-
作者：Aggarwal, Reena; Erel, Isil; Stulz, Rene; Williamson, Rohan
作者单位：University System of Ohio; Ohio State University; Georgetown University; National Bureau of Economic Research
摘要：We construct a firm-level governance index that increases with minority shareholder protection. Compared with U.S. matching firms, only 12.68% of foreign firms have a higher index. The value of foreign firms falls as their index decreases relative to the index of matching U.S. firms. Our results suggest that lower country-level investor protection and other country characteristics make it suboptimal for foreign firms to invest as much in governance as U.S. firms do. Overall, we find that minor...
-
作者：Cronqvist, Henrik; Fahlenbrach, Ruediger
作者单位：University System of Ohio; Ohio State University
摘要：We analyze the effects of heterogeneity across large shareholders, using a new blockholder-firm panel dataset in which we can track all unique blockholders among large public firms in the United States. We find statistically significant and economically important blockholder fixed effects in investment, financial, and executive compensation policies. We also find blockholder fixed effects in firm performance measures, and differences in corporate policies are systematically related to differen...
-
作者：Ljungqvist, Alexander; Marston, Felicia; Wilhelm, William J., Jr.
作者单位：New York University; University of Virginia
摘要：We show that relatively optimistic research and even the mere provision of research coverage for the issuer (regardless of its direction) attract co-management appointments for securities offerings. Co-management appointments are valuable because they help banks establish relationships with issuers. These relationships, in turn, substantially increase the banks' chances of winning more lucrative lead-management mandates in the future. This is true even in the presence of historically exclusive...
-
作者：Ludvigson, Sydney C.; Ng, Serena
作者单位：New York University; National Bureau of Economic Research; Columbia University
摘要：Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the methodology of dynamic factor analysis for large datasets to investigate possible empirical linkages between forecastable variation in excess bond returns and macroeconomic fundamentals. We find that real and inflation factors have important forecasting power for future excess returns on U.S. government bonds, above and beyond the predictive power ...
-
作者：Eisfeldt, Andrea L.; Rampini, Adriano A.
作者单位：Duke University; Northwestern University
摘要：This paper studies the financing role of leasing and secured lending. We argue that the benefit of leasing is that repossession of a leased asset is easier than foreclosure on the collateral of a secured loan, which implies that leasing has higher debt capacity than secured lending. However, leasing involves agency costs due to the separation of ownership and control. More financially constrained firms value the additional debt capacity more and hence lease more of their capital than less cons...
-
作者：Barber, Brad M.; Odean, Terrance; Zhu, Ning
作者单位：University of California System; University of California Davis
摘要：We study the trading of individual investors using transaction data and identifying buyer- or seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform stocks heavily sold by 4.4 percentage points the following year. (4) Over a weekly horizon, small t...
-
作者：Berger, Allen N.; Bouwman, Christa H. S.
作者单位：University of Pennsylvania; University System of Ohio; Case Western Reserve University; University of South Carolina System; University of South Carolina Columbia; Tilburg University
摘要：Although the modem theory of financial intermediation portrays liquidity creation as an essential role of banks, comprehensive measures of bank liquidity creation do not exist. We construct four measures and apply them to data on virtually all U.S. banks from 1993 to 2003. We find that bank liquidity creation increased every year and exceeded $2.3 trillion in 2003. Large banks, multibank holding company members, retail banks, and recently merged banks created the most liquidity. Bank liquidity...
-
作者：Chen, Long; Collin-Dufresne, Pierre; Goldstein, Robert S.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Michigan State University; Columbia University; National Bureau of Economic Research
摘要：Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this credit spread puzzle can be resolved if one accounts for the fact that default rates and Sharpe ratios strongly covary; both are high during recessions and low during booms. As a specific example, we investigate credit spread implications of the Campbell and Cochrane (1999) pricing kernel c...
-
作者：Comer, George; Larrymore, Norris; Rodriguez, Javier
作者单位：Georgetown University; Quinnipiac University; University of Puerto Rico
摘要：We examine whether explicitly controlling for the fixed-income exposure of mutual funds affects conclusions drawn in performance assessment. We focus on daily return data from two hybrid mutual fund samples. Comparing abnormal performance estimates from the Carhart (1997) model to extensions designed to correct for bond holdings, we find that the estimates within one of our samples change from positive to significantly negative. Additional evidence indicates that cash flows to the funds are mo...
-
作者：Hege, Ulrich; Lovo, Stefano; Slovin, Myron B.; Sushka, Marie E.
作者单位：Hautes Etudes Commerciales (HEC) Paris; Arizona State University; Arizona State University-Tempe
摘要：We develop a two-sided asymmetric information model of asset sales that incorporates the key differences from mergers and allows the information held by each party to be impounded in the transaction. The buyer's information is conveyed through a first-stage competitive auction. A seller with unfavorable information about the asset accepts the cash offer of the highest bidder. A seller with favorable information proposes a take-it-or-leave-it counteroffer that entails buyer equity. Thus, the ca...
