Search results: 50.
High‐Frequency Trading around Large Institutional Orders
Published: 3/21/2019, Volume: 74, Issue: 3 | DOI: 10.1111/jofi.12759 | Cited by: 205
VINCENT VAN KERVEL, ALBERT J. MENKVELD
Liquidity suppliers lean against the wind. We analyze whether high‐frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.
Infrequent Rebalancing, Return Autocorrelation, and Seasonality
Published: 11/10/2016, Volume: 71, Issue: 6 | DOI: 10.1111/jofi.12436 | Cited by: 137
VINCENT BOGOUSSLAVSKY
A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross‐section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross‐sectional variance in expected returns is larger when more traders rebalance. This effect generates seasonality in the cross‐section of stock returns, which can help explain available empirical evidence.
Liquidity Fluctuations in Over‐the‐Counter Markets
Published: 2/2022, Volume: 77, Issue: 2 | DOI: 10.1111/jofi.13106 | Cited by: 8
VINCENT MAURIN
This paper proposes a theory of excess price fluctuations in over‐the‐counter secondary markets. When heterogeneous assets trade under asymmetric information, a quality effect emerges: high liquidity lowers the quality of the pool of sellers and decreases future liquidity. Cyclical equilibria can arise even without fundamental shocks. In a cycle, investors speculate by bidding up the price of low‐quality assets, anticipating a high resale price at the peak. When this resale effect is strong, cycles disappear and multiple steady states coexist with different levels of liquidity. The model rationalizes empirical patterns for corporate bonds and housing in particular.
AN ECONOMETRIC STUDY OF EURODOLLAR BORROWING BY NEW YORK BANKS AND THE RATE OF INTEREST ON EURODOLLARS: COMMENT
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01325.x | Cited by: 0
Vincent G. Massaeo
PUBLIC FINANCING FOR SMALL CORPORATIONS*
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04844.x | Cited by: 0
Vincent M. Jolivet
Compensating Financial Experts
Published: 11/10/2016, Volume: 71, Issue: 6 | DOI: 10.1111/jofi.12372 | Cited by: 38
VINCENT GLODE, RICHARD LOWERY
We propose a labor market model in which financial firms compete for a scarce supply of workers who can be employed as either bankers or traders. While hiring bankers helps create a surplus that can be split between a firm and its trading counterparties, hiring traders helps the firm appropriate a greater share of that surplus away from its counterparties. Firms bid defensively for workers bound to become traders, who then earn more than bankers. As counterparties employ more traders, the benefit of employing bankers decreases. The model sheds light on the historical evolution of compensation in finance.
Liquidity, Volume, and Order Imbalance Volatility
Published: 6/5/2023, Volume: 78, Issue: 4 | DOI: 10.1111/jofi.13248 | Cited by: 37
VINCENT BOGOUSSLAVSKY, PIERRE COLLIN‐DUFRESNE
We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post‐decimalization period. Motivated by a continuous‐time inventory model, we compute a high‐frequency measure of order imbalance volatility to proxy for the inventory risk faced by liquidity providers. We show that high‐frequency order imbalance volatility is an important driver of liquidity and explains the often positive time‐series relation between spread and volume for large stocks, which seems to run counter to most theoretical models. Furthermore, order imbalance volatility is priced in the cross‐section of stock returns.
The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
Published: 12/1999, Volume: 54, Issue: 6 | DOI: 10.1111/0022-1082.00192 | Cited by: 479
Tyler Shumway, Vincent A. Warther
We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of −55 percent for missing performance‐related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that there ever was a size effect on Nasdaq. Our results are inconsistent with most risk‐based explanations of the size effect.
Informed Trading Intensity
Published: 2/27/2024, Volume: 79, Issue: 2 | DOI: 10.1111/jofi.13320 | Cited by: 76
VINCENT BOGOUSSLAVSKY, VYACHESLAV FOS, DMITRIY MURAVYEV
We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data‐driven approach can shed light on the economics of informed trading, including impatient informed trading, commonality in informed trading, and models of informed trading. Overall, learning from informed trading data can generate an effective informed trading measure.
Dividends, Asymmetric Information, and Agency Conflicts: Evidence from a Comparison of the Dividend Policies of Japanese and U.S. Firms
Published: 6/1998, Volume: 53, Issue: 3 | DOI: 10.1111/0022-1082.00038 | Cited by: 233
Kathryn L. Dewenter, Vincent A. Warther
We compare dividend policies of U.S. and Japanese firms, partitioning the Japanese data into keiretsu, independent, and hybrid firms. We examine the correlation between dividend changes and stock returns, and the reluctance to change dividends. Results are consistent with the joint hypotheses that Japanese firms, particularly keiretsu‐member firms, face less information asymmetry and fewer agency conflicts than U.S. firms, and that information asymmetries and/or agency conflicts affect dividend policy. Japanese firms experience smaller stock price reactions to dividend omissions and initiations, they are less reluctant to omit and cut dividends, and their dividends are more responsive to earnings changes.
Financial Expertise as an Arms Race
Published: 9/12/2012, Volume: 67, Issue: 5 | DOI: 10.1111/j.1540-6261.2012.01771.x | Cited by: 108
VINCENT GLODE, RICHARD C. GREEN, RICHARD LOWERY
We show that firms intermediating trade have incentives to overinvest in financial expertise. In our model, expertise improves firms’ ability to estimate value when trading a security. Expertise creates asymmetric information, which, under normal circumstances, works to the advantage of the expert as it deters opportunistic bargaining by counterparties. This advantage is neutralized in equilibrium, however, by offsetting investments by competitors. Moreover, when volatility rises the adverse selection created by expertise triggers breakdowns in liquidity, destroying gains to trade and thus the benefits that firms hope to gain through high levels of expertise.
Second Chance: Life with Less Student Debt
Published: 12/14/2025, Volume: 81, Issue: 1 | DOI: 10.1111/jofi.70002 | Cited by: 2
MARCO DI MAGGIO, ANKIT KALDA, VINCENT YAO
We exploit an episode of plausibly random debt discharge due to the loss of paperwork for thousands of defaulted borrowers to examine the effects of private student debt relief on borrower outcomes. We find that borrowers who receive debt relief (treated) experience declines in debt balances and delinquency rates on
other
accounts, and increases in mobility and income relative to those who bear the costs of default like wage garnishment and collections (control). Borrowers in both groups contribute to our findings through different mechanisms. While our estimates may not directly apply to blanket student loan forgiveness, they speak to the benefits of forgiveness in reducing the consequences of debt burden for distressed borrowers.
LIQUIDITY PREFERENCE, INTEREST‐RATE RISK, AND THE TERM STRUCTURE OF INTEREST RATES*
Published: 9/1965, Volume: 20, Issue: 3 | DOI: 10.1111/j.1540-6261.1965.tb02924.x | Cited by: 0
James Van Horne
Johannes Stroebel: Winner of the 2023 Fischer Black Prize
Published: 9/2023, Volume: 78, Issue: 5 | DOI: 10.1111/jofi.13269 | Cited by: 0
STIJN VAN NIEUWERBURGH
Rumors
Published: 7/15/2003, Volume: 58, Issue: 4 | DOI: 10.1111/1540-6261.00575 | Cited by: 188
Jos Van Bommel
A
Kyle (1985)
model with private information diffusion is used to examine the motivation to spread stock tips. An informed investor with limited investment capacity spreads imprecise rumors to an audience of followers. Followers trade on the advice and move the price. Due to the imprecision of the rumor, the price overshoots with positive probability. This gives the rumormonger the opportunity to trade twice: First when she receives information, then when she knows the price to be overshooting. In equilibrium, rumors are informative and both rumormongers and followers increase their profits at the expense of uninformed liquidity traders.
NEW LISTINGS AND THEIR PRICE BEHAVIOR
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00552.x | Cited by: 24
James C. Van Horne
THE EFFECT OF FHLB BOND OPERATIONS ON SAVINGS INFLOWS AT SAVINGS AND LOAN ASSOCIATIONS: COMMENT
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01361.x | Cited by: 7
James C. Van Horne
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02154.x | Cited by: 1
JAMES C. VAN HORNE
Good‐Specific Habit Formation and the Cross‐Section of Expected Returns
Published: 7/13/2016, Volume: 71, Issue: 4 | DOI: 10.1111/jofi.12397 | Cited by: 35
JULES H. VAN BINSBERGEN
I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock, and have low asset pricing betas and stock return volatilities. I find supportive evidence for these predictions in the data.
AN ANALYSIS OF OBJECTIVE INDICATORS OF SPECULATIVE ACTIVITY UNDER A SYSTEM OF FLEXIBLE EXCHANGE RATES*
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03152.x | Cited by: 1
John J. Van Belle
Of Financial Innovations and Excesses
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04984.x | Cited by: 87
JAMES C. VAN HORNE
OPTIMAL INITIATION OF BANKRUPTCY PROCEEDINGS BY DEBT HOLDERS
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01932.x | Cited by: 13
James C. Van Horne
Valuing Private Equity Investments Strip by Strip
Published: 8/23/2021, Volume: 76, Issue: 6 | DOI: 10.1111/jofi.13073 | Cited by: 97
ARPIT GUPTA, STIJN VAN NIEUWERBURGH
We propose a new valuation method for private equity (PE) investments. It constructs a replicating portfolio using cash flows on listed equity and fixed‐income instruments (strips). It then values the strips using an asset pricing model that captures the risk in the cross‐section of bonds and equity factors. The method delivers a risk‐adjusted profit on each PE investment and a time series for the expected return on each fund category. We find negative risk‐adjusted profits for the average PE fund, with substantial heterogeneity and some persistence in the performance. Expected returns and risk‐adjusted profit decline in the later part of the sample.
Out‐of‐Town Home Buyers and City Welfare
Published: 6/3/2021, Volume: 76, Issue: 5 | DOI: 10.1111/jofi.13057 | Cited by: 72
JACK FAVILUKIS, STIJN VAN NIEUWERBURGH
Many cities have attracted a flurry of out‐of‐town (OOT) home buyers. Such capital inflows affect house prices, rents, construction, labor income, wealth, and ultimately welfare. We develop an equilibrium model to quantify the welfare effects of OOT home buyers for the typical U.S. metropolitan area. When OOT investors buy 10% of the housing in the city center and 5% in the suburbs, welfare among residents falls by 0.61% in consumption‐equivalent units. House prices and rents rise substantially, resulting in welfare gains for owners and losses for renters. Policies that tax OOT buyers or mandate renting out vacant property mitigate welfare losses.
Risk‐Free Rates and Convenience Yields around the World
Published: 5/11/2026, Volume: 81, Issue: 4 | DOI: 10.1111/jofi.70045 | Cited by: 3
William Diamond, Peter Van Tassel
We infer risk‐free rates from index option prices to estimate safe asset convenience yields in 10 G11 currencies. Countries' convenience yields increase with the level of their interest rates, with U.S. convenience yields fifth largest. During financial crises, convenience yields grow, but the difference between United States and foreign convenience yields generally does not. Covered interest parity (CIP) deviations using our option‐implied rates are a similar size between the United States and each other country. A model in which convenience yields depend on domestic financial intermediaries, but CIP deviations reflect the funding costs of international arbitrageurs financed with dollar‐denominated debt, explains these results.
Information Immobility and the Home Bias Puzzle
Published: 5/20/2009, Volume: 64, Issue: 3 | DOI: 10.1111/j.1540-6261.2009.01462.x | Cited by: 725
STIJN VAN NIEUWERBURGH, LAURA VELDKAMP
Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why does global information access not eliminate this asymmetry? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies information asymmetry. The model matches patterns of local and industry bias, foreign investments, portfolio outperformance, and asset prices. Finally, we propose new avenues for empirical research.
GROWTH AND COMMON STOCK VALUES
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01245.x | Cited by: 5
John C. Clendenin, Maurice Van Cleave
Session Topic: Corporate Finance and Capital Budgeting
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03071.x | Cited by: 1
James Van Horn, William L. White
SOME SUGGESTED CHANGES IN THE CORPORATE TAX STRUCTURE
Published: 12/1950, Volume: 5, Issue: 4 | DOI: 10.1111/j.1540-6261.1950.tb03804.x | Cited by: 4
Eli Schwartz, Roger C. Van Tassel
DIVIDEND POLICY AND NEW EQUITY FINANCING
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00911.x | Cited by: 14
James C. Van Horne, John G. McDonald
THE IMPACT OF UNANTICIPATED CHANGES IN INFLATION ON THE VALUE OF COMMON STOCKS
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03025.x | Cited by: 11
James C. Van Horne, William F. Glassmire
Government Security Dealers' Positions, Information and Interest‐Rate Expectations: A Note
Published: 12/1983, Volume: 38, Issue: 5 | DOI: 10.1111/j.1540-6261.1983.tb03847.x | Cited by: 1
JAMES C. VAN HORNE, HAL B. HEATON
THE IMPACT OF OUTSTANDING CONVERTIBLE BONDS ON CORPORATE DIVIDEND POLICY
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01902.x | Cited by: 1
James C. Van Horne, Dileep R. Mehta
Real Anomalies
Published: 4/2/2019, Volume: 74, Issue: 4 | DOI: 10.1111/jofi.12771 | Cited by: 94
JULES H. van BINSBERGEN, CHRISTIAN C. OPP
We examine the importance of cross‐sectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the cross‐section of firms that features lumpy investment and informational inefficiencies, while yielding distributions in closed form. Our findings indicate that anomalies can cause material real inefficiencies, which raises the possibility that agents who help eliminate them add significant value to the economy. The model shows that the magnitude of alphas alone is a poor indicator of real outcomes, and highlights the importance of the alpha persistence, the amount of mispriced capital, and the Tobin's q of firms affected.
EXPECTED INFLATION IMPLIED BY CAPITAL MARKET RATES
Published: 5/1973, Volume: 28, Issue: 2 | DOI: 10.1111/j.1540-6261.1973.tb01773.x | Cited by: 14
Patric H. Hendershott, James C. Van Horne
ABANDONMENT VALUE AND CAPITAL BUDGETING*
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00293.x | Cited by: 22
Alexander A. Robichek, James C. Van Horne
ABANDONMENT VALUE AND CAPITAL BUDGETING: REPLY
Published: 3/1969, Volume: 24, Issue: 1 | DOI: 10.1111/j.1540-6261.1969.tb00346.x | Cited by: 16
Alexander A. Robichek, James C. Van Horne
Time‐Varying Fund Manager Skill
Published: 7/18/2014, Volume: 69, Issue: 4 | DOI: 10.1111/jofi.12084 | Cited by: 516
MARCIN KACPERCZYK, STIJN VAN NIEUWERBURGH, LAURA VELDKAMP
We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking more in booms. The measure displays more persistence than either market timing or stock picking alone and predicts fund performance.
Regulation of Charlatans in High‐Skill Professions
Published: 2/26/2022, Volume: 77, Issue: 2 | DOI: 10.1111/jofi.13112 | Cited by: 26
JONATHAN B. BERK, JULES H. VAN BINSBERGEN
We model a market for a skill in short supply and high demand, where the presence of charlatans (professionals who sell a service they do not deliver on) is an equilibrium outcome. In the model, reducing the number of charlatans through regulation lowers consumer surplus because of the resulting reduction in competition among producers. Producers can benefit from this reduction, potentially explaining the regulation we observe. The effect on total surplus depends on the type of regulation. We derive the factors that drive the cross‐sectional variation in charlatans (regulation) across professions.
DISCUSSION
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03276.x | Cited by: 1
Bernell K. Stone, James C. Van Horne
Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
Published: 5/3/2005, Volume: 60, Issue: 3 | DOI: 10.1111/j.1540-6261.2005.00759.x | Cited by: 427
HANNO N. LUSTIG, STIJN G. VAN NIEUWERBURGH
In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the United States, we find that a decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks. Conditional on this ratio, the covariance of returns with aggregate risk factors explains 80% of the cross‐sectional variation in annual size and book‐to‐market portfolio returns.
ELIMINATION OF THE DOUBLE TAXATION OF DIVIDENDS AND CORPORATE FINANCIAL POLICY
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02015.x | Cited by: 21
Robert H. Litzenberger, James C. Van Horne
The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04060.x | Cited by: 285
PIET SERCU, RAMAN UPPAL, CYNTHIA VAN HULLE
With transaction costs for trading goods, the nominal exchange rate moves within a band around the nominal purchasing power parity (PPP) value. We model the behavior of the band and of the exchange rate within the band. The model explains why there are below‐unity slope coefficients in regression tests of PPP, and why these increase toward unity under hyperinflation or with low‐frequency data. Our results are independent of the presence of nontraded goods in the economy.
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
Published: 3/18/2016, Volume: 71, Issue: 2 | DOI: 10.1111/jofi.12273 | Cited by: 112
RALPH S.J. KOIJEN, STIJN VAN NIEUWERBURGH, MOTOHIRO YOGO
We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life‐cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to explain the observed variation in health and mortality delta implied by the ownership of life insurance, annuities including private pensions, and long‐term care insurance in the Health and Retirement Study. For the median household aged 51 to 57, the lifetime welfare cost of market incompleteness and suboptimal choice is 3.2% of total wealth.
Financial Fragility with SAM?
Published: 12/11/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12992 | Cited by: 36
DANIEL L. GREENWALD, TIM LANDVOIGT, STIJN VAN NIEUWERBURGH
Shared appreciation mortgages (SAMs) feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries channel savings from saver to borrower households shows that indexation of mortgage payments to aggregate house prices increases financial fragility, reduces risk‐sharing, and leads to expensive financial sector bailouts. In contrast, indexation to local house prices reduces financial fragility and improves risk‐sharing.
Predictive Regressions: A Present‐Value Approach
Published: 7/15/2010, Volume: 65, Issue: 4 | DOI: 10.1111/j.1540-6261.2010.01575.x | Cited by: 394
JULES H. Van BINSBERGEN, RALPH S. J. KOIJEN
We propose a latent variables approach within a present‐value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price‐dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates.
The Cost of Debt
Published: 11/9/2010, Volume: 65, Issue: 6 | DOI: 10.1111/j.1540-6261.2010.01611.x | Cited by: 265
JULES H. Van BINSBERGEN, JOHN R. GRAHAM, JIE YANG
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 than the cost of being underlevered and that expected default costs constitute only half of the total ex ante costs of debt.
The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis
Published: 6/1994, Volume: 49, Issue: 2 | DOI: 10.1111/j.1540-6261.1994.tb05147.x | Cited by: 898
WILLIAM L. MEGGINSON, ROBERT C. NASH, MATTHIAS VAN RANDENBORGH
This study compares the pre and postprivatization financial and operating performance of 61 companies from 18 countries and 32 industries that experience full or partial privatization through public share offerings during the period 1961 to 1990. Our results document strong performance improvements, achieved surprisingly without sacrificing employment security. Specifically, after being privatized, firms increase real sales, become more profitable, increase their capital investment spending, improve their operating efficiency, and increase their work forces. Furthermore, these companies significantly lower their debt levels and increase dividend payout. Finally, we document significant changes in the size and composition of corporate boards of directors after privatization.
Real Estate Shocks and Financial Advisor Misconduct
Published: 7/26/2021, Volume: 76, Issue: 6 | DOI: 10.1111/jofi.13067 | Cited by: 69
STEPHEN G. DIMMOCK, WILLIAM C. GERKEN, TYSON VAN ALFEN
We test whether personal real estate shocks affect professional misconduct by financial advisors. We use a panel of advisors' home addresses and examine within‐advisor variation relative to other advisors who work at the same firm and live in the same ZIP code. We find a negative relation between housing returns and misconduct. We show that advisors' housing returns explain misconduct against out‐of‐state customers, breaking the link between customer and advisor housing shocks. Furthermore, the results are stronger for advisors with lower career risk from committing misconduct, and for advisors with greater borrowing constraints.
Is the United States a Lucky Survivor? A Hierarchical Bayesian Approach
Published: 4/16/2025, Volume: 80, Issue: 4 | DOI: 10.1111/jofi.13452 | Cited by: 4
JULES VAN BINSBERGEN, SOPHIA HUA, JONAS PEETERS, JESSICA WACHTER
Using international data, we quantify the magnitude of survivorship bias in U.S. equity market performance, finding that it explains about one‐third of the equity risk premium in the past century. We model the subjective crash belief of an investor who infers the crash risk in the United States by cross‐learning from other countries. The U.S. crash probability shows a persistent and widening divergence from the implied global average. We attribute the upward bias in the measured equity premium to crashes that did not occur in‐sample and to shocks to valuations resulting from learning about the probability.