Table Of Content

INDEX TO VOLUME LXIV ARTICLES A Bayesian’s Bubble CEO Compensation and Structure and Hui Xue Vidhi Chhaochharia A Rational Expectations Equilib- and Yaniv Grinstein rium with Informative Trading Control Rights and Capital Structure: Volume An Empirical Investigation Jan Schneider Michael R. Roberts Access to Capital, Capital Structure, and Amir Sufi and the Funding of the Firm Credit Contagion from Counterparty Omer Brav Agency Problems at Dual-Class Philippe Jorion Companies and Gaiyan Zhang Ronald W. Masulis, Creditor Rights, Enforcement, and Cong Wang, Bank Loans and Fei Xie Kee-Hong Bae Analyzing the Tax Benefits from Em- and Vidhan K. Goyal ployee Stock Options Determinants of Vertical Integration: Ilona Babenko Financial Development and Con- and Yuri Tserlukevich tracting Costs Are Liquidity and Information Risks Daron Acemoglu, Priced in the Treasury Bond Simon Johnson, MAREK? oso cooinns waneiacsnwad secs and Todd Mitton Haitao Li, Do Entrenched Managers Pay Their Junbo Wang, Workers Mave? >. ....c0 cede cccccesscaes Chunchi Wu, Henrik Cronqvist, and Yan He Fredrik Heyman, Mattias Nilsson, Attracting Flows by Attracting Big Helena Svaleryd, Clients and Jonas Vlachos Lauren Cohen Do Hedge Fund Managers Misreport and Breno Schmidt Returns? Evidence from the Pooled Bank Loan Supply, Lender Choice, and Distribution Corporate Capital Structure Nicolas P. B. Bollen Mark T. Leary and Veronika K. Pool Blockholder Trading, Market Effi- Do Stock Mergers Create Value for ciency, and Managerial Myopia Alex Edmans Pavel G. Savor Business Networks, Corporate Gover- and Qi Lu nance, and Contracting in the Mu- Driven to Distraction: Extraneous tual Fund Industry Events and Underreaction to Earn- Camelia M. Kuhnen ings News Cash Flow, Consumption Risk, and the David Hirshleifer, Cross-section of Stock Returns Sonya Seongyeon Lim, Zhi Da and Siew Hong Teoh Catastrophic Risk and _ Credit Eat or Be Eaten: A Theory of Mergers Markets and Firm Size Mark J. Garmaise Gary Gorton, and Tobias J. Moskowitz Matthias Kahl, Catering through Nominal Share and Richard J. Rosen Electing Directors Malcolm Baker, Robin Greenwood, Jacqueline L. Garner, and Jeffrey Wurgler and Ralph A. Walkling 2856 The Journal of Finance® Entrepreneurial Shareholder Ac- High-Water Marks: High Risk Ap- tivism: Hedge Funds and Other petites? Convex Compensation, Long Private Investors Horizons, and Portfolio Choice April Klein Stavros Panageas and Emanuel Zur and Mark M. Westerfield Equilibrium Portfolio Strategies in the Implications of Keeping-Up-with-the- Presence of Sentiment Risk and Ex- Joneses Behavior for the Equilibrium cess Volatility Cross Section of Stock Returns: In- Bernard Dumas, ternational Evidence Alexander Kurshev, Juan-Pedro Gémez, and Raman Uppal Richard Priestley, Explicit versus Implicit Contracts: and Fernando Zapatero Evidence from CEO Employment Income Risk and Portfolio Choice: An Empirical Study..................... Stuart L. Gillan, Xiaohong Angerer Jay C. Hartzell, and Pok-Sang Lam and Robert Parrino Information Immobility and the Home Exponential Growth Bias and House- Bias Puzzle hold Finance Stijn Van Nieuwerburgh Victor Stango and Laura Veldkamp and Jonathan Zinman Fellow of the American Finance Asso- International Stock Return Comove- ciation for 2009 Richard H. Thaler Geert Bekaert, Financial Constraints, Debt Capac- Robert J. Hodrick, ity, and the Cross-section of Stock and Xiaoyan Zhang International Taxation and the Direc- Jaehoon Hahn tion and Volume of Cross-Border and Hangyong Lee Financially Constrained Stock Harry P. Huizinga and Johannes Voget Dmitry Livdan, Investor Inattention and Friday Earn- Horacio Sapriza, ings Announcements and Lu Zhang Stefano Dellavigna Financing Innovation and Growth: and Joshua M. Pollet Cash Flow, External Equity, and the IPO Underpricing over the Very Long 1990s R&D Boom James R. Brown, David Chambers Steven M. Fazzari, and Elroy Dimson and Bruce C. Petersen It’s SHO Time! Short-Sale Price Tests First-Order Risk Aversion, Het- and Market Quality erogeneity, and Asset Market Karl B. Diether, Kuan-hui Lee, David A. Chapman and Ingrid M. Werner and Valery Polkovnichenko Labor and Corporate Governance: Frailty Correlated Default International Evidence from Re- Darrell Duffie, structuring Decisions Andreas Eckner, Guillaume Horel, Julian Atanassov and E. Han Kim and Leandro Saita Getting Out Early: An Analysis of Mar- Level Playing Fields in International ket Making Activity at the Recom- Financial Regulation mending Analyst’s Firm Alan D. Morrison Jennifer L. Juergens and Lucy White and Laura Lindsey Long-Run Stockholder Consumption Hedge Fund Risk Dynamics: Implica- Risk and Asset Returns tions for Performance Appraisal .... Christopher J. Malloy, Nicolas P.B. Bollen Tobias J. Moskowitz, and Robert E. Whaley and Annette Vissing-J¢rgensen Index to Volume LXIV Making Sense of Cents: An Examina- Real Options, Product Market Compe- tion of Firms That Marginally Miss tition, and Asset Returns or Beat Analyst Forecasts Felipe L. Aguerrevere Sanjeev Bhojraj, Reinforcement Learning and Savings Paul Hribar, Behavior Marc Picconi, James J. Choi, and John Mcinnis David Laibson, Market Sidedness: Insights into Mo- Brigitte C. Madrian, tives for Trade Initiation and Andrew Metrick Asani Sarkar Report of the Editor of The Journal of and Robert A. Schwartz Finance for the Year 2008 Media Coverage and the Cross-section Campbell R. Harvey of Stock Returns Report of the Executive Secretary Lily Fang and Treasurer for the Year Ending and Joel Peress September 30, 2008 Minutes of the Annual Membership Meeting, January 4, 2009 Rewriting History David H. Pyle Alexander Ljungqvist, Christopher Malloy, Momentum, Reversal, and Uninformed and Felicia Marston Traders in Laboratory Markets Risk in Dynamic Arbitrage: The Price Robert J. Bloomfield, Effects of Convergence Trading William B. Tayler, Péter Kondor and Flora (Hailan) Zhou Role of Managerial Incentives and Oil Futures Prices in a _ Produc- Discretion in Hedge Fund Perfor- tion Economy with Investment Constraints Vikas Agarwal, Leonid Kogan, Naveen D. Daniel, Dmitry Livdan, and Narayan Y. Naik and Amir Yaron Securitization and the Declining Predictive Systems: Living with Imper- Impact of Bank Finance on Loan fect Predictors Supply: Evidence from Mortgage Lubo& Pastor Originations and Robert F. Stambaugh Elena Loutskina Presidential Address: Sophisticated and Philip E. Strahan Investors and Market Efficiency .... Sensation Seeking, Overconfidence, Jeremy C. Stein and Trading Activity Private Benefits of Control, Own- Mark Grinblatt ership, and the _ Cross-listing and Matti Keloharju Decision Share Repurchases and Pay- Craig Doidge, Performance Sensitivity of Employee G. Andrew Karolyi, Compensation Contracts Karl V. Lins, Ilona Babenko Darius P. Miller, Should Investors Bet on the Jockey or and René M. Stulz the Horse? Evidence from the Evo- Public Information, IPO Price For- lution of Firms from Early Business mation, and Long-Run Returns: Plans to Public Companies Japanese Evidence Steven N. Kaplan, Kenji Kutsuna, Berk A. Sensoy, Janet Eiholm Smith, and Per Strémberg and Richard L. Smith Target Behavior and Financing: How Rank-Order Tournaments and Incen- tive Alignment: The Effect on Firm Xin Chang Performance and Sudipto Dasgupta Jayant F. Kale, The Corporate Propensity to Save Ebru Reis, Leigh A. Riddick and Anand Venkateswaran and Toni M. Whited 2858 The Journal of Finance® The Manipulation of Executive Stock What Drives the Disposition Effect? Option Exercise Strategies: Informa- An Analysis of a Long-Standing tion Timing and Backdating Preference-Based Explanation David C. Cicero Nicholas Barberis The Price Is (Almost) Right and Wei Xiong Randolph B. Cohen, Who Gambles in the Stock Market?... Christopher Polk, Alok Kumar and Tuomo Vuolteenaho Why Are Buyouts Levered? The The Price of Correlation Risk: Evidence Financial Structure of Private from Equity Options Equity Funds Joost Driessen, Ulf Axelson, Pascal J. Maenhout, Per Stromberg, and Grigory Vilkov and Michael S. Weisbach The Relation between Price and Why Do U.S. Firms Hold So Much More Performance in the Mutual Fund Industry Thomas W. Bates, Javier Gil-Bazo Kathleen M. Kahle, and Pablo Ruiz-Verdi and René M. Stulz Trading Costs and Returns for US. Work Ethic, Employment Contracts, Equities: Estimating Effective Costs and Firm Value from Daily Data Bruce Ian Carlin Joel Hasbrouck and Simon Gervais INDEX TO VOLUME LXIV AUTHORS ACEMOGLU, Daron “Determinants of Ver- Brav, Omer “Access to Capital, Capital tical Integration: Financial Develop- Structure, and the Funding of the ment and Contracting Costs” Firm” AGARWAL, Vikas “Role of Managerial Brown, JAMES R. “Financing Innovation Incentives and Discretion in Hedge and Growth: Cash Flow, External Fund Performance” Equity, and the 1990s R&D Boom”.. AGUERREVERE, FELIPE L. “Real Options, Cal, JE “Electing Directors” Product Market Competition, and CarLIN, Bruce Ian “Work Ethic, Employ- Asset Returns” ment Contracts, and Firm Value”... ANGERER, XIAOHONG “Income CuaMBErRS, Davip “IPO Underpricing and Portfolio Choice: An Empirical over the Very Long Run” Study” Cuanc, Xin “Target Behavior and ATANASSOV, JULIAN “Labor and Corpo- Financing: How Conclusive Is the rate Governance: International TRVMMOMIOON osc ccckinedacahec nansa Evidence from Restructuring CuapmaNn, Davin A. “First-Order Risk Decisions” Aversion, Heterogeneity, and Asset AxELSON, ULF “Why Are Buyouts Lev- Market Outcomes” ered? The Financial Structure of Pri- CHHAOCHHARIA, VIDHI “CEO Compensa- vate Equity Funds” tion and Board Structure” BaBENKO, [Lona “Analyzing the Tax Ben- Cuo1, JAMES J. “Reinforcement Learn- efits from Employee Stock Options”. ing and Savings Behavior” BaBeNKO, ILonA “Share Repurchases Cicero, Davin C. “The Manipulation and Pay-Performance Sensitiv- of Executive Stock Option Exercise ity of Employee Compensation Strategies: Information Timing and Contracts” Backdating” Bare, Kee-Hone “Creditor Rights, En- CouHEN, LaurEN “Attracting Flows by forcement, and Bank Loans” Attracting Big Clients” Baker, Matcotm “Catering Through CoHEN, RanpotpH B. “The Price Is Nominal Share Prices” (Almost) Right” BarBeris, NicHoLas “What Drives the Cronevist, Henrik “Do Entrenched Disposition Effect? An Analysis of Managers Pay Their Workers More?” a Long-Standing Preference-Based Da, Zxut “Cash Flow, Consumption Explanation” Risk, and the Cross-section of Stock Bates, THomas W. “Why Do U.S. Firms Returns” Hold So Much More Cash than They DanliEL, NAvEEN D. (see Agarwal) Used To?” Dascupta, SupipTo (see Chang) BEKAERT, GEERT “International Stock DELLAVIGNA, STEFANO “Investor Inatten- Return Comovements” tion and Friday Earnings Announce- BuouraJ, SANJEEV “Making Sense of ments” Cents: An Examination of Firms DietHerR, Kari B. “It’s SHO Time! That Marginally Miss or Beat Ana- Short-Sale Price Tests and Market lyst Forecasts” BLOOMFIELD, RoBErT J. “Momentum, Re- Dison, ELRoy (see Chambers) versal, and Uninformed Traders in Doce, Craig “Private Benefits of Laboratory Markets” Control, Ownership, and the Cross- Bo..en, Nico.as P. B. “Do Hedge Fund listing Decision” Managers Misreport Returns? Evi- DrIESSEN, Joost “The Price of Corre- dence from the Pooled Distribution” lation Risk: Evidence from Equity BoLLEN, Nico.as P.B. “Hedge Fund Risk Options” Dynamics: Implications for Perfor- Durriz, DarreLL “Frailty Correlated mance Appraisal” 2860 The Journal of Finance® Dumas, BERNARD “Equilibrium Portfolio Kant, Martruias (see Gorton) Strategies in the Presence of Senti- KAHLE, KATHLEEN M. (see Bates) ment Risk and Excess Volatility” ... Kate, Jayant F. “Rank-Order Tourna- Eckner, ANDREAS (see Duffie) ments and Incentive Alignment: The Epmans, ALEx “Blockholder Trading, Effect on Firm Performance” Market Efficiency, and Managerial KapLaNn, STEVEN N. “Should Investors Myopia” Bet on the Jockey or the Horse? Ev- Fanc, Lity “Media Coverage and the idence from the Evolution of Firms Cross-section of Stock Returns” from Early Business Plans to Public Fazzari, STEVEN M. (see Brown) Companies” GarMalsE, Mark J. “Catastrophic Risk Karo y1, G. ANDREW (see Doidge) and Credit Markets” Ke.Lonarsu, Matti (see Grinblatt) GARNER, JACQUELINE L. (see Cai) Kim, E. Han (see Atanassov) Gervais, SIMON (see Carlin) Kier, Apri, “Entrepreneurial Share- Git-Bazo, JAvIER “The Relation between holder Activism: Hedge Funds and Price and Performance in the Mutual Other Private Investors” Fund Industry” Koaan, Leonip “Oil Futures Prices in GILLaNn, Stuart L. “Explicit versus Im- a Production Economy with Invest- plicit Contracts: Evidence from CEO ment Constraints” Employment Agreements” Konpor, Péter “Risk in Dynamic Arbi- GOmeEz, JuAN-PEDRO “Implications of trage: The Price Effects of Conver- Keeping up with the Joneses Behav- gence Trading” ior for the Equilibrium Cross Sec- KuHNEN, CAMELIA M. “Business Net- tion of Stock Returns: International works, Corporate Governance, and Evidence” Contracting in the Mutual Fund Gorton, Gary “Eat or Be Eaten: A The- ory of Mergers and Firm Size” Kumar, ALok “Who Gambles in the Goya, Vipuan K. (see Bae) Stock Market? .............cscsce00: GREENWOOD, RoBIN (see Baker) KuRSHEV, ALEXANDER (see Dumas) GRINBLATT, Mark “Sensation Seeking, Kutsuna, Kens1 “Public Information, Overconfidence, and Trading Activ- IPO Price Formation, and Long-Run Returns: Japanese Evidence” GRINSTEIN, YANIV (see Chhaochharia) .. Larsson, Davin (see Choi) Haun, JAEHOON “Financial Constraints, Lam, Pok-Sanc (see Angerer) Debt Capacity, and the Cross-section Leary, Mark T. “Bank Loan Supply, of Stock Returns” Lender Choice, and Corporate Cap- HarrzeE.., Jay C. (see Gillan) ital Structure” Harvey, CAMPBELL R. “Report of the Ed- Lee, Hancyone (see Hahn) itor of The Journal of Finance for the LEE, KuAN-HUI (see Diether) Year 2008” Li, C. Wer “A Bayesian’s Bubble” Hasprouck, JoEL “Trading Costs and Li, Hartao “Are Liquidity and Informa- Returns for U.S. Equities: Estimat- tion Risks Priced in the Treasury ing Effective Costs from Daily Data” Bond Market?” o..5....0.5..ssecc0e0s He, YAN (see Li) Lim, Sonya SEONGYEON (see Hirshleifer) HEYMAN, FREDRIK (see Cronqvist) Linpsey, Laura (see Juergens) HirsHLEIFER, Davip “Driven to Distrac- Lins, Kart V. (see Doidge) tion: Extraneous Events and Under- Livpan, Dmitry (see Kogan)............ reaction to Earnings News” Livpan, Dairy “Financially Con- Hoprick, Rosert J. (see Bekaert) strained Stock Returns” Hore, GUILLAUME (see Duffie) LsuNcevist, ALEXANDER “Rewriting His- Hripar, Pau (see Bhojraj) Huizinca, Harry P. “International Tax- LoutskINA, ELENA “Securitization and ation and the Direction and Volume the Declining Impact of Bank Fi- of Cross-Border M&As” nance on Loan Supply: Evidence JOHNSON, SIMON (see Acemoglu) from Mortgage Originations” JoRION, Puiuippe “Credit Contagion Lu, Q1 (see Savor) from Counterparty Risk” Maprian, BriGiTTE C. (see Choi) JUERGENS, JENNIFER L. “Getting Out MAaAeENnHOUT, Pascat J. (see Driessen).... Early: An Analysis of Market Making MaALLoy, CHRISTOPHER J. “Long-Run Activity at the Recommending Ana- Stockholder Consumption Risk and lyst’s Firm” Asset Returns” Index to Volume LXIV Ma LLoy, CHRISTOPHER (see Ljungqvist) . 1935 ScHNEIDER, JAN “A Rational Expecta- Marston, FE.icia (see Ljungqvist) 1935 tions Equilibrium with Informative Masuis, Ronatp W. “Agency Problems Trading Volume” at Dual-Class Companies” 1697 Scuwartz, Rosert A. (see Sarkar) Mcinnis, JOHN (see Bhojraj) 2361 Sensoy, Berk A. (see Kaplan) Merrick, ANDREW (see Choi) 2515 Situ, JANET KrHoLM (see Kutsuna).... Miter, Darius P. (see Doidge) 425 Situ, RicHarp L. (see Kutsuna) Mitton, Topp (see Acemoglu) 1251 STAMBAUGH, RosErt F. (see Pastor) Morrison, Atan D. “Level Playing Stranco, Victor “Exponential Growth Fields in International Financial Bias and Household Finance” Regulation” 1099 STEIN, JEREMY C. “Presidential Address: MoskowiTz, Tosias J. (see Garmaise) .. 657 Sophisticated Investors and Market Moskowitz, Tostas J. (see Malloy) 2427 Efficiency” Naik, Narayan Y. (see Agarwal) 2221 STROMBERG, Per (see Axelson) NIEUWERBURGH, STUN VAN “Informa- STROMBERG, PER (see Kaplan) tion Immobility and the Home Bias STRAHAN, Puiip E. (see Loutskina) .... 1187 Stutz, RENE M. (see Bates) Nixsson, Martias (see Cronqvist) 309 Stuiz, René M. (see Doidge) PAstor, Lupo’ “Predictive Systems: Suri, Amir (see Roberts) Living with Imperfect Predictors”... 1583 SvaLeryD, HELENA (see Cronqvist) PANAGEAS, Stavros “High-Water Marks: TAYLER, WILLIAM B. (see Bloomfield) ... 2535 High Risk Appetites? Convex Com- Trou, Siew Honc (see Hirshleifer) pensation, Long Horizons, and Port- THALER, RicHarpD H. “Fellow of the folio Choice” 1 American Finance Association for PaRRINO, RoBert (see Gillan) 1629 Perress, JOEL (see Fang) 2023 TSERLUKEVICH, YuRI (see Babenko) PETERSEN, Bruce C. (see Brown) 151 Uppa., RAMAN (see Dumas) Piccont, Marc (see Bhojraj) 2361 VELDKAMP, Laura (see Nieuwerburgh) . PoLk, CHRISTOPHER (see Cohen) 2739 VENKATESWARAN, ANAND (see Kale) POLKOVNICHENKO, VALERY (see Chap- Vitkov, Gricory (see Driessen) 1863 VISSING-J@RGENSEN, ANNETTE (see Mal- PoL.et, JosHua M. (see Dellavigna).... 709 Poot, VERONIKA K. (see Bollen) 2257 VLACHOS, JONAS (see Cronqvist) PRIESTLEY, RICHARD (see G6mez) 2703 VoGET, JOHANNES (see Huizinga)....... 1217 Pyte, Davip H. “Minutes of the An- VUOLTEENAHO, TuoMo (see Cohen) 2739 nual Membership Meeting, January WALKLING, RALPH A. (see Cai) 2389 1975 Wana, Conc (see Masulis)............. 1697 Pye, Davin H. “Report of the Executive Wane, JuNBO (see Li) 467 Secretary and Treasurer for the Year WEISBACH, MICHAEL S. (see Axelson) ... 1549 Ending September 30, 2008” 1977 WERNER, [NGRID M. (see Diether) WESTERFIELD, Mark M. (see Panageas). Reis, Esru (see Kale) 1479 WHALEY, Rosert E. (see Bollen) Rippick, LeicH A. “The Corporate Wuite, Lucy (see Morrison) Propensity to Save” 1729 Wuitep, Ton M. (see Riddick) Roperts, MicHaEL R. “Control Rights Wu, Cuuncut (see Li) and Capital Structure: An Empirical WURGLER, JEFFREY (see Baker)......... Investigation” 1657 XE, Fer (see Masulis) Rosen, RicHarp J. (see Gorton) 1291 X1onG, WEI (see Barberis) Ruiz-VERDU, PaBLo (see Gil-Bazo) 2153 Xue, Hui (see Li) Sarita, LEANDRO (see Duffie) 2089 Yaron, Amir (see Kogan) Sapriza, Horacio (see Livdan) 1827 ZAPATERO, FERNANDO (see Gomez) Sarkar, ASANI “Market Sidedness: In- ZHANG, GaryAN (see Jorion) sights into Motives for Trade Initia- ZHANG, Lu (see Livdan) 375 ZHANG, XIAOYAN (see Bekaert) Savor, Pave. G. “Do Stock Mergers Cre- ZHOU, FLora (HaILAN) (see Bloomfield) . 2535 ate Value for Acquirers?”............ 1061 ZINMAN, JONATHAN (see Stango) Scxuipt, BRENO (see Cohen) ZUR, EMANUEL (see Klein)