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作者：Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi
作者单位：New York University
摘要：We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, 2004), which produces reduced-bias coefficients and is easy to implement. The method's usefulness is demonstrated by simulations and by testing a model where stock returns are predicted by two variables, income-to-consumption and dividend yi...
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作者：Park, Kwangwoo; Pennacchi, George
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Korea Advanced Institute of Science & Technology (KAIST)
摘要：A model of multimarket spatial competition is developed where small, single-market banks compete with large, multimarket banks (LMBs) for retail loans and deposits. Consistent with empirical evidence, LMBs are assumed to set retail interest rates uniformly across markets, have different operating costs, and have access to wholesale funding. If LMBs have significant funding advantages that offset potential loan operating cost disadvantages, then market-extension mergers by LMBs promote loan com...
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作者：Petersen, Mitchell A.
作者单位：Northwestern University
摘要：In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, researchers in the two literatures have used different solutions to this problem. This paper examines the different methods used in the literature and explains when the different methods yield the same (and correct) standard errors and when they diverge. The ...
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作者：Sarkissian, Sergei; Schill, Michael J.
作者单位：University of Virginia; McGill University
摘要：This paper tests whether foreign equity listings are associated with permanent valuation gains and examines how market and firm characteristics influence any valuation effects. Using a global sample of 1,676 listings placed in 25 countries, we find that much of the valuation gains to overseas listings are not permanent. The transitory nature of valuation gains holds for both average US listings and average first-time firm listings. We find little evidence of a permanent effect on returns for f...
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作者：Ivashina, Victoria; Nair, Vinay B.; Saunders, Anthony; Massoud, Nadia; Stover, Roger
作者单位：Harvard University; University of Pennsylvania; New York University; York University - Canada; Iowa State University
摘要：In this paper, we investigate the disciplining role of banks and bank debt in the market for corporate control. We find that relationship bank lending intensity and bank client network have positive effects on the probability of a borrowing firm becoming a target. This effect is enhanced in cases where the target and acquirer have a relationship with the same bank. Moreover, we utilize an experiment to show that the effects of relationship bank lending intensity on takeover probability are not...
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作者：Baker, Malcolm; Foley, C. Fritz; Wurgler, Jeffrey
作者单位：New York University; National Bureau of Economic Research; Harvard University
摘要：Empirical evidence of imperfect integration across world capital markets suggests a role for cross-border arbitrage by multinationals. Consistent with multinational arbitrage as a determinant of foreign direct investment (FDI) patterns, we find that FDI flows increase sharply with source-country stock market valuations-025EFparticularly the component of valuations that is predicted to revert the next year, and particularly in the presence of capital account restrictions that limit other mechan...
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作者：Barber, Brad M.; Odean, Terrance; Zhu, Ning
作者单位：University of California System; University of California Davis
摘要：We study the trading of individual investors using transaction data and identifying buyer- or seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform stocks heavily sold by 4.4 percentage points the following year. (4) Over a weekly horizon, small t...
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作者：Han, Bing; Hirshleifer, David; Persons, John C.
作者单位：University System of Ohio; Ohio State University; University of California System; University of California Irvine; University of Texas System; University of Texas Austin
摘要：We analyze capital allocation in a conglomerate where divisional managers with uncertain abilities compete for promotion to CEO. A manager can sometimes gain by unobservably adding variance to divisional performance. Capital rationing can limit this distortion, increase productive efficiency, and allow the owner to make more accurate promotion decisions. Firms for which CEO talent is more important for firm performance are more likely to ration capital. A rationed manager is more likely to be ...
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作者：Cao, H. Henry; Ou-Yang, Hui
摘要：We analyze the effects of differences of opinion on the dynamics of trading volume in stocks and options. We find that disagreements about the mean of the current- and next-period public information lead to trading in stocks in the current period but have no effect on options trading. Without options, we find that disagreements about the precision of all past and current public information affect trading in stocks in the current period. With options, only disagreements about the precisions of ...
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作者：Polk, Christopher; Sapienza, Paola
作者单位：Center for Economic & Policy Research (CEPR); Northwestern University; University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We test a catering theory describing how stock market mispricing might influence individual firms' investment decisions. We use discretionary accruals as our proxy for mispricing. We find a positive relation between abnormal investment and discretionary accruals; that abnormal investment is more sensitive to discretionary accruals for firms with higher R&D intensity (opaque firms) or share turnover (firms with shorter shareholder horizons); that firms with high abnormal investment subsequently...
