Articles scientifiques

Distracted Institutional Investors

D. SCHMIDT

Journal of Financial and Quantitative Analysis

A paraître

Départements : Finance

Mots clés : Inattention, Institutional Investors, Trading Behavior

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2789001


We investigate how distraction affects the trading behavior of professional asset managers. Exploring detailed transaction-level data, we show that managers with a large fraction of portfolio stocks exhibiting an earnings announcement are significantly less likely to trade in other stocks, suggesting that these announcements absorb attention which is missing for the choice of which stocks to trade. Hence, attention constraints can be binding even among this elite group of traders. Finally, we identify two channels through which distraction hurts managers’ performance: distracted managers fail to close losing positions, partly explained by these managers displaying a stronger disposition effect, and incur slightly higher transaction costs

Financing Investment: The Choice between Bonds and Bank Loans

E. MORELLEC, P. VALTA

Management Science

A paraître

Départements : Finance

Mots clés : Debt structure, Capital structure, Investment, Credit supply, Competition,

http://dx.doi.org/10.2139/ssrn.2162896


We build a model of investment and financing decisions to study the choice between bonds and bank loans in a firm's marginal financing decision and its effects on corporate investment. We show that firms with more growth options, higher bargaining power in default, operating in more competitive product markets, and facing lower credit supply are more likely to issue bonds. We also demonstrate that, by changing the cost of financing, these characteristics affect the timing of investment. We test these predictions using a sample of U.S. firms and present new evidence that supports our theory

How Much Do Means Tested Benefits Reduce the Demand for Annuities?

Monika BUTLER, K. PEIJNENBURG, Stefan STAUBLI

Journal of Pension Economics and Finance

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Means-Tested Benefits, Occupational Pension, Annuity


We analyze the effect of means-tested benefits on annuitization decisions using an administrative dataset of pension wealth cash-out choices. Availability of means-tested payments creates an incentive to cash out pension wealth for low and middle income earners, instead of taking the annuity. Agents trade off the advantages from annuitization, receiving longevity risk insurance, to the disadvantages, giving up “free” wealth in the form of means-tested supplemental income. Our life-cycle model demonstrates that the availability of means-tested benefits substantially reduces the desire to annuitize especially for low and intermediate levels of pension wealth. In our empirical analysis we show that the model’s predicted fraction of retirees choosing the annuity is able to match the annuitization pattern of occupational pension wealth observed in Switzerland

Life-Cycle Asset Allocation with Ambiguity Aversion and Learning

K. PEIJNENBURG

Journal of Financial and Quantitative Analysis

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Départements : Finance, GREGHEC (CNRS)


Marking to Market and Inefficient Investment Decisions

C. OTTO, P. F. VOLPIN

Management Science

A paraître

Départements : Finance

Mots clés : Marking to Market, Investment Decisions, Reputation, Agency Problem

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2016.2696


We examine how mark-to-market accounting affects the investment decisions of managers with reputation concerns. Reporting the current market value of a firm's assets can help mitigate agency problems because it provides outsiders (e.g., shareholders) with new information against which the management's decisions can be evaluated. However, the fact that the assets' market value is informative can also have a negative side effect: Managers may shy away from investments that indicate conflicting private information and would damage their reputation. This effect can lead to inefficient investment decisions and make marking to market less desirable when market prices are more informative


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