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作者：Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti; Chacko, George; Mallik, Gaurav
作者单位：New York University; State Street Global Advisors
摘要：We present a new measure of liquidity known as latent liquidity and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activit...
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作者：Lambrecht, Bart M.; Myers, Stewart C.
作者单位：Lancaster University; Massachusetts Institute of Technology (MIT)
摘要：We present a theory of capital investment and debt and equity financing in a real-options model of a public corporation. The theory assumes that managers maximize the present value of their future compensation (managerial rents), subject to constraints imposed by outside shareholders' property rights to the firm's assets. Absent bankruptcy costs, managers follow an optimal debt policy that generates efficient investment and disinvestment. We show how bankruptcy Costs can distort both investmen...
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作者：Frazzini, Andrea; Lamont, Owen A.
作者单位：University of Chicago; Yale University
摘要：We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money-by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of s...
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作者：Dunbar, Craig G.; Foerster, Stephen R.
作者单位：Western University (University of Western Ontario); University Western Ontario Hospital
摘要：We investigate issuers withdrawing an IPO (after security regulation filings) that return later for a successful offering. Venture capital backing and reputation of the lead underwriter are key factors in predicting successful return. The possibility of returning has a significant impact on the decision to withdraw and the pricing of offerings that succeed. Our sample of returning IPOs also provides a unique setting to investigate underwriter switching after a withdrawal but before a successfu...
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作者：Beck, Thorsten; Demirguec-Kunt, Asli; Maksimovic, Vojislav
作者单位：University System of Maryland; University of Maryland College Park; The World Bank; Tilburg University
摘要：Using a firm-level survey database covering 48 countries, we investigate how financial and institutional development affects financing of large and small firms. our database is not limited to large firms but includes small and medium-size firms and data on a broad spectrum of financing sources, including leasing, supplier, development, and informal finance. Small firms and firms in countries with poor institutions use less external finance, especially bank finance. Protection of property right...
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作者：Tserlukevich, Yuri
作者单位：Hong Kong University of Science & Technology
摘要：Trade-off models commonly invoke financial transaction costs in order to explain observed leverage fluctuations. This paper offers an alternative explanation based on real options. The model is frictionless on the financing side but incorporates irreversibility and fixed costs of investment. Results obtained from Simulating the model are broadly consistent with observed financing patterns. Market leverage ratios are negatively related to profitability, mean-reverting, and depend on past stock ...
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作者：Dahya, Jay; Dimitrov, Orlin; McConnell, John J.
作者单位：Purdue University System; Purdue University; American University Bulgaria; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We investigate the relation between corporate Value and the proportion of the board made up of independent directors in 799 firms with a dominant shareholder across 22 Countries. We find a positive relation, especially in Countries with weak legal protection for shareholders. The findings suggest that a dominant shareholder, were he so inclined, could offset, at least in part, the documented value discount associated with weak country-level shareholder protection by appointing an 'independent'...
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作者：Harvey, Campbell R.; Lipson, Marc L.; Warnock, Francis E.
作者单位：Duke University; National Bureau of Economic Research
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作者：Rantapuska, Elias
作者单位：Aalto University
摘要：This study examines the ex-dividend day trading behavior of all investors in the Finnish stock market. Consistent with dynamic dividend clientele theories, investors with a preference for dividend income buy shares cum-dividend and sell ex-dividend; the reverse is true for investors with the opposite preference. Investors also engage in overnight arbitrage, earning on average a 2% overnight return on their invested capital. Trades at the investor-level reveal that idiosyncratic risk is an impo...
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作者：Chen, Long; Petkova, Ralitsa; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Michigan State University; Michigan State University's Broad College of Business; Texas A&M University System; Texas A&M University College Station; Mays Business School; National Bureau of Economic Research
摘要：Fama and French [2002. The equity premium. Journal of Finance 57, 637-659] estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend growth component of 4.4% and an expected dividend price ratio component of 1.7%. Unlike the equity premium, the value premium has been largely stable over the last...
