Journal of Financial Economics

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• Executive stock options and IPO underpricing AI翻译
  作者：Lowry, Michelle; Murphy, Kevin J.
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
  摘要：In about one-third of US IPOs between 1996 and 2000, executives received stock options with an exercise price equal to the IPO offer price rather than a market-determined price. Among firms with such IPO options, 58% of top executives realize a net benefit from underpricing: the gain from the options exceeds the loss from the dilution of their pre-IPO shareholdings. If executives can influence either the IPO offer price or the timing and terms of their stock option grants, there should be a po...
• Estimating and testing beta pricing models: Alternative methods and their performance in simulations AI翻译
  作者：Shanken, Jay; Zhou, Guofu
  作者单位：Washington University (WUSTL); Emory University
  摘要：We conduct a simulation analysis of the Fama and MacBeth[1973. Risk, returns and equilibrium: empirical tests. Journal of Political Economy 71, 607-636.] two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the relations between estimators, and asymptotic distributions under model misspecification. The generalized least squares estimator...
• Disagreement, tastes, and asset prices AI翻译
  作者：Fama, Eugene F.; French, Kenneth R.
  作者单位：Dartmouth College; University of Chicago
  摘要：Standard asset pricing models assume that: (i) there is complete agreement among investors about probability distributions of future payoffs on assets; and (ii) investors choose asset holdings based solely on anticipated payoffs-, that is, investment assets are not also consumption goods. Both assumptions are unrealistic. We provide a simple framework for studying how disagreement and tastes for assets as consumption goods can affect asset prices. (c) 2006 Elsevier B.V. All rights reserved.
• Was there too little entry during the Dot Com Era? AI翻译
  作者：Goldfarb, Brent; Kirsch, David; Miller, David A.
  作者单位：University System of Maryland; University of Maryland College Park; University of California System; University of California San Diego
  摘要：We present four stylized facts about the Dot Corn Era: (1) there was a widespread belief in a Get Big Fast business strategy, (2) the increase and decrease in public and private equity investment was most prominent in the Internet and information technology sectors, (3) the survival rate of dot com firms is on par with or higher than other emerging industries, and (4) firm survival is independent of private equity funding. To connect these findings we offer a herding model that accommodates a ...
• Foreign currency-denominated borrowing in the absence of operating incentives AI翻译
  作者：McBrady, Matthew R.; Schill, Michael J.
  作者单位：University of Virginia
  摘要：It is well known that corporations issue foreign currency-denominated debt to hedge foreign currency cash flows with offsetting interest payments. We test an alternative opportunistic motive for foreign currency-denominated borrowing. We do so by constructing a comprehensive sample of foreign currency-denominated bonds issued by sovereign government and agency issuers with no foreign currency cash flows or foreign operations. We find strong and consistent evidence that the borrowers in our sam...
• The economics of conflicts of interest in financial institutions AI翻译
  作者：Mehran, Hamid; Stulz, Rene M.
  作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：A conflict of interest exists when a party to a transaction can gain by taking actions that are detrimental to its counterparty. This paper examines the growing empirical literature on the economics of conflicts of interest in financial institutions. Economic analysis shows that, although conflicts of interest are omnipresent when contracting is costly and parties are imperfectly informed, there are important factors that mitigate their impact and, strikingly, it is possible for customers of f...
• Mimicking repurchases AI翻译
  作者：Massa, Massimo; Rehman, Zahid; Vermaelen, Theo
  作者单位：INSEAD Business School
  摘要：We study the tendency of firms to mimic the repurchase announcements of their industry counterparts. We argue that a firm, by repurchasing its shares, sends a positive signal about itself and a negative one about its competitors. This induces the competing firms to mimic the behavior of the repurchasing firm by repurchasing themselves. Using a broad sample of US firms from the period 1984-2002, we show that, in concentrated industries, a repurchase announcement lowers the stock price of the ot...
• Extending quadrature methods to value multi-asset and complex path dependent options AI翻译
  作者：Andricopoulos, Ari D.; Widdicks, Martin; Newton, David P.; Duck, Peter W.
  作者单位：University of Nottingham; University of Manchester; University of Manchester
  摘要：The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial Economics 67, 447-471 (see also Corrigendum, Journal of Financial Economics 73, 603 (2004)) is significantly extended to cover notably more complex and difficult problems in option valuations involving one or more underlyings. Trials comparing several techniques in the literature, adapted from standard lattice, grid and Monte...
• Classified boards, firm value, and managerial entrenchment AI翻译
  作者：Faleye, Olubunmi
  作者单位：Northeastern University
  摘要：This paper shows that classified boards destroy value by entrenching management and reducing director effectiveness. First, I show that classified boards are associated with a significant reduction in firm value and that this holds even among complex firms, although such firms are often regarded as most likely to benefit from staggered board elections. I then examine how classified boards entrench management by focusing on CEO turnover, executive compensation, proxy contests, and shareholder p...
• Trade credit and bank credit: Evidence from recent financial crises AI翻译
  作者：Love, Inessa; Preve, Lorenzo A.; Sarria-Allende, Virginia
  作者单位：Austral University; The World Bank
  摘要：This paper studies the effect of financial crises on trade credit for a sample of 890 firms in six emerging economies. Although the provision of trade credit increases right after a crisis, it contracts in the following months and years. Firms that are financially more vulnerable to crises extend less trade credit to their customers. We argue that the decline in aggregate trade credit ratios is driven by the reduction in the supply of trade credit that follows a bank credit crunch, consistent ...