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作者：Bessembinder, Hendrik; Kahle, Kathleen M.; Maxwell, William F.; Xu, Danielle
作者单位：Southern Methodist University; Utah System of Higher Education; University of Utah; University of Arizona; Gonzaga University
摘要：We analyze the empirical power and specification of test statistics designed to detect abnormal bond returns in corporate event studies, using monthly and daily data. We find that test statistics based on frequently used methods of calculating abnormal monthly bond returns are biased. Most methods implemented in monthly data also lack power to detect abnormal returns. We also consider unique issues arising when using the newly available daily bond data, and formulate and test methods to calcul...
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作者：Bhamra, Harjoat S.; Uppal, Raman
作者单位：University of British Columbia; University of London; London Business School
摘要：We study the effect of introducing a nonredundant derivative on the volatilities of the stock market return and the locally risk-free interest rate. Our analysis uses a standard, frictionless, full-information, dynamic, continuous-time, general-equilibrium, Lucas endowment economy in which there are two classes of agents who have time-additive power utility functions and differ only in their risk aversion. Our main result is to show analytically that if the intensity of the precautionary deman...
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作者：Braun, Matias; Larrain, Borja
作者单位：Pontificia Universidad Catolica de Chile
摘要：We show that the introduction of a large asset permanently affects the prices of existing assets in a market. Using data from 254 initial public offerings (IPOs) in 22 emerging markets, we find that portfolios that covary highly with the IPO experience a decline in prices relative to other portfolios during the month of the issue. The effects are stronger when the IPO is issued in a market that is less integrated internationally and when the IPO is bigger. This evidence is consistent with the ...
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作者：Jimenez, Gabriel; Lopez, Jose A.; Saurina, Jesus
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Banco de Espana
摘要：Since bank credit lines are a major source of corporate funding, we examine the determinants of their usage with a comprehensive database of Spanish corporate credit lines. A line's default status is a key factor driving its usage, which increases as firm financial conditions worsen. Firms with prior defaults access their credit lines less, suggesting that bank monitoring influences firms' usage decisions. Line usage has an aging effect that causes it to decrease by roughly 10% per year of its...
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作者：Bergstresser, Daniel; Chalmers, John M. R.; Tufano, Peter
作者单位：Harvard University; University of Oregon; National Bureau of Economic Research
摘要：Many investors purchase mutual funds through intermediated channels, paying brokers or financial advisors for fund selection and advice. This article attempts to quantify the benefits that investors enjoy in exchange for the costs of these services. We study broker-sold and direct-sold funds from 1996 to 2004, and fail to find that brokers deliver substantial tangible benefits. Relative to direct-sold funds, broker-sold funds deliver lower risk-adjusted returns, even before subtracting distrib...
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作者：Goto, Shingo; Watanabe, Masahiro; Xu, Yan
作者单位：Rice University; University of South Carolina System; University of South Carolina Columbia; University of Rhode Island
摘要：When a firm exercises discretion to disclose or withhold information (strategic disclosure), risk-averse investors command higher expected returns when expected cash flows decrease, producing a negative correlation between these expectations. Moreover, stock returns exhibit stronger reversal than they do when full disclosure is enforced. We propose a model that makes these predictions and provide consistent evidence using a panel of foreign firms that list American Depositary Receipts (ADRs). ...
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作者：Landier, Augustin; Nair, Vinay B.; Wulf, Julie
作者单位：Harvard University; New York University; University of Pennsylvania
摘要：We investigate whether the geographic dispersion of a firm affects corporate decision making. Our findings suggest that social factors work alongside informational considerations to make geography important to corporate decisions. We show that (i) geographically dispersed firms are less employee friendly; (ii) dismissals of divisional employees are less common in divisions located closer to corporate headquarters; and (iii) firms appear to adopt a pecking order and divest out-of-state entities...
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作者：Petersen, Mitchell A.
作者单位：Northwestern University
摘要：In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, researchers in the two literatures have used different solutions to this problem. This paper examines the different methods used in the literature and explains when the different methods yield the same (and correct) standard errors and when they diverge. The ...
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作者：Xuan, Yuhai
作者单位：Harvard University
摘要：This article investigates how the job histories of CEOs influence their capital allocation decisions when they preside over multidivisional firms. I find that, after CEO turnover, divisions not previously affiliated with the new CEO receive significantly more capital expenditures than divisions through which the new CEO has advanced. The pattern of reverse-favoritism in capital allocation is more pronounced if the new CEO has less authority or if the unaffiliated divisions have more bargaining...
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作者：Sarkissian, Sergei; Schill, Michael J.
作者单位：University of Virginia; McGill University
摘要：This paper tests whether foreign equity listings are associated with permanent valuation gains and examines how market and firm characteristics influence any valuation effects. Using a global sample of 1,676 listings placed in 25 countries, we find that much of the valuation gains to overseas listings are not permanent. The transitory nature of valuation gains holds for both average US listings and average first-time firm listings. We find little evidence of a permanent effect on returns for f...
