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作者：Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj
作者单位：INSEAD Business School; Stanford University; Harvard University
摘要：We use a data set of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario-based valuations captures the riskiness of operations and predicts the absolute magnitude of long-run valuation errors and future changes in firm fundamentals. We also show that analysts' assessment of fundamental risk and its predictive ability systematically imp...
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作者：Levine, Ross; Lin, Chen; Xie, Wensi
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Hong Kong; Chinese University of Hong Kong
摘要：Do stock markets act as a spare tire during banking crises, providing an alternative corporate financing channel and mitigating the economic severity of these crises? Using firm level data in 36 countries from 1990 through 2011, we find that the adverse consequences of banking crises on equity issuances, firm profitability, employment, and investment efficiency are smaller in countries with stronger shareholder protection laws. These findings are not explained by the development of stock marke...
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作者：Birru, Justin; Wang, Baolian
作者单位：University System of Ohio; Ohio State University; Fordham University
摘要：We explore the psychology of stock price levels and provide evidence that investors suffer from a nominal price illusion in which they overestimate the room to grow for low-priced stocks relative to high-priced stocks. While it has become increasingly clear that nominal price levels influence investor behavior, why prices matter to investors is a question that as of yet has gone unanswered. We find widespread evidence that investors systematically overestimate the skewness of low-priced stocks...
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作者：Campbell, T. Colin; Galpin, Neal; Johnson, Shane A.
作者单位：University System of Ohio; Miami University; University of Melbourne; Texas A&M University System; Texas A&M University College Station
摘要：We use firm and chief executive officer (CEO) characteristics motivated by optimal contracting theory to estimate optimal CEO relative debt-equity incentive ratios. Equity values rise as firms adjust CEO incentive ratios toward their predicted optimums, whether that increases or decreases the relative incentive ratio. Debt values rise as firms adjust ratios upward and do not fall as they adjust them downward. Our predicted optimums explain changes in equity and debt values better than a model ...
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作者：Mullins, William; Schoar, Antoinette
作者单位：University System of Maryland; University of Maryland College Park; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using a survey of 800 Chief Executive Officers (CEOs) in 22 emerging economies, we show that CEOs' management styles and philosophies vary with the ownership and governance structure of their firms. Founders and CEOs of firms with greater family involvement display a greater stakeholder focus, and feel more accountable to employees and banks than to shareholders. They also have a more hierarchical management approach, and see their role as maintaining the status quo rather than bringing about ...
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作者：Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University; National Bureau of Economic Research
摘要：Many have argued that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds' holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors' beliefs. During the 2003-2007 mortgage boom, inexperienced fund managers loaded up on securitizations linked to nonprime mortgages, accumulating twice the holdings of more seasoned managers. Mo...
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作者：Geske, Robert; Subrahmanyam, Avanidhar; Zhou, Yi
作者单位：University of California System; University of California Los Angeles; California State University System; San Francisco State University
摘要：We examine whether values of equity options traded on individual firms are sensitive to the firm's capital structure. We estimate the compound option (CO) model, which views equity as an option on the firm. Compared with the Black-Scholes model, the CO model with a term structure of volatility (TSV) reduces pricing errors by 20% on average. The compound option effect is particularly strong for highly levered firms and long-term options, in which the pricing improvement is up to 70% of the Blac...
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作者：Appel, Ian R.; Gormley, Todd A.; Keim, Donald B.
作者单位：Boston College; University of Pennsylvania
摘要：Passive institutional investors are an increasingly important component of U.S. stock ownership. To examine whether and by which mechanisms passive investors influence firms' governance, we exploit variation in ownership by passive mutual funds associated with stock assignments to the Russell 1000 and 2000 indexes. Our findings suggest that passive mutual funds influence firms' governance choices, resulting in more independent directors, removal of takeover defenses, and more equal voting righ...
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作者：Rajan, Raghuram; Ramcharan, Rodney
作者单位：University of Chicago; Reserve Bank of India; University of Southern California; University of Southern California
摘要：Using differences in regulation as a means of identification, we find that a reduction in local financial intermediation capacity reduces the recovery rates on assets of failing banks. It also depresses local land prices and is associated with subsequent distress in nearby banks. Fire sales appear to be one channel through which lower local intermediation capacity reduces the recovery rates on failed banks' assets. The paper provides a rationale for why bank failures are contagious, and why th...
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作者：Aslan, Hadiye; Kumar, Praveen
作者单位：University System of Georgia; Georgia State University; University of Houston System; University of Houston
摘要：We examine the product market spillover effects of hedge fund activism (HFA) on the industry rivals of target firms. HFA has negative real and stockholder wealth effects on the average rival firm. The effects on rivals' product market performance is commensurate with post-activism improvements in target's productivity, cost and capital allocation efficiency, and product differentiation. Financially constrained rivals accommodate these improvements but those facing high intervention threat resp...
