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作者：Johnson, S; Mitton, T
作者单位：Massachusetts Institute of Technology (MIT); Brigham Young University
摘要：The onset of the Asian financial crisis in Malaysia reduced the expected value of government subsidies to politically connected firms, accounting for roughly 9% of the estimated $60 billion loss in their market value from July 1997 to August 1998. Firing the Deputy Prime Minister and imposing capital controls in September 1998 primarily benefited firms with strong ties to Prime Minister Mahathir, accounting for roughly 32% of these firms' estimated $5 billion gain in market value during Septem...
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作者：Durham, GB
作者单位：University of Iowa
摘要：An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyo...
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作者：Liu, J; Pan, J
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles
摘要：We study optimal investment strategies given investor access not only to bond and stock markets but also to the derivatives market. The problem is solved in closed form. Derivatives extend the risk and return tradeoffs associated with stochastic volatility and price jumps. As a means of exposure to volatility risk, derivatives enable non-myopic investors to exploit the time-varying opportunity set; and as a means of exposure to jump risk, they enable investors to disentangle the simultaneous e...
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作者：Nenova, T
作者单位：The World Bank
摘要：This paper measures the value of corporate voting rights, specifically of the control block of votes, in a sample of 661 dual-class firms in 18 countries, in 1997. A consistent measure across countries is proposed. The measure is adjusted for takeover probability, block-holding costs, and dividend and liquidity differences between the share classes. The value of controlblock votes varies widely across countries. It is close to half of firm market value in South Korea, and close to zero in Finl...
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作者：Brickley, JA; Linck, JS; Smith, CW Jr
作者单位：University System of Georgia; University of Georgia; University of Rochester
摘要：Agency theory implies that asset ownership and decision authority are complements. Using 1998 data from Texas commercial banks, we test whether the likelihood of local ownership of bank offices increases with the importance of granting local managers greater decision authority (for example, due to location or customer base). Our empirical evidence is consistent with this hypothesis. It suggests that complementarities between strategy and organizational structure can foster differentiation amon...
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作者：Guay, W; Kothari, SP
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：For 234 large non-financial corporations using derivatives, we report the magnitude of their risk exposure hedged by financial derivatives. If interest rates, currency exchange rates, and commodity prices change simultaneously by three standard deviations, the median firm's derivatives portfolio, at most, generates $15 million in cash and $31 million in value. These amounts are modest relative to firm size, and operating and investing cash flows, and other benchmarks. Corporate derivatives use...
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作者：Demers, E; Lewellen, K
作者单位：University of Rochester
摘要：This paper explores the potential marketing benefits of going public and of IPO underpricing. We examine the impact of IPO underpricing on website traffic, which is a direct measure of product market performance for internet firms. If underpricing attracts media attention and creates valuable publicity, we expect an increase in web traffic following the IPO. We find that web traffic growth in the month after the IPO is positively and significantly associated with initial returns, and the effec...
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作者：Korajczyk, RA; Levy, A
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：This paper provides new evidence of how macroeconomic conditions affect capital structure choice. We model firms' target capital structures as a function of macroeconomic conditions and firm-specific variables. We split our sample based on a measure of financial constraints. Target leverage is counter-cyclical for the relatively unconstrained sample, but pro-cyclical for the relatively constrained sample. Macroeconomic conditions are significant for issue choice for unconstrained firms but les...
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作者：Anderson, RC; Mansi, SA; Reeb, DM
作者单位：University of Alabama System; University of Alabama Tuscaloosa; American University; Virginia Polytechnic Institute & State University
摘要：We investigate the impact of founding family ownership structure on the agency cost of debt. We find that founding family ownership is common in large, publicly traded firms and is related, both statistically and economically, to a lower cost of debt financing. Our results are consistent with the idea that founding family firms have incentive structures that result in fewer agency conflicts between equity and. debt claimants. This suggests that bond holders view founding family ownership as an...
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作者：Vassalou, M
作者单位：Columbia University
摘要：A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP growth is present in the asset-pricing model, HML and SMB lose much of their ability to explain the cross-section. (C) 2002 Elsevier...
