-
作者：Desai, Mihir A.; Jin, Li
作者单位：Harvard University
摘要：This paper employs heterogeneity in institutional shareholder tax characteristics to identify the relation between firm payout policy and tax incentives. Analysis of a panel of firms matched with the tax characteristics of the clients of their institutional shareholders indicates that dividend-averse institutions are significantly less likely to hold shares in firms with larger dividend payouts. This relation between the tax preferences of institutional shareholders and firm payout policy may ...
-
作者：Gryglewicz, Sebastian
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：This paper studies the impact of both liquidity and solvency concerns on corporate finance. I present a tractable model of a firm that optimally chooses capital structure, cash holdings, dividends, and default while facing cash flows with long-term uncertainty and short-term liquidity shocks. The model explains how changes in solvency affect liquidity and also how liquidity concerns affect solvency via capital structure choice. These interactions result in a dynamic cash policy in which cash r...
-
作者：Bhattacharyya, Sugato; Nain, Amrita
作者单位：McGill University; University of Michigan System; University of Michigan
摘要：Horizontal mergers exert price pressure on dependent suppliers and adversely affect their performance. Consistent with the theory of countervailing power, concentrated suppliers and those with greater barriers to entry experience larger price declines after consolidation downstream. Time-series results suggest that consolidation in dependent supplier industries follows mergers in main customer industries, indicating that consolidation activity travels up the supply chain. The findings are broa...
-
作者：Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Columbia University; National Bureau of Economic Research
摘要：The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option...
-
作者：Garfinkel, Jon A.; Hankins, Kristine Watson
作者单位：University of Kentucky; University of Iowa
摘要：We show that merger activity and particularly waves are significantly driven by risk management considerations. Increases in cash flow uncertainty encourage firms to vertically integrate and this contributes to the start of merger waves. These effects are incremental to previously identified causes of wave activity. Our risk management hypothesis is further supported by cross-sectional differences in the likelihood that a firm vertically integrates, and by the post-acquisition characteristics ...
-
作者：He, Zhiguo
作者单位：University of Chicago
摘要：This paper studies the optimal compensation problem between shareholders and the agent in the Leland (1994) capital structure model, and finds that the debt-overhang effect on the endogenous managerial incentives lowers the optimal leverage. Consistent with data, our model delivers a negative relation between pay-performance sensitivity and firm size, and the interaction between debt-overhang and agency issue leads smaller firms to take less leverage relative to their larger peers. During fina...
-
作者：Glode, Vincent
作者单位：University of Pennsylvania
摘要：I propose a parsimonious model that reproduces the negative risk-adjusted performance of actively managed equity mutual funds. In the model, a fund manager can generate state-dependent active returns at a disutility. Negative expected performance and mutual fund investing simultaneously arise in equilibrium because the active return the fund manager generates covaries positively with a component of the pricing kernel that the performance measure omits, consistent with recent empirical evidence...
-
作者：Yu, Jialin
作者单位：Columbia University
摘要：This paper provides evidence that portfolio disagreement measured bottom-up from individual-stock analyst forecast dispersions has a number of asset pricing implications. For the market portfolio, market disagreement mean-reverts and is negatively related to ex post expected market return. Contemporaneously, an increase in market disagreement manifests as a drop in discount rate. For book-to-market sorted portfolios, the value premium is stronger among high disagreement stocks. The underperfor...
-
作者：Bulkley, George; Giordani, Paolo
作者单位：University of Bristol
摘要：We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in t...
-
作者：Kim, Jeong-Bon; Li, Yinghua; Zhang, Liandong
作者单位：Purdue University System; Purdue University; City University of Hong Kong
摘要：Using a large sample of U.S. firms for the period 1995-2008, we provide strong and robust evidence that corporate tax avoidance is positively associated with firm-specific stock price crash risk. This finding is consistent with the following view: Tax avoidance facilitates managerial rent extraction and bad news hoarding activities for extended periods by providing tools, masks, and justifications for these opportunistic behaviors. The hoarding and accumulation of bad news for extended periods...
