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作者：Liljeblom, Eva; Pasternack, Daniel; Rosenberg, Matts
作者单位：Hanken School of Economics
摘要：We analyze the factors that drive exercise price policy for executive option plans (ESOPs) and their scope in a country where firms are not subject to the tax and accounting considerations that seem to have led to the dominance of at-the-money options in the US Our unbounded data for Finland provide us with an excellent opportunity to investigate whether contract design is consistent with compensation theory. Our findings are largely consistent with predictions from the optimal contracting lit...
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作者：Kandel, Eugene; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; Hebrew University of Jerusalem; Michigan State University
摘要：We hypothesize that age similarity among small shareholders acts as an implicit coordinating device for their actions and, thus, could represent an indirect source of corporate governance in firms with dispersed ownership. We test this hypothesis on a sample of Swedish firms during the 1995-2000 period. Consistent with our hypothesis, we find that compared with shareholders of differing ages, same-age noncontrolling shareholders sell more aggressively following negative firm news; firms with m...
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作者：Maskara, Pankaj K.; Mullineaux, Donald J.
作者单位：University of Kentucky; Eastern Kentucky University
摘要：Event-study driven research has produced a consensus that loans are unique relative to other financial contracts. But these studies assume that small samples of loan announcements adequately represent the loan population. We find that loan announcements are rare and driven by factors such as information asymmetry and perceived materiality. We show that the sample used by Billett, Flannery, and Garfinkel (1995) fails to represent the loan universe and that significant abnormal announcement retu...
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作者：Cici, Gjergji; Gibson, Scott; Merrick, John J., Jr.
作者单位：William & Mary; University of Cologne
摘要：We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. The Trade Reporting and Compliance Engine (TRACE) could have contributed to the general decline in dispersion over our sample period, though other factors most likely played roles. Further tests reveal marking patterns to be consistent with returns smoothing behavior by manager...
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作者：Bayar, Onur; Chemmanur, Thomas J.; Liu, Mark H.
作者单位：Boston College; University of Texas System; University of Texas at San Antonio; University of Kentucky
摘要：We develop a theory of new-project financing and equity carve-outs under heterogeneous beliefs. In our model, an employee of a firm generates an idea for a new project that can be financed either by issuing equity against the cash flows of the entire firm (integration), or by undertaking an equity carve-out of the new project alone (non-integration). While the patent underlying the new project is owned by the firm, the employee generating the idea needs to be motivated to exert optimal effort ...
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作者：Henderson, Brian J.; Pearson, Neil D.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; George Washington University; Massachusetts Institute of Technology (MIT)
摘要：The offering prices of 64 issues of a popular retail structured equity product were, on average. almost 8% greater than estimates of the products' fair market values obtained using option pricing methods. Under reasonable assumptions about the underlying stocks' expected returns, the mean expected return estimate on the structured products is slightly below zero. The products do not provide tax, liquidity, or other benefits, and it is difficult to rationalize their purchase by informed rationa...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26-36% more likely to be renegotiated than comparable securitized mortgages (4.2-5.7% in absolute terms). Also, modifications of bank-held...
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作者：Greenwood, Robin; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University; National Bureau of Economic Research
摘要：We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or volatile liquidity shocks, i.e., they must buy or sell at the same time. We formalize this idea and apply it to mutual fund ownership of US stocks. Consistent with our predictions, fragility strongly predict...
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作者：Kristensen, Dennis; Mele, Antonio
作者单位：University of London; London School Economics & Political Science; Columbia University
摘要：We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an auxiliary one. We derive an expression for the difference between the true (but unknown) price and the auxiliary one, which we approximate in closed-form, and use to create increasingly improved refinements to the initial mispricin...
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作者：Jain, Bharat A.; Kini, Omesh; Shenoy, Jaideep
作者单位：University System of Georgia; Georgia State University; University System of Maryland; Towson University; Tulane University
摘要：Using a product markets perspective to investigate the decision to vertically disintegrate, we find that vertical divestitures are more likely in response to positive industry demand shocks, favorable industry financing conditions, and lower parent firm relative productivity and are less likely when the potential for contracting problems is high. Conditional on vertical divestitures, equity carve-outs are more likely in environments in which relationship-specific investments are more prevalent...
