-
作者：Yim, Soojin
作者单位：Emory University
摘要：I demonstrate that acquisitions are accompanied by large, permanent increases in Chief Executive Officer (CEO) compensation, which create strong financial incentives for CEOs to pursue acquisitions earlier in their career. Accordingly, I document that a firm's acquisition propensity is decreasing in the age of its CEO: a firm with a CEO who is 20 years older is similar to 30% less likely to announce an acquisition. This negative effect of CEO age on acquisitions is strongest among firms where ...
-
作者：Jones, Christopher S.; Tuzel, Selale
作者单位：University of Southern California
摘要：We examine the relation between inventory investment and the cost of capital in the time series and the cross section. We find consistent evidence that risk premiums, rather than real interest rates, are strongly negatively related to future inventory growth at the aggregate, industry, and firm levels. The effect is stronger for firms in industries that produce durables rather than nondurables, exhibit greater cyclicality in sales, require longer lead times, and are subject to more technologic...
-
作者：Li, Yuanzhi
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：Past literature has assumed that negative stock returns around Chapter 11 filing are solely due to new adverse information about firm value. This paper argues that there is also a nonlinear wealth transfer from shareholders to creditors causing shareholder loss. The magnitude of the wealth transfer can be quantified in a setting where equity is a call option on firm assets as in the Merton (1974) model. The wealth transfer originates from maturity shortening of the call option as a result of C...
-
作者：Cohen, Alma; Wang, Charles C. Y.
作者单位：Tel Aviv University; National Bureau of Economic Research; Harvard University
摘要：The well-established negative correlation between staggered boards (SBs) and firm value could be due to SBs leading to lower value or a reflection of low-value firms' greater propensity to maintain SBs. We analyze the causal question using a natural experiment involving two Delaware court rulings separated by several weeks and going in opposite directions that affected the antitakeover force of SBs. We contribute to the long-standing debate on staggered boards by presenting empirical evidence ...
-
作者：Lan, Yingcong; Wang, Neng; Yang, Jinqiang
作者单位：Cornerstone Research; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously risk-averse and decreases leverage following poor performance to increase the fund's survival likelihood. Our calibration suggests that management fees are the majority of the total compensation. M...
-
作者：Joslin, Scott; Le, Anh; Singleton, Kenneth J.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Stanford University; National Bureau of Economic Research
摘要：This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor vector-autoregression (f...
-
作者：Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; Tauchen, George
作者单位：Duke University; National Bureau of Economic Research; Aarhus University; CREATES; Rice University
摘要：Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility index (VIX), coupled with frequency domain methods, we separate the series into various components. We find that the coherence b...
-
作者：Barber, Brad M.; De George, Emmanuel T.; Lehavy, Reuven; Trueman, Brett
作者单位：University of California System; University of California Davis; University of Michigan System; University of Michigan; University of California System; University of California Los Angeles
摘要：U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. A cross-country analysis finds that the premium is strongest in countries with the greatest increase in idiosyncratic volatili...
-
作者：Becker, Bo; Jacob, Marcus; Jacob, Martin
作者单位：Harvard University; National Bureau of Economic Research; WHU - Otto Beisheim School of Management
摘要：When corporate payout is taxed, internal equity (retained earnings) is cheaper than external equity (share issues). If there are no perfect substitutes for equity finance, payout taxes may therefore have an effect on the investment of firms. High taxes will favor investment by firms who can finance internally. Using an international panel with many changes in payout taxes, we show that this prediction holds well. Payout taxes have a large impact on the dynamics of corporate investment and grow...
-
作者：Massa, Massimo; Yasuda, Ayako; Zhang, Lei
作者单位：INSEAD Business School; University of California System; University of California Davis; Nanyang Technological University
摘要：We examine the effect of the bond capital supply uncertainty of institutional investors (e.g., mutual bond funds and insurance companies) on the leverage of the firm using a novel data set. Our main finding is that the supply uncertainty of the firm's bond investor base - measured as (i) the average portfolio turnover, or (ii) the average flow volatility of investors holding the firm's bonds, or (iii) the prevalence of mutual funds among the firm's bondholders as opposed to insurance companies...
