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作者：Atanassov, Julian
作者单位：University of Oregon
摘要：I examine how strong corporate governance proxied by the threat of hostile takeovers affects innovation and firm value. I find a significant decline in the number of patents and citations per patent for firms incorporated in states that pass antitakeover laws relative to firms incorporated in states that do not. Most of the impact of antitakeover laws on innovation occurs 2 or more years after they are passed, indicating a causal effect. The negative effect of antitakeover laws is mitigated by...
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作者：Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to the Center for Research in Security Prices monthly returns, the corrections indicate significant biases in uncorrected return premium estimates associa...
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作者：Kan, Raymond; Robotti, Cesare; Shanken, Jay
作者单位：University of Toronto; Emory University
摘要：Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R-2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R-2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CA...
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作者：Brunnermeier, Markus K.; Oehmke, Martin
作者单位：Princeton University; National Bureau of Economic Research; Columbia University
摘要：Why do some firms, especially financial institutions, finance themselves so short-term? We show that extreme reliance on short-term financing may be the outcome of a maturity rat race: a borrower may have an incentive to shorten the maturity of an individual creditor's debt contract because this dilutes other creditors. In response, other creditors opt for shorter maturity contracts as well. This dynamic toward short maturities is present whenever interim information is mostly about the probab...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using hand-collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers' formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections on investment efficiency depends on the tradeoff between agency and information asymmetry. Under wea...
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作者：Alp, Aysun
作者单位：Sabanci University
摘要：I examine the time-series variation in corporate credit rating standards from 1985 to 2007. A divergent pattern exists between investment-grade and speculative-grade rating standards from 1985 to 2002 as investment-grade standards tighten and speculative-grade loosen. In 2002, a structural shift occurs toward more stringent ratings. Holding characteristics constant, firms experience a drop of 1.5 notches in ratings due to tightened standards from 2002 to 2007. Credit spread tests suggest that ...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Copenhagen Business School
摘要：We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: (1) aim in front of the target, and (2) trade partially toward the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio and an aim portfolio, which is a weighted average of the current Markowitz portfolio (the moving targ...
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作者：Philippon, Thomas; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research
摘要：We analyze government interventions to recapitalize a banking sector that restricts lending to firms because of debt overhang. We find that the efficient recapitalization program injects capital against preferred stock plus warrants and conditions implementation on sufficient bank participation. Preferred stock plus warrants reduces opportunistic participation by banks that do not require recapitalization, although conditional implementation limits free riding by banks that benefit from lower ...
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作者：Dinc, I. Serdar; Erel, Isil
作者单位：University System of Ohio; Ohio State University
摘要：This paper studies government reactions to large corporate merger attempts in the European Union during 1997 to 2006 using hand-collected data. We document widespread economic nationalism in which the government prefers that target companies remain domestically owned rather than foreign-owned. This preference is stronger in times and countries with strong far-right parties and weak governments. Nationalist government reactions have both direct and indirect economic impacts on mergers. In parti...
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作者：Asness, Clifford S.; Moskowitz, Tobias J.; Pedersen, Lasse Heje
作者单位：University of Chicago; National Bureau of Economic Research; New York University; Copenhagen Business School
摘要：We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three-factor model. Global funding...
