-
作者：Kim, Chansog (Francis); Pantzalis, Christos; Park, Jung Chul
作者单位：State University System of Florida; University of South Florida; City University of Hong Kong; Auburn University System; Auburn University
摘要：We show that political geography has a pervasive effect on the cross-section of stock returns. We collect election results over a 40-year period and use a political alignment index (PAI) of each state's leading politicians with the ruling (presidential) party to proxy for local firms' proximity to political power. Firms whose headquarters are located in high PAI states outperform those located in low PAI states, both in terms of raw returns, and on a risk-adjusted basis. Overall, although we c...
-
作者：Wang, Chong; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; United States Department of Defense; United States Navy; Naval Postgraduate School; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We develop an incomplete-markets q-theoretic model to study entrepreneurship dynamics. Precautionary motive, borrowing constraints, and capital illiquidity lead to underinvestment, conservative debt use, under-consumption, and less risky portfolio allocation. The endogenous liquid wealth-illiquid capital ratio w measures time-varying financial constraint. The option to accumulate wealth before entry is critical for entrepreneurship. Flexible exit option is important for risk management purpose...
-
作者：Bae, Kee-Hong; Baek, Jae-Seung; Kang, Jun-Koo; Liu, Wei-Lin
作者单位：Nanyang Technological University; York University - Canada; Hankuk University Foreign Studies
摘要：We develop and test a model that investigates how controlling shareholders' expropriation incentives affect firm values during crisis and subsequent recovery periods. Consistent with the prediction of our model, we find that, during the 1997 Asian financial crisis, Asian firms with weaker corporate governance experience a larger drop in their share values but, during the post-crisis recovery period, such firms experience a larger rebound in their share values. We also find consistent evidence ...
-
作者：Palazzo, Berardino
作者单位：Boston University
摘要：In this paper I develop and empirically test a model that highlights how the correlation between cash flows and a source of aggregate risk affects a firm's optimal cash holding policy. In the model, riskier firms (i.e., firms with a higher correlation between cash flows and the aggregate shock) are more likely to use costly external funding to finance their growth option exercises and have higher optimal savings. This precautionary savings motive implies a positive relation between expected eq...
-
作者：Hertzel, Michael G.; Officer, Micah S.
作者单位：Loyola Marymount University; Arizona State University; Arizona State University-Tempe
摘要：Spreads on new and renegotiated corporate loans are significantly higher when the loan originates (or is renegotiated) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated industries can ha...
-
作者：Engelberg, Joseph; Gao, Pengjie; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of Notre Dame
摘要：When banks and firms are connected through interpersonal linkages - such as their respective management having attended college or previously worked together interest rates are markedly reduced, comparable with single shifts in credit ratings. These rate concessions do not appear to reflect sweetheart deals. Subsequent firm performance, such as future credit ratings or stock returns, improves following a connected deal, suggesting that social networks lead to either better information flow or ...
-
作者：Laux, Volker
作者单位：University of Texas System; University of Texas Austin
摘要：Corporations have been criticized for providing executives with excessive incentives to focus on short-term performance. This paper shows that investment in short-term projects has beneficial effects in that it provides early feedback about Chief Executive Officer (CEO) talent, which leads to more efficient replacement decisions. Due to the threat of CEO turnover, the optimal design of stock option vesting conditions in executive compensation is more subtle than conventional views suggest. For...
-
作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：City St Georges, University of London; Leibniz University Hannover; Singapore Management University; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
摘要：We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% per annum (p.a.) between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and overreaction. Moreover, cross-sectional currency momentum has very different properties...
-
作者：Kapadia, Nikunj; Pu, Xiaoling
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University System of Ohio; Kent State University; Kent State University Kent; Kent State University Salem
摘要：We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an economically significant proportion of these are anomalous, indicating a lack of integration between the two markets. Proposing a statistical measure of market integration, we investigate whether equity-credit market integration is related to impediments to arbitrage. We find that time variation in integration across a firm's equity and credit markets is related to firm-specific ...
-
作者：Carey, Mark; Kashyap, Anil K.; Rajan, Raghuram; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; European Corporate Governance Institute
