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作者：Schlingemann, FP; Stulz, RM; Walkling, RA
作者单位：University System of Ohio; Ohio State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; National Bureau of Economic Research
摘要：The liquidity of the market for corporate assets plays an important role in explaining whether a firm divests a business segment, which segment the firm divests, and whether it divests a core segment or an unrelated segment. Firms are more likely to divest segments from industries with a more liquid market for corporate assets, unrelated segments, poorly performing segments, and small segments. Strikingly, the segment with the least liquid market is less likely to be divested than the best-per...
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作者：Deli, DN; Varma, R
作者单位：University of Delaware; Arizona State University; Arizona State University-Tempe
摘要：We investigate the option to invest in derivative securities using a large sample of mutual funds. We find that those funds with the greatest transaction-cost benefit tend to permit investment in derivatives, and that funds tend to permit investment only in those derivatives that offer transaction-cost benefits. Our results indicate that a fund's decision to permit investment in derivatives is driven by increased efficiency rather than advisor opportunism. (C) 2002 Published by Elsevier Scienc...
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作者：Krishnamurthy, A
作者单位：Northwestern University
摘要：I document the profits on a trade that is long the old 30-year Treasury bond and short the new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to November 1999. Despite the systematic convergence of the spread over the auction cycle, the average profits are close to zero. The difference in repo-market financing rates between the two bonds is a significant cost of carry in this trade. I show that variation in the bond/old-bond spread is driven by the Treasury supply...
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作者：Hellmann, T
作者单位：Stanford University
摘要：Some venture capital investors seek purely financial gains while others, such as corporations, also pursue strategic objectives. The paper examines a model where a strategic investor can achieve synergies, but can also face a conflict of interest with the entrepreneur. If the start-up is a complement to the strategic partner, it is optimal to obtain funding front the strategic investor. If the start-up is a mild substitute, the entrepreneur prefers an independent venture capitalist. With a str...
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作者：Dai, Q; Singleton, KJ
作者单位：Stanford University; New York University; National Bureau of Economic Research
摘要：Linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional 'expectations theory. This paper shows that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we match all the key empirical findings reported by Fama and Bliss ((1987) American Economic Review 77 (4), 680 692) and Campbell and Shiller ((1991) Review of Economic Studies 58, 495-514), among others, within large subclas...
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作者：Faccio, M; Lang, LHP
作者单位：University of Notre Dame; Chinese University of Hong Kong
摘要：We analyze the ultimate ownership and control of 5,232 corporations in 13 Western European countries. Typically firms are widely held (36.93%) or family controlled (44.29%). Widely held firms are more important in the UK and Ireland, family controlled firms in continental Europe. Financial and large firms are more likely widely held, while non-financial and small firms are more likely family controlled. State control is important for larger firms in certain countries. Dual class shares and pyr...
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作者：Schwert, GW
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作者：Ferson, W; Khang, K
作者单位：Boston College; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Milwaukee
摘要：This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (J. Business 60 (1993)). When conditioning information is used, returns-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use the ...
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作者：Zanjani, G
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper studies multi-line pricing and capital allocation by insurance companies when solvency matters to consumers, capital is costly to hold, and the average loss is uncertain. In this environment, product quality concerns lead firms to diversify across markets and charge high prices for risk that threatens company solvency, even if the risk is unrelated to other asset risk. Price differences across markets are traced to differences in capital required at the margin to maintain solvency. ...
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作者：Volpin, PF
作者单位：University of London; London Business School
摘要：This paper studies the determinants of executive turnover and firm valuation as a function of ownership and control structure in Italy, a country that features low legal protection for investors, firms with controlling shareholders, and pyramidal groups. The results suggest that there is poor governance, as measured by a low sensitivity of turnover to performance and a low Q ratio, when (i) the controlling shareholders are also top executives, (ii) the control is fully in the hands of one shar...
