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作者：Manso, Gustavo
作者单位：University of California System; University of California Berkeley
摘要：Rating agencies are often criticized for being biased in favor of borrowers, for being too slow to downgrade following credit quality deterioration, and for being oligopolists. Based on a model that takes into account the feedback effects of credit ratings, I show that: (i) rating agencies should focus not only on the accuracy of their ratings but also on the effects of their ratings on the probability of survival of the borrower; (ii) even when rating agencies pursue an accurate rating policy...
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作者：Agrawal, Ashwini K.
作者单位：New York University
摘要：Recent studies have debated the impact of investor protection law on corporate behavior and value. I exploit the staggered passage of state securities fraud statutes (blue sky laws) in the United States to estimate the causal effects of investor protection law on firm financing decisions and investment activity. The statutes induce firms to increase dividends, issue equity, and grow in size. The laws also facilitate improvements in operating performance and market valuations. Overall, the evid...
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作者：Loughran, Tim; McDonald, Bill
作者单位：University of Notre Dame
摘要：Form S-1 is the first SEC filing in the initial public offering (IPO) process. The tone of the S-1, in terms of its definitiveness in characterizing the firm's business strategy and operations, should affect investors' ability to value the IPO. We find that IPOs with high levels of uncertain text have higher first-day returns, absolute offer price revisions, and subsequent volatility. Our findings provide empirical evidence for the theoretical models of uncertainty, bookbuilding, and prospect ...
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作者：Schwartz-Ziv, Miriam; Weisbach, Michael S.
作者单位：Northeastern University; Harvard University; Michigan State University; Michigan State University's Broad College of Business; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We analyze a unique database from a sample of real-world boardrooms - minutes of board meetings and board-committee meetings of eleven business companies for which the Israeli government holds a substantial equity interest. We use these data to evaluate the underlying assumptions and predictions of models of boards of directors. These models generally fall into two categories: managerial models that assume boards play a direct role in managing the firm, and supervisory models that assume that ...
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作者：Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：McMaster University; University of Toronto; Universite de Montreal; University of Texas System; University of Texas Dallas
摘要：This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution to some...
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作者：Custodio, Claudia; Ferreira, Miguel A.; Matos, Pedro
作者单位：Arizona State University; Arizona State University-Tempe; Universidade Nova de Lisboa; University of Virginia
摘要：We show that pay is higher for chief executive officers (CEOs) with general managerial skills gathered during lifetime work experience. We use CEOs' resumes of Standard and Poor's 1,500 firms from 1993 through 2007 to construct an index of general skills that are transferable across firms and industries. We estimate an annual pay premium for generalist CEOs (those with an index value above the median) of 19% relative to specialist CEOs, which represents nearly a million dollars per year. This ...
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作者：Watanabe, Akiko; Xu, Yan; Yao, Tong; Yu, Tong
作者单位：University of Alberta; University of Rhode Island; University of Iowa
摘要：Firms with higher asset growth rates subsequently experience lower stock returns in international equity markets, consistent with the U.S. evidence. This negative effect of asset growth on returns is stronger in more developed capital markets and markets where stocks are more efficiently priced, but is unrelated to country characteristics representing limits to arbitrage, investor protection, and accounting quality. The evidence suggests that the cross-sectional relation between asset growth a...
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作者：Belo, Frederico; Gala, Vito D.; Li, Jun
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of London; London Business School; University of Texas System; University of Texas Dallas
摘要：Using a novel measure of industry exposure to government spending, we show predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite pattern holds true during Republican presidencies. Business cycles, firm characteristics, and standard risk factors do not account for the pattern in returns across presidencies. An investment strategy that expl...
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作者：D'Amico, Stefania; King, Thomas B.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure. Using security-level data on Treasury prices and quantities during the course of this program, we document a 'local supply' effect in the yield curve yields within a particular maturity ...
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作者：Bereskin, Frederick L.; Cicero, David C.
作者单位：University of Delaware; University of Tennessee System; University of Tennessee Knoxville
摘要：We examine how Chief Executive Officer (CEO) compensation increased at a subset of firms in response to a governance shock that affected compensation levels at other firms in the economy. We first show that Delaware-incorporated firms with staggered boards and no outside blockholders increased CEO compensation following the mid-1990s Delaware legal cases that strengthened their ability to resist hostile takeovers. Consistent with the Gabaix and Landier (2008) contagion hypothesis, non-Delaware...
