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作者：Fehle, F; Tsyplakov, S
作者单位：University of South Carolina System; University of South Carolina Columbia; Barclays
摘要：We present and test an infinite-horizon, continuous-time model of a firm that can dynamically adjust the use of risk management instruments which seek to reduce product price uncertainty and thereby mitigate financial distress losses and reduce taxes. The dynamic setting relaxes several restrictive assumptions common to static models. In the model, the firm can adjust its use and the hedge ratio and maturity of risk management instruments over time, risk management instruments expire as time p...
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作者：Fama, EF; French, KR
作者单位：Dartmouth College; University of Chicago
摘要：Financing decisions seem to violate the central predictions of the pecking order model about how often and under what circumstances firms issue equity. Specifically, most firms issue or retire equity each year, and the issues are on average large and not typically done by firms tinder duress. We estimate that during 1973-2002, the year-by-year equity decisions of more than half of our sample firms violate the pecking order. (c) 2004 Elsevier B.V. All rights reserved.
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作者：Bettis, JC; Bizjak, JM; Lemmon, ML
作者单位：Portland State University; Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：We use a large database on ESO exercises to document characteristics of exercise behavior and calibrate a utility-based model for measuring how differences in exercise behavior are manifested in option values and incentives. Option values and incentives computed from the model calibrations are compared to those computed from models used to value tradable options. Our analysis provides guidance to both academics and practitioners about how differences in exercise behavior and model choice affec...
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作者：Oyer, P; Schaefer, S
作者单位：Northwestern University; Stanford University
摘要：Many firms issue stock options to all employees. We consider three potential economic justifications for this practice: providing incentives to employees, inducing employees to sort, and employee retention. We gather data from three sources on firms' stock option grants to middle managers. First, we directly calibrate models of incentives, sorting and retention, and ask whether observed magnitudes of option grants are consistent with each potential explanation. We also conduct a cross-sectiona...
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作者：Ni, SXY; Pearson, ND; Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge rebalancing by option market maker...
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作者：Silber, WL
作者单位：New York University
摘要：This paper examines how financial markets responded to the longest circuit breaker in American financial history: the four-month suspension of trading on the New York Stock Exchange following the outbreak of World War I. The suspension that began on July 31, 1914 fostered a substitute trading forum called the New Street market. Trading on New Street began almost immediately and offered economically meaningful liquidity services despite its impaired price transparency. A simple cross-sectional ...
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作者：Gupta, A; Liang, B
作者单位：University System of Ohio; Case Western Reserve University; University of Massachusetts System; University of Massachusetts Amherst
摘要：We examine the risk characteristics and capital adequacy of hedge funds through the Value-at-Risk approach. Using extensive data on nearly 1,500 hedge funds, we find only 3.7% live and 10.9% dead funds are undercapitalized as of March 2003. Moreover, the undercapitalized funds are relatively small and constitute a tiny fraction of total fund assets in our sample. Cross-sectionally, the variability in fund capitalization is related to size, investment style, age, and management fee. Hedge fund ...
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作者：Boubakri, N; Cosset, JC; Guedhami, O
作者单位：Universite de Montreal; HEC Montreal; Memorial University Newfoundland
摘要：We investigate the role of ownership structure and investor protection in postprivatization corporate governance. Using a sample of 209 privatized firms from 39 countries over the period 1980 to 2001, we find that the government relinquishes control over time to the benefit of local institutions, individuals, and foreign investors, and that private ownership tends to concentrate over time. Firm size, growth, and industry affiliation, privatization method, as well as the level of institutional ...
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作者：Barberis, N; Shleifer, A; Wurgler, J
作者单位：Harvard University; Yale University; New York University
摘要：Building on Vijh (Rev. Financial Stud. 7 (1994)), we use additions to the S&P 500 to distinguish two views of return comovement: the traditional view, which attributes it to comovement in news about fundamental value, and an alternative view, in which frictions or sentiment delink it from fundamentals. After inclusion, a stock's beta with the S&P goes up. In bivariate regressions which control for the return of non-S&P stocks, the increase in S&P beta is even larger. These results are generall...
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作者：Bebchuk, LA; Cohen, A
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper investigates empirically how the value of publicly traded firms is affected by arrangements that protect management from removal. Staggered boards, which a majority of U.S. public companies have, substantially insulate boards from removal in either a hostile takeover or it proxy contest. We find that staggered boards are associated with ail economically meaningfull reduction in firm value (as measured by Tobin's Q). We also provide suggestive evidence that staggered boards bring abo...
