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作者：Wintoki, M. Babajide; Linck, James S.; Netter, Jeffry M.
作者单位：University of Kansas; Southern Methodist University; University System of Georgia; University of Georgia
摘要：We use a well-developed dynamic panel generalized method of moments (GMM) estimator to alleviate endogeneity concerns in two aspects of corporate governance research: the effect of board structure on firm performance and the determinants of board structure. The estimator incorporates the dynamic nature of internal governance choices to provide valid and powerful instruments that address unobserved heterogeneity and simultaneity. We re-examine the relation between board structure and performanc...
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作者：Garcia, Diego; Norli, Oyvind
作者单位：University of North Carolina; University of North Carolina Chapel Hill; BI Norwegian Business School
摘要：This paper shows that stocks of truly local firms have returns that exceed the return on stocks of geographically dispersed firms by 70 basis points per month. By extracting state name counts from annual reports filed with the Securities and Exchange Commission (SEC) on Form 10-K, we distinguish firms with business operations in only a few states from firms with operations in multiple states. Our findings are consistent with the view that lower investor recognition for local firms results in h...
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作者：Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
作者单位：University of Houston System; University of Houston; University of Toronto; Copenhagen Business School; Tilburg University
摘要：We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic ...
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作者：Ahern, Kenneth R.
作者单位：University of Michigan System; University of Michigan
摘要：In contrast to the widely held belief that targets capture the lion's share of merger gains, I show that the average dollar gains to targets are only modestly more than the dollar gains to acquirers. To help explain the variation in merger outcomes, I present empirical evidence in support of a new hypothesis that a target's relative scarcity (proxied by its market power) and product market dependence (proxied by customer-supplier relations) help to explain its share of the total merger gains. ...
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作者：Faulkender, Michael; Flannery, Mark J.; Hankins, Kristine Watson; Smith, Jason M.
作者单位：University of Kentucky; University System of Maryland; University of Maryland College Park; State University System of Florida; University of Florida
摘要：Recent research has emphasized the impact of transaction costs on firm leverage adjustments. We recognize that cashflow realizations can provide opportunities to adjust leverage at relatively low marginal cost. We find that a firm's cashflow features affect not only the leverage target, but also the speed of adjustment toward that target. Heterogeneity in adjustment speeds is driven by an economically meaningful concept: adjustment costs. Accounting for this fact produces adjustment speeds tha...
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作者：Hertzel, Michael G.; Officer, Micah S.
作者单位：Loyola Marymount University; Arizona State University; Arizona State University-Tempe
摘要：Spreads on new and renegotiated corporate loans are significantly higher when the loan originates (or is renegotiated) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated industries can ha...
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作者：Laux, Volker
作者单位：University of Texas System; University of Texas Austin
摘要：Corporations have been criticized for providing executives with excessive incentives to focus on short-term performance. This paper shows that investment in short-term projects has beneficial effects in that it provides early feedback about Chief Executive Officer (CEO) talent, which leads to more efficient replacement decisions. Due to the threat of CEO turnover, the optimal design of stock option vesting conditions in executive compensation is more subtle than conventional views suggest. For...
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作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：City St Georges, University of London; Leibniz University Hannover; Singapore Management University; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
摘要：We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% per annum (p.a.) between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and overreaction. Moreover, cross-sectional currency momentum has very different properties...
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作者：Kapadia, Nikunj; Pu, Xiaoling
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University System of Ohio; Kent State University; Kent State University Kent; Kent State University Salem
摘要：We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an economically significant proportion of these are anomalous, indicating a lack of integration between the two markets. Proposing a statistical measure of market integration, we investigate whether equity-credit market integration is related to impediments to arbitrage. We find that time variation in integration across a firm's equity and credit markets is related to firm-specific ...
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作者：Carey, Mark; Kashyap, Anil K.; Rajan, Raghuram; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; European Corporate Governance Institute
