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作者：Almeida, H; Wolfenzon, D
作者单位：New York University; National Bureau of Economic Research
摘要：We analyze the relationship between conglomerates' internal capital markets and the efficiency of economy-wide capital allocation, and we identify a novel cost of conglomeration that arises from an equilibrium framework. Because of financial market imperfections engendered by imperfect investor protection, conglomerates that engage in winner-picking (Stein, 1997 [Internal capital markets and the completion for corporate resources. Journal of Finance 52, 111-133]) find it optimal to allocate sc...
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作者：Bessembinder, Hendrik; Maxwell, William; Venkataraman, Kumar
作者单位：Utah System of Higher Education; University of Utah; University of Arizona; Southern Methodist University
摘要：We develop a simple model of the effect of public transaction reporting on trade execution costs and test it using a sample of institutional trades in corporate bonds, before and after initiation of the TRACE reporting system. Trade execution costs fell approximately 50% for bonds eligible for TRACE transaction reporting, and 20% for bonds not eligible for TRACE reporting, suggesting the presence of a liquidity externality. The key results are robust to changes in variables, such as interest r...
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作者：Raddatz, Claudio
作者单位：The World Bank
摘要：This paper provides evidence that financial development has a large causal effect in the reduction of macroeconomic volatility resulting from the role of the financial system in liquidity provision. In particular, financial system development leads to a comparatively larger reduction in the volatility of output in sectors with high liquidity needs. Most of this decline results from the stabilization of the output of existing firms, although the volatility of the number of firms also drops sign...
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作者：Grout, PA; Zalewska, A
作者单位：University of Bath; University of Bristol; University of Bristol
摘要：While it is crucial to understand the impact of regulatory changes on market risk, the literature does not show how risk responds to expected regulatory changes that are specifically designed to change risk. Our paper fills this gap by providing a detailed study of one such case. Using both a sample of privatized U.K. companies, and U.K. and U.S. control portfolios, between 1993 and 2000, we show (both for the single-factor market model and the three-factor Fama-French model) that the observed...
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作者：Lewellen, Jonathan; Nagel, Stefan
作者单位：Dartmouth College; Stanford University; National Bureau of Economic Research
摘要：Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, we argue that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium. We also provide a simple new test of the conditional CAPM using direct estimates of conditional alphas and betas from short-window regressi...
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作者：Leuz, Christian; Oberholzer-Gee, Felix
作者单位：University of Pennsylvania; Harvard University
摘要：This study examines the role of political connections in firms' financing strategies and their long-run performance. We view political connections as an example for domestic arrangements which can reduce the benefits of global financing. Using data from Indonesia, we find that firms with strong political connections are less likely to have publicly traded foreign securities. As a result, estimates of the performance consequences of foreign financing are severely biased if value-creating domest...
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作者：Bernardo, AE; Luo, J; Wang, JJD
作者单位：University of California System; University of California Los Angeles; Hong Kong University of Science & Technology; City University of Hong Kong
摘要：We develop a model of a two-division firm in which the strong division has, on average, higher quality investment opportunities than the weak division. We show that, in the presence of agency and information problems, optimal effort incentives are less powerful and thus managerial effort is lower in the strong division. This leads the firm to bias its project selection policy against the strong division. The selection bias is more severe when there is a larger spread in the average quality of ...
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作者：Klapper, Leora; Laeven, Luc; Rajan, Raghuram
作者单位：International Monetary Fund; The World Bank; Centre for Economic Policy Research - UK; University of Chicago; National Bureau of Economic Research
摘要：Using a comprehensive database of European firms, we study the effect of market entry regulations on the creation of new limited-liability firms, the average size of entrants, and the growth of incumbent firms. We find that costly regulations hamper the creation of new firms, especially in industries that should naturally have high entry. These regulations also force new entrants to be larger and cause incumbent firms in naturally high-entry industries to grow more slowly. Our results hold eve...
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作者：Lewellen, Katharina
作者单位：Dartmouth College
摘要：Leverage raises stock volatility, driving a wedge between the cost of debt to shareholders and the cost to undiversified, risk-averse managers. I quantify these volatility costs of debt and examine their impact on financing decisions. I find that: (1) the volatility costs of debt can be large for executives exposed to firm-specific risk; (2) for a range of empirically relevant parameters, higher option ownership tends to increase, not decrease, the volatility costs of debt; and (3) for manager...
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作者：Cheung, Yan-Leung; Rau, P. Raghavendra; Stouraitis, Aris
作者单位：Purdue University System; Purdue University; City University of Hong Kong
摘要：We examine a sample of connected transactions between Hong Kong listed companies and their controlling shareholders. We address three questions: What types of connected transactions lead to expropriation of minority shareholders? Which firms are more likely to expropriate? Does the market anticipate the expropriation by firms? On average, firms announcing connected transactions earn significant negative excess returns, significantly lower than firms announcing similar arm's length transactions...
