Is the Abnormal Return Following Equity Issuances Anomalous?

We examine whether a distinct equity issuer underperformance anomaly exists. In a sample of initial public offering (IPO) and seasoned equity offering (SEO) firms from 1975 to 1992, we find that underperformance is concentrated primarily in small issuing firms with low book-to-market ratios. SEO firms, that underperform these standard benchmarks have time series returns that covary with factor returns constructed from nonissuing firms. We conclude that the stock returns following equity issues reflect a more pervasive return pattern in the broader set of publicly traded companies

Pre-Disclosure Accumulations by Activist Investors: Evidence and Policy

The Securities and Exchange Commission (SEC) is currently considering a rulemaking petition requesting that the Commission shorten the ten-day window, established by Section 13(d) of the Williams Act, within which investors must publicly disclose purchases of a five percent or greater stake in public companies. In this Article, we provide the first systematic empirical evidence on these disclosures and find that several of the petition\u27s factual premises are not consistent with the evidence. Our analysis is based on about 2,000 filings by activist hedge funds during the period of 1994-2007. We find that the data are inconsistent with the petition\u27s key claim that changes in market practices and technologies have operated over time to increase the magnitude of pre-disclosure accumulations, making existing rules obsolete and therefore requiring the petition\u27s proposed modernization. The median stake that these investors disclose in their 13(d) filings has remained stable throughout the 17-year period that we study, and regression analysis does not identify changes over time in the stake disclosed by investors. We also find that: A substantial majority of 13(d) filings are actually made by investors other than activist hedge funds, and these investors often use a substantial part of the ten-day window before disclosing their stake. A significant proportion ofpoison pills have low thresholds of 15% or less, so that management can use 13(d) disclosures to adopt low-trigger pills to prevent any further stock accumulations by activists-a fact that any tightening of the SEC\u27s rules in this area should take into account. Even when activists wait the full ten days to disclose their stakes, their purchases seem to be disproportionately concentrated on the day they cross the threshold and the next day; thus, the practical difference in pre-disclosure accumulations between the existing regime and the rules in jurisdictions with shorter disclosure windows is likely much smaller than the petition assumes. About ten percent of 13(d) filings seem to be made after the ten-day window has expired; the SEC may therefore want to consider tightening the enforcement of existing rules before examining the proposed acceleration of the deadline. Our analysis provides new empirical evidence that should inform the SEC\u27s consideration of this subject-and a foundation on which subsequent empirical and policy analysis can build

Gopakumar-Vafa invariants via vanishing cycles

In this paper, we propose an ansatz for defining Gopakumar-Vafa invariants of Calabi-Yau threefolds, using perverse sheaves of vanishing cycles. Our proposal is a modification of a recent approach of Kiem-Li, which is itself based on earlier ideas of Hosono-Saito-Takahashi. We conjecture that these invariants are equivalent to other curve-counting theories such as Gromov-Witten theory and Pandharipande-Thomas theory. Our main theorem is that, for local surfaces, our invariants agree with PT invariants for irreducible one-cycles. We also give a counter-example to the Kiem-Li conjectures, where our invariants match the predicted answer. Finally, we give examples where our invariant matches the expected answer in cases where the cycle is non-reduced, non-planar, or non-primitive.Comment: 63 pages, many improvements of the exposition following referee comments, final version to appear in Inventione

Risk Theory with Affine Dividend Payment Strategies

We consider a classical compound Poisson risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective risk theory

Institutional investors and corporate governance

We provide a comprehensive overview of the role of institutional investors in corporate governance with three main components. First, we establish new stylized facts documenting the evolution and importance of institutional ownership. Second, we provide a detailed characterization of key aspects of the legal and regulatory setting within which institutional investors govern portfolio firms. Third, we synthesize the evolving response of the recent theoretical and empirical academic literature in finance to the emergence of institutional investors in corporate governance. We highlight how the defining aspect of institutional investors – the fact that they are financial intermediaries – differentiates them in their governance role from standard principal blockholders. Further, not all institutional investors are identical, and we pay close attention to heterogeneity amongst institutional investors as blockholders

Neurology

Contains reports on six research projects.U. S. Public Health Service (B-3055-4, B-3090-4, MH-06175-02)U. S. Air Force (AF49(638)-1313)U.S. Navy. Office of Naval Research (Nonr-1841(70)

Cohomological Donaldson-Thomas theory of a quiver with potential and quantum enveloping algebras

This paper concerns the cohomological aspects of Donaldson-Thomas theory for Jacobi algebras and the associated cohomological Hall algebra, introduced by Kontsevich and Soibelman. We prove the Hodge-theoretic categorification of the integrality conjecture and the wall crossing formula, and furthermore realise the isomorphism in both of these theorems as Poincar\'e-Birkhoff-Witt isomorphisms for the associated cohomological Hall algebra. We do this by defining a perverse filtration on the cohomological Hall algebra, a result of the "hidden properness" of the semisimplification map from the moduli stack of semistable representations of the Jacobi algebra to the coarse moduli space of polystable representations. This enables us to construct a degeneration of the cohomological Hall algebra, for generic stability condition and fixed slope, to a free supercommutative algebra generated by a mixed Hodge structure categorifying the BPS invariants. As a corollary of this construction we furthermore obtain a Lie algebra structure on this mixed Hodge structure - the Lie algebra of BPS invariants - for which the entire cohomological Hall algebra can be seen as the positive part of a Yangian-type quantum group.Comment: v5 final version, 64 pages, to appear in Invent. Math. Many thanks to the anonymous referee for helpful suggestion