Review of Financial Studies

最新文章

• Return Reversals, Idiosyncratic Risk, and Expected Returns AI翻译
  作者：Huang, Wei; Liu, Qianqiu; Rhee, S. Ghon; Zhang, Liang
  作者单位：University of Hawaii System; University of Hawaii Manoa; Sungkyunkwan University (SKKU); University of Melbourne
  摘要：The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias depends on the approach to estimating the conditional idiosyncratic volatility. Although a negative relation exists when the estimate is based on daily returns, it disappears after return reversals are contr...
• Dynamic Investment and Financing under Personal Taxation AI翻译
  作者：Morellec, Erwan; Schuerhoff, Norman
  作者单位：Swiss Finance Institute (SFI); University of Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
  摘要：In this paper we examine the effects of capital gains taxation on firms' investment and financing decisions. We develop a real-options model in which the timing of investment, the decision to default, and the firm's capital structure are endogenously and jointly determined. Our analysis demonstrates that the asymmetric taxation of capital gains and losses fosters investment by eroding the option value of waiting. It also shows that firms controlled by taxable investors employ more equity finan...
• Control of Corporate Decisions: Shareholders vs. Management AI翻译
  作者：Harris, Milton; Raviv, Artur
  作者单位：University of Chicago; Northwestern University
  摘要：This article addresses the issue of whether shareholders would be better off with enhanced control over corporate decisions. The issue has been hotly debated in the recent literature. Our main contribution is to use formal modeling to uncover some factors overlooked in these arguments. For example, we show that claims that shareholder control would reduce value because shareholders lack sufficient information to make important decisions or because they have a non-value-maximizing agenda are fl...
• Measurement Errors in Investment Equations AI翻译
  作者：Almeida, Heitor; Campello, Murillo; Galvao, Antonio F., Jr.
  作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; National Bureau of Economic Research; University of Iowa
  摘要：We use Monte Carlo simulations and real data to assess the performance of methods dealing with measurement error in investment equations. Our experiments show that fixed effects, error heteroscedasticity, and data skewness severely affect the performance and reliability of methods found in the literature. Estimators that use higher-order moments return biased coefficients for (both) mismeasured and perfectly measured regressors. These estimators are also very inefficient. Instrumental-variable...
• The Market Portfolio May Be Mean/Variance Efficient After All AI翻译
  作者：Levy, Moshe; Roll, Richard
  作者单位：Hebrew University of Jerusalem
  摘要：Numerous studies have examined the mean/variance efficiency of various market proxies by employing sample parameters and have concluded that these proxies are inefficient. These findings cast doubt about the capital asset pricing model (CAPM), one of the cornerstones of modern finance. This study adopts a reverse-engineering approach: given a particular market proxy, we find the minimal variations in sample parameters required to ensure that the proxy is mean/variance efficient. Surprisingly, ...
• Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes? AI翻译
  作者：Kaplan, Steven N.; Rauh, Joshua
  作者单位：University of Chicago; National Bureau of Economic Research
  摘要：We study how much of the top end of the income distribution is represented by four sectors non-financial-firm top executives (Main Street); investment bankers and hedge, private equity, and mutual fund investors (Wall Street); corporate lawyers; and athletes and celebrities. Wall Street individuals comprise a higher percentage of the top income brackets than nonfinancial executives of public companies. While top executives' representation in the top brackets has increased from 1994 to 2004, Wa...
• Do Foreigners Invest Less in Poorly Governed Firms? (Reprinted from The Review of Financial Studies, vol 22, pg 3245-3285, 2009) AI翻译
  作者：Leuz, Christian; Lins, Karl V.; Warnock, Francis E.
  作者单位：Utah System of Higher Education; University of Utah; University of Chicago; National Bureau of Economic Research; University of Virginia; National Bureau of Economic Research
  摘要：As domestic sources of outside finance are limited in many countries around the world, it is important to understand factors that influence whether foreign investors provide capital to a country's firms. We study 4,409 firms from twenty-nine countries to assess whether and why concerns about corporate governance result in fewer foreign holdings. We find that foreigners invest less in firms that reside in countries with poor outsider protection and disclosure and have ownership structures that ...
• Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? AI翻译
  作者：Kisgen, Darren J.; Strahan, Philip E.
  作者单位：Boston College; Boston College; University of Pennsylvania; National Bureau of Economic Research
  摘要：In February 2003, the U.S. Securities and Exchange Commission officially certified a fourth credit rating agency, Dominion Bond Rating Service (DBRS), for use in bond investment regulations. After DBRS certification, bond yields change in the direction implied by the firm's DBRS rating relative to its ratings from other certified rating agencies. A one-notch-higher DBRS rating corresponds to a 39-basis-point reduction in a firm's debt cost of capital. The impact on yields is driven by cases wh...
• A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns AI翻译
  作者：Hirshleifer, David; Jiang, Danling
  作者单位：University of California System; University of California Irvine; State University System of Florida; Florida State University
  摘要：Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. We use equity and debt financing to identify common misvaluation across firms. A zero-investment portfolio (UMO, undervalued minus overvalued) built from repurchase and issue firms captures comovement in returns beyond that in some standard multifactor models, and substantially improves the Sharpe ratio of the tangency portfolio. Loadings on UMO incrementally predict the cross-sectio...
• Is Default Risk Negatively Related to Stock Returns? AI翻译
  作者：Chava, Sudheer; Purnanandam, Amiyatosh
  作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
  摘要：We find a positive cross-sectional relationship between expected stock returns and default risk, contrary to the negative relationship estimated by prior studies. Whereas prior studies use noisy ex post realized returns to estimate expected returns, we use ex ante estimates based on the implied cost of capital. The results suggest that investors expected higher returns for bearing default risk, but they were negatively surprised by lower-than-expected returns on high default risk stocks in the...