-
作者：Leuz, Christian; Lins, Karl V.; Warnock, Francis E.
作者单位：Utah System of Higher Education; University of Utah; University of Chicago; National Bureau of Economic Research; University of Virginia; National Bureau of Economic Research
摘要：As domestic sources of outside finance are limited in many countries around the world, it is important to understand factors that influence whether foreign investors provide capital to a country's firms. We study 4,409 firms from twenty-nine countries to assess whether and why concerns about corporate governance result in fewer foreign holdings. We find that foreigners invest less in firms that reside in countries with poor outsider protection and disclosure and have ownership structures that ...
-
作者：Kisgen, Darren J.; Strahan, Philip E.
作者单位：Boston College; Boston College; University of Pennsylvania; National Bureau of Economic Research
摘要：In February 2003, the U.S. Securities and Exchange Commission officially certified a fourth credit rating agency, Dominion Bond Rating Service (DBRS), for use in bond investment regulations. After DBRS certification, bond yields change in the direction implied by the firm's DBRS rating relative to its ratings from other certified rating agencies. A one-notch-higher DBRS rating corresponds to a 39-basis-point reduction in a firm's debt cost of capital. The impact on yields is driven by cases wh...
-
作者：Hirshleifer, David; Jiang, Danling
作者单位：University of California System; University of California Irvine; State University System of Florida; Florida State University
摘要：Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. We use equity and debt financing to identify common misvaluation across firms. A zero-investment portfolio (UMO, undervalued minus overvalued) built from repurchase and issue firms captures comovement in returns beyond that in some standard multifactor models, and substantially improves the Sharpe ratio of the tangency portfolio. Loadings on UMO incrementally predict the cross-sectio...
-
作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We find a positive cross-sectional relationship between expected stock returns and default risk, contrary to the negative relationship estimated by prior studies. Whereas prior studies use noisy ex post realized returns to estimate expected returns, we use ex ante estimates based on the implied cost of capital. The results suggest that investors expected higher returns for bearing default risk, but they were negatively surprised by lower-than-expected returns on high default risk stocks in the...
-
作者：Rapach, David E.; Strauss, Jack K.; Zhou, Guofu
作者单位：Washington University (WUSTL); Saint Louis University
摘要：Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting ability of individual predictive regression models, we recommend combining individual forecasts. Combining delivers statistically and economically significant out-of-sample gains relative to the historical...
-
作者：Butler, Alexander W.; Wan, Hong
作者单位：Rice University; State University of New York (SUNY) System; State University of New York (SUNY) - Oswego
摘要：Previous studies document that the stock returns of bond-issuing firms significantly underperform matched peers over the three to five years following issuance. We revisit this phenomenon and show that the underperformance is the result of an omitted return factor (a bad model problem). Debt issuers have significantly higher stock market liquidity than size and book-to-market matched counterparts, and differences in liquidity are largest for the worst-performing groups of issuers. When we addi...
-
作者：Hoberg, Gerard; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park
摘要：We use text-based analysis of 10-K product descriptions to examine whether firms exploit product market synergies through asset complementarities in mergers and acquisitions. Transactions are more likely between firms that use similar product market language. Transaction stock returns, ex post cash flows, and growth in product descriptions all increase for transactions with similar product market language, especially in competitive product markets. These gains are larger when targets are less ...
-
作者：Ross, David Gaddis
作者单位：Columbia University
摘要：Three large banks control over half of the U.S. commercial loan market by volume through the syndication process. Using attributes of a borrower's location to instrument for lender borrower matching, I show that the borrower stock price response to a loan announcement is more favorable if one of these dominant banks is the lender, especially if the borrower is opaque. I then show that these banks charge lower interest rates and are more likely to lend without the protection of a borrowing base...
-
作者：Branch, William A.; Evans, George W.
作者单位：University of California System; University of California Irvine; University of Oregon; University of St Andrews
摘要：This article advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide a framework in which agents, in an asset pricing model, underparameterize their forecasting model in a spirit similar to Hong, Stein, and Yu (2007) and Barberis, Shleifer, and Vishny (1998), except that the parameters of the forecasting model and the choice of predictor ar...
-
作者：Haselmann, Rainer; Pistor, Katharina; Vig, Vikrant
作者单位：University of London; London Business School; Columbia University; Johannes Gutenberg University of Mainz
摘要：The paper investigates the effect of legal change on the lending behavior of banks in twelve transition economies. First, we find that banks increase the supply of credit subsequent to legal change. Second, changes in collateral law matter more for increases in bank lending than do changes in bankruptcy law. We attribute this finding to the different functions of collateral and bankruptcy law. While the former enhances the likelihood that individual creditors can realize their claims against a...
