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作者：Liu, J; Longstaff, FA; Pan, J
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illi...
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作者：Claessens, S; Laeven, L
作者单位：University of Amsterdam
摘要：In countries with more secure property rights, firms might allocate resources better and consequentially grow faster as the returns on different types of assets are more protected against competitors' actions. Using data on sectoral value added for a large number of countries, we find evidence consistent with better property rights leading to higher growth through improved asset allocation. Quantitatively, the growth effect is as large as that of improved access to financing due to greater fin...
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作者：Aggarwal, RK; Samwick, AA
作者单位：Dartmouth College; National Bureau of Economic Research
摘要：We develop a contracting model between shareholders and managers in which managers diversify their firms for two reasons: to reduce idiosyncratic risk and to capture private benefits. We test the comparative static predictions of our model. In contrast to previous work, we find that diversification is positively related to managerial incentives. Further, the link between firm performance and managerial incentives is weaker for firms that experience changes in diversification than it is for fir...
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作者：Duffie, D; Pedersen, LH; Singleton, KJ
作者单位：Stanford University; New York University
摘要：We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds. We consider the determinants of the Russian yield spread, the yield differential across different Russian bonds, and the implications for market integration, relative liquidity, relative expected recovery rates, and implied expectations...
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作者：Graham, JR; Michaely, R; Roberts, MR
作者单位：Duke University; Cornell University; Duke University
摘要：By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of exday price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in th...
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作者：Ferris, SP; Jagannathan, M; Pritchard, AC
作者单位：University of Missouri System; University of Missouri Columbia; State University of New York (SUNY) System; Binghamton University, SUNY; University of Michigan System; University of Michigan
摘要：We examine the number of external appointments held by corporate directors. Directors who serve larger firms and sit on larger boards are more likely to attract directorships. Consistent with Fama and Jensen (1983), we find that firm performance has a positive effect on the number of appointments held by a director. We find no evidence that multiple directors shirk their responsibilities to serve on board committees. We do not find that multiple directors are associated with a greater likeliho...
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作者：Almazan, A; Suarez, J
作者单位：University of Texas System; University of Texas Austin
摘要：This paper explores how motivating an incumbent CEO to undertake actions that improve the effectiveness of his management interacts with the firm's policy on CEO replacement. Such policy depends on the presence and the size of severance pay in the CEO's compensation package and on the CEO's influence on the board of directors regarding his own replacement (i.e., entrenchment). We explain when and why the combination of some degree of entrenchment and a sizeable severance package is desirable. ...
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作者：Dahiya, S; Saunders, A; Srinivasan, A
作者单位：Georgetown University; New York University; University System of Georgia; University of Georgia
摘要：We use a unique data set of bank loans to examine the wealth effects on lead lending banks when their borrowers suffer financial distress. We find a significant negative announcement return for the lead lending bank when a major corporate borrower announces default or bankruptcy. Banks with higher exposure to the distressed firm have larger negative announcement-period returns. The existence of a past lending relationship with the distressed firm results in larger wealth declines for the bank ...
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作者：Goetzmann, WN; Ingersoll, JE; Ross, SA
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：Incentive fees for money managers are frequently accompanied by high-water mark provisions that condition the payment of the performance fee upon exceeding the previously achieved maximum share value. In this paper, we show that hedge fund performance fees are valuable to money managers, and conversely, represent a claim on a significant proportion of investor wealth. The high-water mark provisions in these contracts limit the value of the performance fees. We provide a closed-form solution to...
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作者：Claessens, S; Djankov, S; Fan, JPH; Lang, LHP
作者单位：University of Amsterdam; The World Bank; Hong Kong University of Science & Technology; Chinese University of Hong Kong
摘要：This article disentangles the incentive and entrenchment effects of large ownership. Using data for 1,301 publicly traded corporations in eight East Asian economies, we find that firm value increases with the cash-flow ownership of the largest shareholder, consistent with a positive incentive effect. But firm value falls when the control rights of the largest shareholder exceed its cash-flow ownership, consistent with an entrenchment effect. Given that concentrated corporate ownership is predo...
