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作者：Carlson, Murray; Fisher, Adlai; Giammarino, Ron
作者单位：University of British Columbia
摘要：We theoretically and empirically investigate firm-level risk dynamics around seasoned equity offerings (SEOs). Empirically, beta increases before SEOs and decreases gradually thereafter. Using real options theory, commitment-to-invest generates a gradual post-issuance beta decline whereas instantaneous investment and time-to-build do not. In a behavioral theory, systematic mispricing can cause increasing pre-issuance and decreasing post-issuance risk but idiosyncratic mispricing cannot. In the...
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作者：Chari, Anusha; Ouimet, Paige P.; Tesar, Linda L.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：When a developed-country multinational firm acquires majority control of a firm in an emerging market, there is an economically large and statistically significant increase in the acquiring firm's stock price. In 1986-2006, developed-market acquirers experienced positive and significant abnormal returns of 1.16%, on average, over a three-day event window. Positive acquirer returns and dollar value gains appear unique to emerging-market mergers and acquisitions and are not replicated when the s...
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作者：Titman, Sheridan; Tsyplakov, Sergey
作者单位：University of Texas System; University of Texas Austin; University of South Carolina System; University of South Carolina Columbia
摘要：This article examines information and incentive problems that can exist in the market for commercial mortgages that are pooled and repackaged as commercial mortgage-backed securities (CMBSs). We find that mortgages that are originated by institutions with large negative stock returns in the quarters prior to the origination date tend to have higher credit spreads and default more than other mortgages with similar observable characteristics. Properties financed with these mortgages also exhibit...
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作者：Adams, John C.; Mansi, Sattar A.; Nishikawa, Takeshi
作者单位：St. John's University; Virginia Polytechnic Institute & State University; State University System of Florida; University of North Florida
摘要：We provide new evidence linking board characteristics and performance. Using manually collected governance data from the mutual fund industry, we find an inverse relation between board size and fund performance. We also find evidence that organizational form plays an important role in determining operational performance. Overall, the results are consistent with the notion that there may not be a single optimal board structure that is applicable to all funds, that attempts to regulate board att...
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作者：Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, Ilya A.
作者单位：University of British Columbia; Carnegie Mellon University; Stanford University
摘要：We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy, which switches randomly, creating intertemporal risk, which agents prefer to resolve sooner rather than later, because they have Epstein-Zin-Weil preferences. Agents opti...
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作者：Bond, Philip; Goldstein, Itay; Prescott, Edward Simpson
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：Many economic agents take corrective actions based on information inferred from market prices of firms' securities. Examples include directors and activists intervening in the management of firms and bank supervisors taking actions to improve the health of financial institutions. We provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing...
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作者：Schenone, Carola
作者单位：University of Virginia
摘要：In the process of lending to a firm, a bank acquires proprietary firm-specific information that is unavailable to nonlenders. This asymmetric evolution of information between lenders and prospective lenders grants the former an information monopoly. This article empirically investigates whether relationship banks exploit this advantage by charging higher interest rates than those that would prevail were all banks symmetrically informed. My identification strategy hinges on the notion that larg...
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作者：Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen
作者单位：Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; HOGENT University College of Applied Sciences & Arts
摘要：We study the economic sources of stock-bond return comovements and their time variation using a dynamic factor model. We identify the economic factors employing a semistructural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macroeconomic fundamentals contribute little to explaining stock and...
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作者：Shivdasani, Anil; Stefanescu, Irina
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This article examines the capital structure implications of defined benefit corporate pension plans. The magnitude of the liabilities arising from these pension plans is substantial. We show that leverage ratios for firms with pension plans are about 35% higher when pension assets and liabilities are incorporated into the capital structure. We estimate that the tax shields from pension contributions are about a third of those from interest payments. Pension contributions have a modest effect i...
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作者：Griffin, John M.; Kelly, Patrick J.; Nardari, Federico
作者单位：State University System of Florida; University of South Florida; University of Texas System; University of Texas Austin; University of Houston System; University of Houston
摘要：Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets featur...
