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作者：Braggion, Fabio; Moore, Lyndon
作者单位：Universite de Montreal; Tilburg University
摘要：Miller and Modigliani (1961) show that in perfect and complete financial markets a firm's value is unaffected by its dividend policy. Much of the more recent research has demonstrated that dividend policy becomes important in the presence of taxation, asymmetric information, incomplete contracts, institutional constraints, and transaction costs. By examining the effects of dividend policies on 475 British firms existing between 1895 and 1905, and consequently operating in an environment of ver...
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作者：Garcia, Diego; Sangiorgi, Francesco
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Stockholm School of Economics
摘要：We study information sales in financial markets with strategic risk-averse traders. The optimal selling mechanism is one of the following two: (i) sell to as many agents as possible very imprecise information; (ii) sell to a small number of agents information as precise as possible. As risk-sharing considerations prevail over the negative effects of competition, the newsletters or rumors associated with (i) dominate the exclusivity contract in (ii). These allocations of information have implic...
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作者：Li, Dongmei
作者单位：University of California System; University of California San Diego
摘要：Through the interaction between financial constraints and R&D, I study two asset-pricing puzzles: mixed evidence on the financial constraints-return relation and the positive R&D-return relation. Unlike capital investment, R&D is more inflexible. A financially constrained R&D-intensive firm is more likely to suspend/discontinue R&D projects. Therefore, R&D-intensive firms' risk increases with their financial constraints. Conversely, constrained firms' risk increases with their R&D intensity. I...
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作者：Duffee, Gregory R.
作者单位：Johns Hopkins University
摘要：Standard approaches to building and estimating dynamic term structure models rely on the assumption that yields can serve as the factors. However, the assumption is neither theoretically necessary nor empirically supported. This article documents that almost half of the variation in bond risk premia cannot be detected using the cross-section of yields. Fluctuations in this hidden component have strong forecast power for both future short-term interest rates and excess bond returns. They are al...
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作者：Banerjee, Snehal
作者单位：Northwestern University
摘要：The article develops a dynamic model that nests the rational expectations (RE) and differences of opinion (DO) approaches to study how investors use prices to update their valuations. When investors condition on prices (RE), investor disagreement is related positively to expected returns, return volatility, and market beta, but negatively to return autocorrelation. When investors do not use prices (DO), these relations are reversed. Tests of these predictions on the cross-section of stocks usi...
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作者：Edmans, Alex; Gabaix, Xavier
作者单位：University of Pennsylvania; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：This article develops a framework that delivers tractable (i.e., closed-form) optimal contracts, with few restrictions on the utility function, cost of effort, or noise distribution. By modeling the noise before the action in each period, we force the contract to provide correct incentives state-by-state, rather than merely on average. This tightly constrains the set of admissible contracts and allows for a simple solution to the contracting problem. Our results continue to hold in continuous ...
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作者：Ghent, Andra C.; Kudlyak, Marianna
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We quantify the effect of recourse on default and find that recourse affects default by lowering the borrower's sensitivity to negative equity. At the mean value of the default option for defaulted loans, borrowers are 30% more likely to default in non-recourse states. Furthermore, for homes appraised at $500,000 to $750,000, borrowers are twice as likely to default in non-recourse states. We also find that defaults are more likely to occur through a lender-friendly procedure, such as a deed i...
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作者：Ball, Eric; Chiu, Hsin Hui; Smith, Richard
作者单位：University of California System; University of California Riverside; California State University System; California State University Northridge; Claremont Colleges; Claremont Graduate University
摘要：We use a sample of 8,163 venture-backed companies over three decades to test the competing hypotheses that levels and relative shares of IPO (initial public offering) and M&A(mergers and acquisitions) exits are affected by market timing, versus pseudo-market timing that reflects market conditions. We find evidence of pseudo-market timing. Venture-backed issuers react to market or sector runups but do not predict downturns. We find no evidence that firm-specific market timing contributes to IPO...
