-
作者：Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu W.
作者单位：Boston University; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Oxford; University of Oxford; Office of Financial Research; United States Department of the Treasury
摘要：We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricin...
-
作者：Acharya, Viral V.; Steffen, Sascha
作者单位：New York University; European School of Management & Technology
摘要：We show that eurozone bank risks during 2007-2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond returns and negatively on German government bond returns, which generated carry until the deteriorating GIIPS bond returns adversely affected bank balance sheets. We find support for risk-shifting and regulatory arbitrage motives at banks in that carry trade behavior is stronger for large banks an...
-
作者：Durham, Garland; Geweke, John; Ghosh, Pulak
作者单位：California State University System; California Polytechnic State University San Luis Obispo; University of Technology Sydney; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Colorado State University System; Colorado State University Fort Collins; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO propose an innovative approach to filtering intende...
-
作者：Lyle, Matthew R.; Wang, Charles C. Y.
作者单位：Northwestern University; Harvard University
摘要：We provide a tractable model of firm-level expected holding period returns using two firm fundamentals-book-to-market ratio and return on equity-and study the cross-sectional properties of the model-implied expected returns. We find that firm-level expected returns and expected profitability are time-varying but highly persistent and that forecasts of holding period returns strongly predict the cross section of future returns up to three years ahead. We show a highly significant predictive poo...
-
作者：Malenko, Andrey; Malenko, Nadya
作者单位：Massachusetts Institute of Technology (MIT); Boston College
摘要：We develop a theory of leveraged buyout (LBO) activity based on two elements: the ability of private equity-owned firms to borrow against their sponsors' reputation with creditors and externalities in sponsors' reputations due to competition and club formation. In equilibrium, the two sources of value creation in LBOs, operational improvements and financing, are complements. Moreover, sponsors that never add operational value cannot add value through financing either. Club deals are beneficial...
-
作者：Krueger, Philipp
作者单位：University of Geneva; University of Geneva
摘要：Using a unique data set, I study how stock markets react to positive and negative events concerned with a firm's corporate social responsibility (CSR). I show that investors respond strongly negatively to negative events and weakly negatively to positive events. I then show that investors do value offsetting CSR, that is positive CSR news concerning firms with a history of poor stakeholder relations. In contrast, investors respond negatively to positive CSR news which is more likely to result ...
-
作者：Borisova, Ginka; Fotak, Veljko; Holland, Kateryna; Megginson, William L.
作者单位：Iowa State University; State University of New York (SUNY) System; University at Buffalo, SUNY; Bocconi University; Purdue University System; Purdue University; University of Oklahoma System; University of Oklahoma - Norman
摘要：We investigate how government equity ownership in publicly traded firms affects the cost of corporate debt. Using a sample of bond credit spreads from 43 countries over 1991 2010, we find that government ownership is generally associated with a higher cost of debt, consistent with state-induced investment distortions, but is associated with a lower cost of debt during financial crises and for firms more likely to be distressed, when implicit government guarantees become the dominant effect. Ou...
-
作者：Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio
作者单位：City St Georges, University of London; Duke University; National Bureau of Economic Research
摘要：We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the technique to extract real-time measures of inflation, output, employment, and macroeconomic sentiment, as well as corresponding measures of disagreement among economists about these indices. We find that our pr...
-
作者：El-Khatib, Rwan; Fogel, Kathy; Jandik, Tomas
作者单位：Zayed University; University of Arkansas System; University of Arkansas Fayetteville
摘要：We study the effects on M&A outcomes of CEO network centrality, which measures the extent and strength of a CEO's personal connections. High network centrality can allow CEOs to efficiently gather and control private information, facilitating value-creating acquisition decisions. We show, however, that M&A deals initiated by high-centrality CEOs, in addition to being more frequent, carry greater value losses to both the acquirer and the combined entity than deals initiated by low-centrality CE...
-
作者：Offenberg, David; Pirinsky, Christo
作者单位：Loyola Marymount University; Cornerstone Research
摘要：Tender offers provide the advantage of substantially faster completion times than mergers. However, a tender offer signals to the target higher demand for its shares and raises its reservation price. In equilibrium, bidders tradeoff speed and cost. Consistent with this theory, we show that deals in more competitive environments and deals with fewer external impediments on execution are more likely to be structured as tender offers. Tender offers also require higher premiums than mergers. Final...
