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作者：DeAngelo, Harry; DeAngelo, Linda; Whited, Toni M.
作者单位：University of Rochester; University of Southern California
摘要：Firms deliberately but temporarily deviate from permanent leverage targets by issuing transitory debt to fund investment. Leverage targets conservatively embed the option to issue transitory debt, with the evolution of leverage reflecting the sequence of investment outlays. We estimate a dynamic capital structure model with these features and find that it replicates industry leverage very well, explains debt issuances/repayments better than extant tradeoff models, and accounts for the leverage...
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作者：Du, Du
作者单位：Hong Kong University of Science & Technology
摘要：This paper proposes a general equilibrium model that explains the pricing of the S&P 500 index options. The central ingredients are a peso component in the consumption growth rate and the time-varying risk aversion induced by habit formation which amplifies consumption shocks. The amplifying effect generates the excess volatility and a large jump-risk premium which combine to produce a pronounced volatility smirk for index options. The time-varying volatility and jump-risk premiums explain the...
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作者：Maksimovic, Vojislav; Phillips, Gordon; Prabhala, N. R.
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine how firms redraw their boundaries after acquisitions using plant-level data. We find that there is extensive restructuring in a short period following mergers and full-firm acquisitions. Acquirers of full firms sell 27% and close 19% of the plants of target firms within three years of the acquisition. Acquirers with skill in running their peripheral divisions tend to retain more acquired plants. Retained plants increase in productivity whereas sold plants do not. These results sugge...
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作者：Bailey, Warren; Kumar, Alok; Ng, David
作者单位：Cornell University; University of Miami; University of Pennsylvania
摘要：We examine the effect of behavioral biases on the mutual fund choices of a large sample of US discount brokerage investors using new measures of attention to news, tax awareness, and fund-level familiarity bias, in addition to behavioral and demographic characteristics of earlier studies. Behaviorally biased investors typically make poor decisions about fund style and expenses, trading frequency, and timing, resulting in poor performance. Furthermore, trend chasing appears related to behaviora...
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作者：van Rooij, Maarten; Lusardi, Annamaria; Alessie, Rob
作者单位：Dartmouth College; National Bureau of Economic Research; University of Groningen
摘要：We have devised two special modules for De Nederlandsche Bank (DNB) Household Survey to measure financial literacy and study its relationship to stock market participation. We find that the majority of respondents display basic financial knowledge and have some grasp of concepts such as interest compounding, inflation, and the time value of money. However, very few go beyond these basic concepts; many respondents do not know the difference between bonds and stocks, the relationship between bon...
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作者：Almeida, Heitor; Park, Sang Yong; Subrahmanyam, Marti G.; Wolfenzon, Daniel
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; New York University; Columbia University
摘要：We study the evolution of Korean chaebols (business groups) using ownership data. Chaebols grow vertically (as pyramids) when the controlling family uses well-established group firms (central firms) to acquire firms with low pledgeable income and high acquisition premiums. Chaebols grow horizontally (through direct ownership) when the family acquires firms with high pledgeable income and low acquisition premiums. Central firms trade at a relative discount, due to shareholders' anticipation of ...
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作者：Billett, Matthew T.; Flannery, Mark J.; Garfinkel, Jon A.
作者单位：State University System of Florida; University of Florida; University of Iowa
摘要：Prior studies conclude that firms' equity underperforms following many individual sorts of external financing. These conclusions naturally raise significant questions about market efficiency and/or about the techniques used to measure long-run abnormal returns. Rather than concentrating on a single security type or issuance, we examine long-run performance following any and all sorts of security issuances. Initial financing events do not associate with underperformance; however, subsequent fin...
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作者：Fahlenbrach, Ruediger; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National Bureau of Economic Research; European Corporate Governance Institute
摘要：We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of shareholders performed worse and no evidence that they performed better. Banks with higher option compensation and a larger fraction of compensation in cash bonuses for their CEOs did not perform worse during the crisis. Bank CEOs did not reduce thei...
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作者：Siegel, Jordan I.; Licht, Amir N.; Schwartz, Shalom H.
作者单位：Harvard University; Reichman University; Hebrew University of Jerusalem
摘要：This study identifies how country differences on a key cultural dimension-egalitarianism-influence international investment flows. A society's cultural orientation toward egalitarianism is manifested by intolerance for abuses of market and political power and a desire for protecting less powerful actors. We show egalitarianism to be based on exogenous factors including social fractionalization, dominant religion circa 1900, and war experience from the 19th century. We find a robust influence o...
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作者：Butler, Alexander W.; Cornaggia, Jess; Grullon, Gustavo; Weston, James P.
作者单位：Rice University; Indiana University System; Indiana University Bloomington
摘要：Both market timing and investment-based theories of corporate financing predict under-performance after firms raise capital, but only market timing predicts that the composition of financing (equity compared with debt) should also forecast returns. In cross-sectional tests, we find that the amount of net financing is more important than its composition in explaining future stock returns. In the time series, investment-based factor models explain abnormal stock performance following a variety o...
