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作者：Djankov, Simeon; La Porta, Rafael; Lopez-de-Silanes, Florencio; Shleifer, Andrei
作者单位：Harvard University; The World Bank; Dartmouth College
摘要：We present a new measure of legal protection of minority shareholders against expropriation by corporate insiders: the anti-self-dealing index. Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on private enforcement mechanisms, such as disclosure, approval, and litigation, that govern a specific self-dealing transaction. This theoretically grounded index predicts a variety of stock market outcomes, and...
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作者：Massa, Massimo; Rehman, Zahid
作者单位：INSEAD Business School
摘要：We study how information flows within financial conglomerates by analyzing the relations between mutual funds and banks that belong to the same financial group. We investigate the effect that the lending behavior of affiliated banks has on the portfolio choice of the mutual funds that are part of the same group. We show that funds (fund families) increase their stakes in the firms that borrow from their affiliated banks in the period following the deal by far greater amounts than other unaffil...
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作者：Yu, Fang (Frank)
作者单位：Barclays
摘要：What is the role of information intermediaries in corporate governance? This paper examines equity analysts' influence on managers' earnings management decisions. Do analysts serve as external monitors to managers, or do they put excessive pressure on managers? Using multiple measures of earnings management, I find that firms followed by more analysts manage their earnings less. To address the potential endogencity problem of analyst coverage, I use two instrumental variables based on change i...
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作者：Core, John E.; Guay, Wayne; Larcker, David F.
作者单位：University of Pennsylvania; Stanford University
摘要：We examine the press' role in monitoring and influencing executive compensation practice using more than 11,000 press articles about CEO compensation from 1994 to 2002. Negative press coverage is more strongly related to excess annual pay than to raw annual pay, suggesting a sophisticated approach by the media in selecting CEOs to cover. However, negative coverage is also greater for CEOs with more option exercises, suggesting the press engages in some degree of sensationalism. We find little ...
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作者：Evans, Martin D. D.; Lyons, Richard K.
作者单位：Georgetown University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：Macro news can affect currency prices directly and indirectly via order flow. Past research shows that the direct effects of scheduled macro news account for less than 10% of daily price variance. This paper shows that the arrival of macro news can account for more than 30% of daily price variance. Two features of our analysis account for this finding: (1) We consider the broad spectrum of macro news items that market participants observe, not just scheduled announcements. (2) We allow the arr...
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作者：Panayides, Marios A.
作者单位：Utah System of Higher Education; University of Utah
摘要：Existing empirical studies provide little support for the theoretical prediction that market makers rebalance their inventory through revisions of quoted prices. This study provides evidence that the NYSE's specialist does engage in significant inventory rebalancing, but only when not constrained by the affirmative obligation to provide liquidity imposed by the Price Continuity rule. The evidence also suggests that such obligations are associated with better market quality, but impose signific...
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作者：Puri, Manju; Robinson, David T.
作者单位：Duke University; National Bureau of Economic Research
摘要：We create a novel measure of optimism using the Survey of Consumer Finance by comparing selfreported life expectancy to that implied by statistical tables. This measure of optimism correlates with positive beliefs about future economic conditions and with psychometric tests of optimism. Optimism is related to numerous work/life choices: more optimistic people work harder, expect to retire later, are more likely to remarry, invest more in individual stocks, and save more. Interestingly, however...
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作者：Berrada, Tony; Hugonnier, Julien; Rindisbacher, Marcel
作者单位：University of Toronto; University of Lausanne; Swiss Finance Institute (SFI); University of Geneva
摘要：The representative-agent Lucas model stresses aggregate risk and hence does not allow us to study the impact of agents' heterogeneity on the dynamics of equilibrium trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to nontrivial trading volume in equilibrium. We present a non-informational no-trade theorem that provides necessary and sufficient conditions for zero equilibrium trading volum...
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作者：Aragon, George O.
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper presents evidence on the relation between hedge fund returns and restrictions imposed by funds that limit the liquidity of fund investors. The excess returns of funds with lockup restrictions are approximately 4-7% per year higher than those of nonlockup funds. The average alpha of all funds is negative or insignificant after controlling for lockups and other share restrictions. Also, a negative relation is found between share restrictions and the liquidity of the fund's portfolio. ...
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作者：Foley, C. Fritz; Hartzell, Jay C.; Titman, Sheridan; Twite, Garry
作者单位：University of Texas System; University of Texas Austin; Harvard University; Australian National University
摘要：US corporations hold significant amounts of cash on their balance sheets. This paper develops and tests the hypothesis that the magnitude of US multinational cash holdings are, in part, a consequence of the tax costs associated with repatriating foreign income. Consistent with this hypothesis, firms facing higher repatriation taxes hold higher levels of cash, hold this cash abroad, and hold this cash in affiliates that trigger high tax costs when repatriating earnings. In addition, less financ...
