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作者：Lerner, J; Schoar, A
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper presents the theory that managers can use the liquidity of securities as a choice variable to screen for deep-pocket investors, those that have a low likelihood of facing a liquidity shock. We assume an information asymmetry about the quality of the manager between the existing investors and the market. The manager then faces a lemons problem when he has to-raise funds for a subsequent fund from outside investors, because the outsiders cannot determine whether the manager is of poor...
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作者：Penas, MF; Unal, H
作者单位：University System of Maryland; University of Maryland College Park; Tilburg University
摘要：We present evidence that the adjusted returns of merging banks' bonds are positive and significant across pre-merger and announcement months. The cross-sectional evidence indicates that the primary determinants of merger-related bondholder gains are diversification gains, gains associated with achieving too-big-to-fail status, and, to a lesser degree, synergy gains. We obtain the same finding when we examine the acquiring banks' credit spreads on new debt issues both before and after the merge...
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作者：Fernandez, P
作者单位：University of Navarra; IESE Business School
摘要：The value of tax shields is the difference between the present values of two different cash flows, each with their own risk: the present value of taxes for the unlevered company and the present value of taxes for the levered company. For constant growth companies, the value of tax shields in a world with no leverage cost is the present value of the debt, times the tax rate, times the unlevered cost of equity, discounted at the unlevered cost of equity. This result arises as the difference of t...
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作者：Brandt, MW; Kang, Q
作者单位：Duke University; National Bureau of Economic Research; University of Hong Kong
摘要：We model the conditional mean and volatility of stock returns as a latent VAR process to study their contemporaneous and intertemporal relationships in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments leading to pronounced countercyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the moments that also appear related to busin...
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作者：Denis, DJ; Mihov, VT
作者单位：Purdue University System; Purdue University; Texas Christian University
摘要：Using a sample of 1,560 new debt financings, we examine the choice among bank debt, non-bank private debt, and public debt. The primary determinant of the debt source is the credit quality of the issuer. Firms with the highest credit quality borrow from public sources, firms with medium credit quality borrow from banks, and firms with the lowest credit quality borrow from non-bank private lenders. Non-bank private debt thus plays a unique role in accommodating the financing needs of firms with...
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作者：Amihud, Y; Hauser, S; Kirsh, A
作者单位：New York University; Tel Aviv University; Ben-Gurion University of the Negev
摘要：We examine theories of IPO underpricing using unique data from Israel where the allocation to subscribers is by equal proration. This enables us to simulate the return earned by uninformed investors. Consistent with Rock's (1986) theory of adverse selection, allocations were negatively related to underpricing. But uninformed investors earned a negative allocalion-weighted initial return, although the average initial return was 12%. They could break even, however, by using publicly available in...
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作者：Stulz, RM; Williamson, R
作者单位：University System of Ohio; Ohio State University; Georgetown University
摘要：Differences in culture, proxied by differences in religion and language, cannot be ignored when examining why investor protection differs across countries. We show that a country's principal religion predicts the cross-sectional variation in creditor rights better than a country's natural openness to international trade, its language, its income per capita, or the origin of its legal system. Catholic countries protect the rights of creditors less well than Protestant countries. A country's nat...
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作者：Bates, TW; Lemmon, ML
作者单位：University of Delaware; Utah System of Higher Education; University of Utah
摘要：We examine the provision of termination fee clauses in merger agreements between 1989 and 1998. Target-payable fees are observed more frequently when bidding is costly and the potential for information expropriation by third parties is significant. Fee provisions appear to benefit target shareholders through higher deal completion rates and greater negotiated takeover premiums. We conclude that target-payable fees serve as an efficient contracting device, rather than a means by which to deter ...
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作者：Sun, Q; Tong, WHS
作者单位：Hong Kong Polytechnic University; Nanyang Technological University
摘要：We evaluate the performance changes of 634 state-owned enterprises (SOEs) listed on China's two exchanges upon share issuing privatisation (SIP) in the period 1994-1998. We find that SIP is effective in improving SOEs' earnings ability, real sales, and workers' productivity but is not successful in improving profit returns and leverage after privatisation. We also find state ownership having negative impacts on firm performance and legal-person ownership having positive impacts on firm perform...
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作者：Andricopoulos, AD; Widdicks, M; Duck, PW; Newton, DP
作者单位：University of Manchester; University of Manchester
摘要：This paper proposes and develops a novel, simple, widely applicable numerical approach for option pricing based on quadrature methods. Though in some ways similar to lattice or finite-difference schemes, it possesses exceptional accuracy and speed. Discretely monitored options are valued with only one timestep between observations, and nodes can be perfectly placed in relation to discontinuities. Convergence is improved greatly; in the extrapolated scheme, a doubling of points can reduce error...
