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作者：Ahn, Dong-Hyun; Conrad, Jennifer; Dittmar, Robert F.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Seoul National University (SNU); University of Michigan System; University of Michigan
摘要：This paper proposes a new method of forming basis assets. We use return correlations to sort securities into portfolios and compare the inferences drawn from this set of basis assets with those drawn from other benchmark portfolios. The proposed set of portfolios appears capable of generating measures of risk-return trade-off that are estimated with a lower error. In tests of asset pricing models, we find that the returns of these portfolios are significantly and positively related to both CAP...
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作者：Bizjak, John; Lemmon, Michael; Whitby, Ryan
作者单位：Portland State University; Utah System of Higher Education; University of Utah; Hong Kong University of Science & Technology; Texas Tech University System; Texas Tech University
摘要：We examine the role of board connections in explaining how the controversial practice of backdating employee stock options spread to a large number of firms across a wide range of industries. The increase in the likelihood that a firm begins to backdate stock options that can be explained by having a board member who is interlocked to a previously identified backdating firm is approximately one-third of the unconditional probability of backdating in our sample. Our analysis provides new insigh...
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作者：Li, Erica X. N.; Livdan, Dmitry; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We take a simple g-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance waves, the negative relation between investment and average returns, long-term underperformance following equity issues, positive long-term drift following cash distributions, the mean-reverting operating...
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作者：Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias
作者单位：University of Warwick; AXA Group
摘要：This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian model averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empiri...
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作者：Brophy, David J.; Ouimet, Paige P.; Sialm, Clemens
作者单位：University of Texas System; University of Texas Austin; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：Hedge funds have become important investors in public companies raising equity privately. Hedge funds tend to finance companies that have poor fundamentals and pronounced information asymmetries. To compensate for these shortcomings, hedge funds protect themselves by requiring substantial discounts, negotiating repricing rights, and entering into short positions of the underlying stocks. We find that companies that obtain financing from hedge funds significantly underperform companies that obt...
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作者：Bharath, Sreedhar T.; Pasquariello, Paolo; Wu, Guojun
作者单位：University of Michigan System; University of Michigan; University of Houston System; University of Houston
摘要：Using a novel information asymmetry index based on measures of adverse selection developed by the market microstructure literature, we test whether information asymmetry is an important determinant of capital structure decisions, as suggested by the pecking order theory. Our index relies exclusively on measures of the market's assessment of adverse selection risk rather than on ex ante firm characteristics. We find that information asymmetry does affect the capital structure decisions of U.S. ...
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作者：Cooper, Ilan; Priestley, Richard
作者单位：BI Norwegian Business School; University of Haifa
摘要：The output gap, a production-based macroeconomic variable, is a strong predictor of U. S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a fad in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample, and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countrie...
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作者：Barclay, Michael J.; Holderness, Clifford G.; Sheehan, Dennis P.
作者单位：Boston College; University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Corporations uniquely have a tax preference for cash dividends. Nevertheless, dividends do not increase following trades of large-percentage blocks of stock from individuals to corporations. Moreover, although one-third of firms have corporate blockholders, 68% of these firms pay no dividends, and ownership is not clustered at levels that increase the tax benefits of dividends. These findings are not driven by the investing firms' tax rates or by agency problems. Instead, operating companies e...
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作者：Holderness, Clifford G.
作者单位：Boston College
摘要：This article offers evidence on the ownership concentration at a representative sample of U.S. public firms. Ninety-six percent of these firms have blockholders; these blockholders in aggregate own an average 39% of the common stock. The ownership of U.S. firms is similar to and by some measures more concentrated than the ownership of firms in other countries. These findings challenge current thinking on a number of issues, ranging from the nature of the agency conflict in domestic corporation...
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作者：Sufi, Amir
作者单位：University of Chicago
摘要：I examine the introduction of syndicated bank loan ratings by Moody's and Standard & Poor's in 1995 to evaluate whether third-party rating agencies affect firm financial and investment policy. The introduction of bank loan ratings leads to an increase in the use of debt by firms that obtain a rating, and also increases in firms' asset growth, cash acquisitions, and investment in working capital. Consistent with a causal effect of the ratings, the increase in debt usage and investment is concen...
