang (Sinolink Securities Co. Limited) Jun Yao (Hong Kong Polytechnic University) Abstract We model how a rent-protection motive drives the choice of flotation method in new equity issuance between two polar cases: rights issues and cash offers. Unexpected new blockholders would emerge in control-diluting cash offers and share in jealously guarded control benefits. But rights issues help the incumbent controlling shareholders avoid control dilution and safeguard their private benefits. Under asymmetric information about private benefits, the choice of flotation method can convey information about hidden private benefits and hence firm value. Our model can explain even a negative announcement effect of rights issues, and it supports not just one but three important equilibriums. 原文： http://journals.cambridge.org/action/displayIssue?jid=JFQ&tab=currentissue# 【长按二维码自动识别】查看摘要或原文 本“顶级期刊目录”系列搜索方法：关注后“进入公众号”，主页下方“期刊目录”—“JFQA”
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