Andrei Shleifer18
Adi Sunderam15
David Scharfstein12
18Andrei Shleifer
15Adi Sunderam
12David Scharfstein
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Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable " routine " insider trading that is not informative for the future of firms. A portfolio strategy that focuses solely on the remaining " opportunistic " traders yields value-weighted abnormal returns of 82 basis points per month, while abnormal(More)
Using proxy data on all Fortune-500 firms during 1994–2000, we find that family ownership creates value only when the founder serves as CEO of the family firm or as Chairman with a hired CEO. Dual share classes, pyramids, and voting agreements reduce the founder's premium. When descendants serve as CEOs, firm value is destroyed. Our findings suggest that(More)
Using the historical random assignment of MBA students to sections at Harvard Business School, I show that executive peer networks are important determinants of managerial decision-making and firm policies. Within a class, executive compensation and acquisitions strategy are significantly more similar among graduates from the same section than among(More)
This paper investigates the effects of going public on innovation by comparing the innovative activity of firms that went public with firms that withdrew their IPO filing and remained private. NASDAQ fluctuations during the book-building phase are used as an instrument for IPO completion. Using patent-based metrics, I find that the quality of internal(More)
We show that corporate financial policies are highly interdependent; firms make financing decisions in large part by responding to the financing decisions of their peers, as opposed to changes in firm-specific characteristics. We identify these peer effects with a novel instrumental variables approach that uses the idiosyncratic equity shocks to peer firms(More)
  • Alex Chinco, Chris Mayer, Daniel Hubbard, Laura Vincent, James Witkin, Moshe Cohen +6 others
  • 2012
We investigate the role of out of town second house buyers (so-called " distant speculators ") in bubble formation during the recent housing boom. Distant speculators are likely to have an excessive reliance on capital gains for financial returns and be less informed about local market conditions much like noise traders in many financial models. Using(More)
  • R David Mclean, Luxembourg Asset, Management Conference, Turan Bali, Shane Corwin, Mark Bradshaw +22 others
  • 2012
We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in published academic studies. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from zero. The average post-publication decay, which we attribute to both statistical bias and price pressure from(More)
We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a simple setting where the government is the only issuer of such riskless paper, it trades off the monetary premium associated with short-term debt against the refinancing risk implied by the need to roll over its(More)
We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low-price firms, managers respond by supplying shares at lower price levels, and vice-versa. We confirm these predictions in time-series and firm-level data using several measures of time-varying catering incentives. More(More)
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For commercial banks, a 1 percent exoge-nous shock to assets in(More)