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作者：Henry, Tyler R.; Koski, Jennifer L.
作者单位：University of Washington; University of Washington Seattle; University System of Georgia; University of Georgia
摘要：We use daily short-selling data to examine whether short selling around seasoned equity offerings (SEOs) reflects informed or manipulative trading. Around SEO announcements, we find no evidence of informed short selling. Around issue dates, higher levels of pre-issue short selling are significantly related to larger issue discounts for non-shelf-registered offerings. This evidence is consistent with manipulative trading. We show that SEC Rule 105 constrains some but not all manipulative tradin...
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作者：Jiang, Wei; Li, Kai; Shao, Pei
作者单位：Columbia University; University of British Columbia; University of Northern British Columbia
摘要：This article provides a comprehensive analysis of a new and increasingly important phenomenon: the simultaneous holding of both equity and debt claims of the same company by non-commercial banking institutions (dual holders). The presence of dual holders offers a unique opportunity to assess the existence and magnitude of shareholder-creditor conflicts. We find that syndicated loans with dual holder participation have loan yield spreads that are 18-32 bps lower than those without. The differen...
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作者：Ozbas, Oguzhan; Scharfstein, David S.
作者单位：University of Southern California; Harvard University; National Bureau of Economic Research
摘要：This article documents differences between the Q-sensitivity of investment of stand-alone firms and unrelated segments of conglomerate firms. Unrelated segments exhibit lower Q-sensitivity of investment than stand-alone firms. This fact is driven by unrelated segments of conglomerate firms that tend to invest less than stand-alone firms in high-Q industries. This finding is robust to matching on industry, year, size, age, and profitability. The differences are more pronounced in conglomerates ...
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作者：Basak, Suleyman; Chabakauri, Georgy
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging deman...
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作者：Huang, Wei; Liu, Qianqiu; Rhee, S. Ghon; Zhang, Liang
作者单位：University of Hawaii System; University of Hawaii Manoa; Sungkyunkwan University (SKKU); University of Melbourne
摘要：The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias depends on the approach to estimating the conditional idiosyncratic volatility. Although a negative relation exists when the estimate is based on daily returns, it disappears after return reversals are contr...
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作者：Morellec, Erwan; Schuerhoff, Norman
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：In this paper we examine the effects of capital gains taxation on firms' investment and financing decisions. We develop a real-options model in which the timing of investment, the decision to default, and the firm's capital structure are endogenously and jointly determined. Our analysis demonstrates that the asymmetric taxation of capital gains and losses fosters investment by eroding the option value of waiting. It also shows that firms controlled by taxable investors employ more equity finan...
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作者：Harris, Milton; Raviv, Artur
作者单位：University of Chicago; Northwestern University
摘要：This article addresses the issue of whether shareholders would be better off with enhanced control over corporate decisions. The issue has been hotly debated in the recent literature. Our main contribution is to use formal modeling to uncover some factors overlooked in these arguments. For example, we show that claims that shareholder control would reduce value because shareholders lack sufficient information to make important decisions or because they have a non-value-maximizing agenda are fl...
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作者：Almeida, Heitor; Campello, Murillo; Galvao, Antonio F., Jr.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; National Bureau of Economic Research; University of Iowa
摘要：We use Monte Carlo simulations and real data to assess the performance of methods dealing with measurement error in investment equations. Our experiments show that fixed effects, error heteroscedasticity, and data skewness severely affect the performance and reliability of methods found in the literature. Estimators that use higher-order moments return biased coefficients for (both) mismeasured and perfectly measured regressors. These estimators are also very inefficient. Instrumental-variable...
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作者：Levy, Moshe; Roll, Richard
作者单位：Hebrew University of Jerusalem
摘要：Numerous studies have examined the mean/variance efficiency of various market proxies by employing sample parameters and have concluded that these proxies are inefficient. These findings cast doubt about the capital asset pricing model (CAPM), one of the cornerstones of modern finance. This study adopts a reverse-engineering approach: given a particular market proxy, we find the minimal variations in sample parameters required to ensure that the proxy is mean/variance efficient. Surprisingly, ...
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作者：Kaplan, Steven N.; Rauh, Joshua
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We study how much of the top end of the income distribution is represented by four sectors non-financial-firm top executives (Main Street); investment bankers and hedge, private equity, and mutual fund investors (Wall Street); corporate lawyers; and athletes and celebrities. Wall Street individuals comprise a higher percentage of the top income brackets than nonfinancial executives of public companies. While top executives' representation in the top brackets has increased from 1994 to 2004, Wa...
