We uncover significant effects of jump risk on conditional equity premium. Realized volatility due to negative or “bad” (positive or “good”) jumps in stock market prices predicts a rising (falling) near-term equity premium. The forecasting power of signed jump risk measures remains statistically significant even when we control for variance risk premium that Drechsler and Yaron (2011) attribute...

This paper investigates whether investors are compensated for the tax burden of equity securities. Effective tax rates on equity securities vary over time due to frequent tax reforms and cross-sectionally due to persistent differences in propensities to pay dividends. The paper finds an economically and statistically significant relationship between risk-adjusted stock returns and effective per...

We document that in M&As a significant proportion of targets’ equity is owned by financial institutions that simultaneously own targets’ bonds (“dual holders”). Targets with larger equity ownership by dual holders have lower M&A equity premia and larger abnormal bond returns, particularly when dual holders stand to benefit more from appreciation of their bond stakes, e.g., when their bond owner...

A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity investment in Europe, focusing on the comparison between CEE and Western European countries. Our estimation...

We use a bargaining framework to examine empirically the relations between director compensation and board-of-director independence. Our evidence suggests that independent directors have a bargaining advantage over the CEO that results in compensation more closely aligned with shareholders’ objectives. Firms with more outsiders on their boards award directors more equity-based compensation. Whe...

Five Open Questions About Prediction Markets Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decision-making and risk management – in both the public and private sectors. This paper outlines five open questions in the literature, and we argue that resolving these questions is crucial t...

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when quantity is high. Investors all buy the most popular information because it has the lowest price. Given two ...

â â â â â â â â â â â â â â â  â  abstract â  the effect of technology spillovers is widely considered as one of the main channels through which domestic firms benefit from fdi, and plays an important role in economic development of host countries. based on the analysis framework for technology spillovers established by borensztein et al. (1998), this paper will analyse and try to figure out th...

Using a three-sector general equilibrium model with non-traded goods, we investigate the impact of foreign direct investment on the real wages of skilled and unskilled workers. We show that foreign direct investment increases the real wages of skilled and unskilled workers, but widens the gap between the two under plausible conditions. JEL: F10, F11, F21

â â â â â  â  in this paper, we address the question that does fdi alone affect economic growth or interaction of fdi and human capital is required to boost economic growth. we develop the model with an expanding variety of products. we estimate the model using some advanced tests utilizing data on fdi flows from developed countries. we find stronger complementary effects between fdi and human ...