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作者：Mian, S
作者单位：Emory University
摘要：This paper. provides empirical evidence regarding why firms replace their CFOs. Empirical tests are based on a sample of 2,227 CFO appointments over the 1984-1997 time period. Key findings reported in the paper are: (a) external CFO succession rate is markedly higher than the external CEO succession rate, (b) the incidence of retirement is less common for serving CFOs as compared to the top executive, (c) CFO turnover is preceded by negative excess returns, (d) CFO turnover is preceded by a de...
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作者：Fulghieri, P; Lukin, D
作者单位：INSEAD Business School; Centre for Economic Policy Research - UK; University of California System; University of California Irvine
摘要：We investigate the problem of a firm wishing to finance a project by issuing securities under asymmetric information. We find that, when outside investors can produce (noisy) information on the firm's quality, the degree of information asymmetry resulting in equilibrium is endogenous and depends on the information sensitivity of the security issued. Thus, in contrast to the prediction of the pecking order theory (see, e.g. Myers and Majluf, J. Financial Econom. 13 (1984) 187-221) a security wi...
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作者：Fenn, GW; Liang, N
作者单位：Federal Reserve System - USA
摘要：We examine how corporate payout policy is affected by managerial stock incentives using data on more than 1,100 nonfinancial firms during 1993-97. We find that management stock ownership is associated with higher payouts by firms with potentially the greatest agency problems - those with low management stock ownership and few investment opportunities or high free cash flow. We also find that management stock options are related to the composition of payouts. We find a strong negative relations...
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作者：Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H
作者单位：University of Pennsylvania; Johns Hopkins University; Duke University; Northwestern University
摘要：We examine realized daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones industrial Average. Pie find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian, as are the distributions of the returns scaled by realized standard deviations. Realized volatilities and co...
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作者：Fama, EF; French, KR
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago
摘要：The proportion of fir ms paying cash dividends falls from 66.5% in 1978 to 20.8% in 1999, due in part to the changing characteristics of publicly traded firms. Fed by new listings, the population of publicly traded firms tilts increasingly toward small firms with low profitability and strong growth opportunities - characteristics typical of firms that have never paid dividends. More interesting, we also show that regardless of their characteristics, firms have become less likely to pay dividen...
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作者：Chordia, T; Subrahmanyam, A; Anshuman, VR
作者单位：University of California System; University of California Los Angeles; Emory University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：Given the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we analyze the relation between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity. We document a result contrary to our initial hypothesis, namely, a n...
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作者：David, A
作者单位：Federal Reserve System - USA
摘要：Putable security holders have a de facto first claim on the firm's liquid assets and can threaten to force solvent issuers to bear financial distress costs. Their threatening power implies that the puts have a strategic value larger than their intrinsic value. Strategic value depends on the issuer's size, potential distress costs, and the distribution of put ownership relative to the firm's liquidity position. The analysis of Kmart's put-induced crisis in 1995, and a calibration to observed se...
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作者：Jones, CM; Lipson, ML
作者单位：Columbia University; University System of Georgia; University of Georgia
摘要：In June 1997, the New York Stock Exchange lowered its minimum price increment on most stocks from eighths to sixteenths. We use a sample of institutional trades to directly measure the effect of this tick size reduction on execution costs. Though quoted and effective spreads decline, realized execution costs for these institutions increase after the change to sixteenths. Costs increase most for orders that aggressively demand liquidity, including large orders, orders placed by momentum traders...
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作者：Morgan, AG; Poulsen, AB
作者单位：University System of Georgia; University of Georgia; Clemson University
摘要：We study the proposal of manager-sponsored compensation plans linking pay to performance by S&P 500 firms in the 1990s. We examine the market perception of these proposals and the characteristics of the firms that propose them. Shareholders gain at the announcement of the plans, especially when the plans are directed toward the firm's top executives. Proposing firms are those that can most benefit from the plans, given their asset type and agency considerations. Firms with more potential agenc...
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作者：Schwert, GW
