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作者：Mayfield, ES
作者单位：Charles River Associates
摘要：This paper provides a method for estimating the market risk premium that accounts for shifts in investment opportunities by explicitly modeling the underlying process governing the level of market volatility. I find that approximately 50% of the measured risk premium is related to the risk of future changes in investment opportunities. Evidence of a structural shift in the underlying volatility process suggests that the simple historical average of excess market returns may substantially overs...
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作者：Dell'Ariccia, G; Marquez, R
作者单位：International Monetary Fund; University System of Maryland; University of Maryland College Park
摘要：Private information obtained by lenders leads to borrower capture to the extent that such information cannot be communicated credibly to outsiders. We analyze how this capture affects the loan portfolio allocation of informed lenders. First, we show that banks charge higher interest rates and finance relatively less creditworthy borrowers in market segments with greater information asymmetries. Second, when faced with greater competition from outside lenders, banks reallocate credit toward mor...
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作者：Baek, JS; Kang, JK; Park, KS
作者单位：Korea University; Michigan State University; Michigan State University's Broad College of Business; Hankuk University Foreign Studies
摘要：During the 1997 Korean financial crisis, firms with higher ownership concentration by unaffiliated foreign investors experienced a smaller reduction in their share value. Firms that had higher disclosure quality and alternative sources of external financing also suffered less. In contrast, chaebol firms with concentrated ownership by controlling family shareholders experienced a larger drop in the value of their equity. Firms in which the controlling shareholders' voting rights exceeded cash f...
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作者：Wu, YL
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines the impact of information asymmetry and monitoring of managers on the choice between public offerings and private placements. Three key findings emerge. First, private placement firms have higher information asymmetry than public offering firms. Second, private placement investors do not engage in more monitoring than public offering investors. Finally, discounts for private placements sold to managers are higher than discounts for private placements in which managers do no...
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作者：Lee, PM; Wahal, S
作者单位：Emory University
摘要：We examine the role of venture capital backing in the Underpricing of IPOs. Controlling for endogeneity in the receipt of venture funding, we find that venture capital backed IPOs experience larger first-day returns than comparable non-venture backed IPOs. Between 1980 and 2000, the average return difference ranges from 5.01 percentage points to 10.32 percentage points. This return difference is particularly pronounced in the bubble period of 1999-2000. Consistent with the grandstanding hypoth...
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作者：Bessembinder, H; Venkataraman, K
作者单位：Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：We examine the Paris Bourse, whose electronic limit order market closely resembles the downstairs markets envisioned by theorists, to test several theoretical predictions regarding upstairs trading. We present direct evidence in support of the Grossman (J. Business (1992) 509) prediction that upstairs brokers lower execution costs by tapping into unexpressed liquidity, as actual execution costs upstairs are on average only 20% (35%) as large as they would be if block trades were executed again...
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作者：Chemmanur, TJ; Yan, A
作者单位：Boston College; Fordham University
摘要：We develop a new rationale for corporate spin-offs, and for the performance and value improvements following them, based on corporate control considerations. We consider a firm with multiple divisions, with incumbent management having different abilities for managing these divisions. If the incumbent loses control to a more able rival, it benefits all shareholders (including the incumbent) by increasing equity value, but involves the incumbent losing his private benefits of control. We show th...
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作者：Ofek, E; Richardson, M; Whitelaw, RF
作者单位：New York University; National Bureau of Economic Research
摘要：We investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sales restrictions. Violations of put-call parity are asymmetric in the direction of short sales constraints, and their magnitudes are strongly related to the cost and difficulty of short selling. These violations are also related to both the maturity of the option and the level of valuations in the stock market, consistent with a behavioral finance theory of over-optimistic stock investors...
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作者：Ryan, HE Jr; Wiggins, RA III
作者单位：Louisiana State University System; Louisiana State University; Bentley University
摘要：We use a bargaining framework to examine empirically the relations between director compensation and board-of-director independence. Our evidence suggests that independent directors have a bargaining advantage over the CEO that results in compensation more closely aligned with shareholders' objectives. Firms with more outsiders on their boards award directors more equity-based compensation. When the CEO's power over the board increases, compensation provides weaker incentives to monitor. Firms...
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作者：Li, MQ; Pearson, ND; Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：There are a number of circumstances in finance in which it is useful to estimate diffusion processes conditional on some event. In this paper, we develop the theoretical and numerical tools necessary to perform conditional estimation of diffusion processes within a generalized method of moments framework. We illustrate our method by estimating a univariate diffusion process for a standard time-series of interest rate data conditioned to remain between lower and upper boundaries. A test statist...
