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作者：Yung, Chris; Colak, Goenuel; Wang, Wei
作者单位：University of Colorado System; University of Colorado Boulder; State University System of Florida; Florida State University
摘要：We develop a model in which time-varying real investment opportunities lead to time-varying adverse selection in the market for IPOs. The model is consistent with several stylized facts known about the IPO market: economic expansions are associated with a dramatic increase in the number of firms going public, which is in turn positively correlated with underpricing. Adverse selection is procyclical in the sense that dispersion in unobservable quality across firms should be more pronounced duri...
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作者：Huang, Rocco R.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper proposes a new methodology to evaluate the economic effect of state-specific policy changes, using bank-branching deregulations in the US as an example. The new method compares economic performance of pairs of contiguous counties separated by state borders, where on one side restrictions on statewide branching were removed relatively earlier, to create a natural regression discontinuity setup. The study uses a total of 285 pairs of contiguous counties along 38 segments of such regul...
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作者：Dittmar, Amy K.; Dittmar, Robert F.
作者单位：University of Michigan System; University of Michigan
摘要：Why do corporate financing events occur in waves? We challenge recent evidence of the importance of valuation cycles in driving financing waves by documenting that the aggregate pattern of stock repurchases mirrors that of equity issuance and mergers, despite repurchases involving an opposite transaction. We then show that trends in financing decisions result from differing responses to the same economic stimulus: growth in GDP. Specifically, economic expansion reduces the cost of equity relat...
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作者：Chari, Anusha; Gupta, Nandini
作者单位：University of Michigan System; University of Michigan; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：This paper investigates the influence of incumbent firms on the decision to allow foreign direct investment into an industry. Using data from India's economic reforms, the results show that firms in concentrated industries are more successful at preventing foreign entry, state-owned firms are more successful at stopping foreign entry than privately-owned firms, and profitable state-owned firms are more successful at stopping foreign entry than unprofitable state-owned firms. The pattern of for...
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作者：Warusawitharana, Missaka
作者单位：Federal Reserve System - USA
摘要：Purchases and sales of operating assets by firms generated $162 billion for shareholders over the past 20 years. This contrasts sharply with the evidence on mergers. This paper characterizes the behavior of value-maximizing firms, which could grow organically, purchase existing assets, or sell assets. The approach yields an endogenous selection model that links asset purchases and sales to fundamental properties of the firm. Empirical tests confirm the predictions of the model. In particular, ...
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作者：Driesprong, Gerben; Jacobsen, Ben; Maat, Benjamin
作者单位：Massey University
摘要：Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly sto...
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作者：Chernykh, Lucy
作者单位：University System of Ohio; Bowling Green State University
摘要：I investigate ultimate control and ownership patterns in Russian publicly traded companies. I show that these companies are controlled either by the state or by anonymous private owners. Federal and regional governments' control is exercised through extensive use of pyramids. Private owners widely exploit legal loopholes that allow them to mask their holdings and identities through nominee and foreign offshore arrangements. The comparison of formal and informal ownership disclosure reveals tha...
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作者：Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan
摘要：This paper extends the current theoretical models of corporate risk-management in the presence of financial distress costs and tests the model's predictions using a comprehensive data set. I show that the shareholders optimally engage in ex-post (i.e., after the debt issuance) risk-management activities even without a pre-commitment to do so. The model predicts a positive (negative) relation between leverage and hedging for moderately (highly) leveraged firms. Consistent with the theory, empir...
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作者：Skinner, Douglas J.
作者单位：University of Chicago
摘要：This paper examines how the relation between earnings and payout policy has evolved over the last three decades. Three principal groups of payers have emerged: firms that pay dividends and make regular repurchases, firms that make regular repurchases, and firms that make occasional repurchases. Firms that only pay dividends are largely extinct. Repurchases are increasingly used in place of dividends, even for firms that continue to pay dividends. While other factors help explain the timing of ...
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作者：Odders-White, Elizabeth R.; Ready, Mark J.
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Models of adverse selection risk generally assume that market makers offset expected losses to informed traders with expected gains from the uninformed. We recognize that the expected loss captures a combination of two effects: (1) the probability that some traders have private information, and (2) the likely magnitude of that information. We use a maximum-likelihood approach to separately estimate the probability and magnitude of private information events for NYSE-listed stocks from 1993 thr...
