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作者：Karpoff, Jonathan M.; Schonlau, Robert; Suzuki, Katsushi
作者单位：University of Washington; University of Washington Seattle; Colorado State University System; Colorado State University Fort Collins; Hitotsubashi University
摘要：Shareholder perks are in-kind gifts or purchase discounts that disproportionately reward small shareholders. Data from Japanese firms indicate that firms initiating perk programs attract individual retail shareholders and experience increases in share values. We find support for three channels by which perks increase firm value: an increase in share liquidity, a decrease in the equity cost of capital, and signaling to investors. A fourth channel, by which perks help to market the firm's produc...
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作者：Winton, Andrew; Yerramilli, Vijay
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Houston System; University of Houston
摘要：Banks face liquidity and capital pressures that favor selling off the loans they originate, but loan sales undermine their monitoring incentives. A bank's loan default history is a noisy measure of its past monitoring choices, which can serve as a reputation mechanism to incentivize current monitoring. In equilibrium, higher reputation banks monitor (weakly) more intensively; if retention is credible, they generally retain less of the loans they originate. Monitoring is difficult to sustain in...
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作者：DeMarzo, Peter M.; Frankel, David M.; Jin, Yu
作者单位：Stanford University; Shanghai University of Finance & Economics
摘要：A privately informed seller seeks to liquidate a portfolio to raise cash. Each asset's liquidity thus depends on the impact of its sale on the value of the entire portfolio. We demonstrate the importance of cross-signaling and derive sufficient conditions for a liquidity pecking order that determines the order of sale. For assets backed by a common pool, liquidity naturally aligns with seniority. Finally, we extend the portfolio liquidation game to consider security design and demonstrate the ...
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作者：Gantchev, Nickolay; Giannetti, Mariassunta
作者单位：University of Warwick; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Stockholm School of Economics
摘要：We show that there is cross-sectional variation in the quality of shareholder proposals. On average, proposals submitted by the most active individual sponsors are less likely to receive majority support, but they occasionally pass if shareholders mistakenly support them and may even be implemented due to directors' career concerns. While gadfly proposals destroy shareholder value if they pass, shareholder proposals on average are value enhancing in firms with more informed shareholders. We co...
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作者：Cai, Jinghan; He, Jibao; Jiang, Wenxi; Xiong, Wei
作者单位：University of Scranton; Shenzhen Stock Exchange (SZSE); Chinese University of Hong Kong; Princeton University; National Bureau of Economic Research
摘要：To dampen trading frenzy in the stock market, the Chinese government tripled the stamp tax for stock trading on May 30, 2007. The greatly increased trading cost triggered a migration of the trading frenzy from the stock market to the warrant market, which was not subject to the stamp tax. This migration exacerbated a price bubble in the warrant market. Our analysis of investor account data uncovers not only large inflows of new investors to the warrant market but also greatly intensified tradi...
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作者：Dangl, Thomas; Zechner, Josef
作者单位：Technische Universitat Wien; Vienna University of Economics & Business
摘要：This paper shows that short debt maturities commit equityholders to leverage reductions when refinancing expiring debt in low-profitability states. However, shorter maturities lead to higher transaction costs since larger amounts of expiring debt need to be refinanced. We show that this trade-off between higher expected transaction costs against the commitment to reduce leverage in low-profitability states motivates an optimal maturity structure of corporate debt. Since firms with high costs o...
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作者：Iliev, Peter; Kalodimos, Jonathan; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Oregon State University; Drexel University
摘要：Using unique data on investor views of EDGAR company filings, we document that many investors engage in governance research. However, investors' monitoring is disproportionately focused on large firms and firms with meetings outside the busy spring proxy season. Using an instrumental variables approach that isolates the drop in governance attention during the busy proxy season, we show that governance research is related to investors' monitoring of firms, through voice and exit. Moreover, gove...
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作者：Carletti, Elena; Colla, Paolo; Gulati, Mitu; Ongena, Steven
作者单位：Bocconi University; Duke University; Swiss Finance Institute (SFI); University of Zurich; KU Leuven
摘要：We analyze the price effect of the introduction of collective action clauses (CACs) in newly issued sovereign bonds of eurozone countries as of January 1, 2013. By allowing a majority of creditors to modify payment obligations, such clauses reduce the likelihood of holdouts, while facilitating strategic default by the sovereign. We find that CAC bonds trade in the secondary market at lower yields than otherwise similar no-CAC bonds. The yield differential widens in countries with worse ratings...
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作者：Zviadadze, Irina
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper develops a methodology to test structural asset pricing models based on their implications for the multiperiod risk-return trade-off. A new measure, the term structure of risk, captures the sensitivities of multiperiod expected returns to structural shocks. The level and slope of the term structure of risk can indicate misspecification in equilibrium models. I evaluate the performance of asset pricing models with long-run risk, consumption disasters, and variance shocks. I find that...
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作者：Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In a novel model mining experiment, we data mine hundreds of randomly constructed three-factor models and find that many outperform well-known models from the literature, including those with four and five factors. The results provide compelling evidence that the threshold of factor model success needs to be raised. Confidence intervals for model rankings, derived from a bootstrap simulation, offer new insights into the consistency of a model's pricing ability. Rankings for some well-known mod...
