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作者：Kumar, Praveen; Sivaramakrishnan, K.
作者单位：University of Houston System; University of Houston
摘要：Recent corporate governance reforms focus on the board's independence and encourage equity ownership by directors. We analyze the efficacy of these reforms in a model in which both adverse selection and moral hazard exist at the level of the firm's management. Delegating governance to the board improves monitoring but creates another agency problem because directors themselves avoid effort and are dependent on the CEO. We show that as directors become less dependent on the CEO, their monitorin...
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作者：Bhattacharya, Utpal; Yu, Xiaoyun
作者单位：Indiana University System; Indiana University Bloomington
摘要：On August 12-13, 2005, the department of finance at the Kelley School of Business, Indiana University, collaborated with the Review of Financial Studies to host a conference titled The Causes and Consequences of Recent Financial Market Bubbles. This article begins with our overview of the themes and findings of the conference, and it ends with the questions that the literature has yet to answer.
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作者：Kempf, Alexander; Ruenzi, Stefan
作者单位：University of Cologne; University of Cologne
摘要：We examine intrafirm competition in the mutual-fund industry. We test the hypothesis that fund managers within mutual-fund families compete with each other in a tournament. Our empirical study of the US equity mutual-fund market shows that they adjust the risk they take depending on the relative position within their fund family. The direction of the adjustment depends on the competitive situation in that family. Risk adjustments are particularly pronounced among managers of funds with high ex...
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作者：Kadan, Ohad; Swinkels, Jeroen M.
作者单位：Washington University (WUSTL)
摘要：We consider the choice between stocks and options to provide effort incentives to a risk-averse manager. We show that stocks can dominate options as a means of motivation only if nonviability risk is substantial, as in financially distressed firms or start-ups. Options dominate stocks for other firms. These results hold regardless of the existing portfolio of the manager. We provide empirical evidence that higher bankruptcy risk is indeed correlated with more use of stock.
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作者：Lee, Suzanne S.; Mykland, Per A.
作者单位：University System of Georgia; Georgia Institute of Technology; University of Chicago
摘要：This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dynamics and their distributions in the U. S. equity markets. The results show that individual stock jumps are associated with prescheduled earnings announcements and other company-specific news events...
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作者：Xing, Yuhang
作者单位：Rice University
摘要：This article interprets the well-known value effect through the implications of standard Q-theory. An investment growth factor, defined as the difference in returns between low-investment stocks and high-investment stocks, contains information similar to the Fama and French (1993) value factor (HML), and can explain the value effect about as well as HML. In the cross-section, portfolios of firms with low investment growth rates (IGRs) or low investment-to-capital ratios have significantly high...
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作者：Song, Fenghua; Thakor, Anjan V.
作者单位：Washington University (WUSTL)
摘要：We address a fundamental question in relationship banking: why do banks that make relationship loans finance themselves primarily with core deposits and when would it be optimal to finance such loans with purchased money? We show that not only are relationship loans informationally opaque and illiquid, but they also require the relationship between the bank and the borrower to endure in order for the bank to add value. However, the informational opacity of relationship loans gives rise to endo...
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作者：Mitton, Todd; Vorkink, Keith
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT)
摘要：We develop a one-period model of investor asset holdings where investors have heterogeneous preference for skewness. Introducing heterogeneous preference for skewness allows the model's investors, in equilibrium, to underdiversify. We find support for our model's three key implications using a dataset of 60,000 individual investor accounts. First, we document that the portfolio returns of underdiversified investors are substantially more positively skewed than those of diversified investors. S...
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作者：Ang, Andrew; Bekaert, Geert
作者单位：Columbia University; National Bureau of Economic Research
摘要：We examine the predictive power of the di backslash vidend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and ...
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作者：Eaves, James; Williams, Jeffrey
作者单位：University of California System; University of California Davis; Rutgers University System; Rutgers University New Brunswick
摘要：The Tokyo Grain Exchange (TGE)'s itayose mechanism provides the opportunity to analyze functioning Walrasian tatonnement auctions (WTA). In 15,677 auctions conducted over 1997-1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous double auctions. Provisional prices and pledges are informative. In contrast to behavior observed in experiments, few pledges are deceptive, because the traders participate repeatedly and because the auctio...
