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作者：Bartram, Soehnke M.; Griffin, John M.; Lim, Tae-Hoon; Ng, David T.
作者单位：University of Warwick; University of Texas System; University of Texas Austin; Korea Institute for International Economic Policy (KIEP); Cornell University
摘要：We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership retur...
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作者：Guo, Lixiong; Masulis, Ronald W.
作者单位：University of New South Wales Sydney
摘要：We use the 2003 NYSE and NASDAQ listing rules for board and committee independence as a quasinatural experiment to examine the causal relations between board structure and CEO monitoring. Noncompliant firms forced to raise board independence or adopt a fully independent nominating committee significantly increased their forced CEO turnover sensitivity to performance relative to compliant firms. Nominating committee independence is important even when firms had an independent board, and the eff...
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作者：Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.; Helwege, Jean
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of California System; University of California Riverside
摘要：We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with fragile beliefs are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit default swaps (CDS) data shows that agents require a time-varying risk premium for bearing state uncertainty. The model outperforms affine specifications with the same number of state variables, suggesting that there are important nonlinearitie...
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作者：Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S.
作者单位：Utah System of Higher Education; University of Utah; University of Minnesota System; University of Minnesota Twin Cities; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Consistent with predictions from a stylized Bayesian learning model stock return volatility declines with CEO tenure in a convex manner, even for CEOs whose appointments occur for exogenous reasons. The decline is faster when there is higher uncertainty about the CEO's ability when there is more transparency about the firm's prospects, and when CEO ability is more important in value creation. We quantify the importance of uncertainty about CEO ability relative to the firm's fundamental cash fl...
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作者：Kostakis, Alexandros; Magdalinos, Tassos; Stamatogiannis, Michalis P.
作者单位：University of Manchester; University of Southampton; University of Bath
摘要：This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, (2) accommodates testing the joint predictive ability of financial variables in multiple regression, (3) is easy to implement as it is based on a linear estimation procedure, and (4) can be used for long-horizon predictability tests. We provide some evidence in favor of short-...
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作者：Ming Guo; Hui Ou-Yang
作者单位：Shanghai Jiao Tong University
摘要：We develop a strategic trading model in which an insider exploits noise traders' overreaction. A feedback effect arises from the insider's trading on fundamental information (the expected growth rate of dividends) and nonfundamental information (insider's inventory or noise supply). We find that the stock price is not fully revealing; a faster mean-reverting noise supply leads to a more volatile price; the price impact can increase with insider's risk-aversion; and a risk-averse insider can tr...
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作者：Grullon, Gustavo; Michenaud, Sebastien; Weston, James P.
作者单位：Rice University; DePaul University
摘要：We use a regulatory experiment (Regulation SHO) that relaxes short-selling constraints on a random sample of U.S. stocks to test whether capital market frictions have an effect on stock prices and corporate decisions. We find that an increase in short-selling activity causes prices to fall, and that small firms react to these lower prices by reducing equity issues and investment. These results not only provide evidence that short-selling constraints affect asset prices, but also confirm that s...
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作者：Chen, Zhaohui; Morrison, Alan D.; Wilhelm, William J., Jr.
作者单位：University of Virginia; University of Oxford; Sun Yat Sen University
摘要：We present a model that explains why investment bankers struggle to manage conflicts of interest. Banks can build a type reputation for technical competence by performing complex deals that may not serve their clients' interest; on the other hand, banks can sustain a behavioral reputation by refraining from doing so. A behavioral reputation is a luxury reserved for banks that have proven their abilities. The model sheds light on conflicts between the trading and advisory divisions of investmen...
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作者：Simintzi, Elena; Vig, Vikrant; Volpin, Paolo
作者单位：University of British Columbia; University of London; London Business School; City St Georges, University of London
摘要：This paper exploits intertemporal variations in employment protection across countries and finds that rigidities in labor markets are an important determinant of firms' capital structure decisions. Over the 1985-2007 period, we find that reforms increasing employment protection are associated with a 187 basis point reduction in leverage. We interpret this finding to suggest that employment protection increases operating leverage, crowding out financial leverage. This result does not appear to ...
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作者：Biais, Bruno; Rochet, Jean-Charles; Woolley, Paul
作者单位：University of Zurich; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of London; London School Economics & Political Science
摘要：We study the dynamics of an innovative industry in which agents learn about the likelihood of negative shocks. Managers can exert risk prevention effort to mitigate the consequences of shocks. If no shock occurs, confidence improves, attracting managers to the innovative sector. But, when confidence becomes high, inefficient managers exerting low risk-prevention effort also enter. This stimulates growth, while reducing risk prevention. The longer the boom, the larger the losses if a shock occu...
