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作者：Berger, Dave; Pukthuanthong, Kuntara; Yang, J. Jimmy
作者单位：Oregon State University; California State University System; San Diego State University
摘要：We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, ...
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作者：de Jong, Abe; Dutordoir, Marie; Verwijmeren, Patrick
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Groningen; University of Manchester; University of Melbourne
摘要：Over recent years, a substantial fraction of US convertible bond issues have been combined with a stock repurchase. This paper explores the motivations for these combined transactions. We argue that convertible debt issuers repurchase their stock to facilitate arbitrage-related short selling. In line with this prediction, we show that convertibles combined with a stock repurchase are associated with lower offering discounts, lower stock price pressure, higher expected hedging demand, and lower...
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作者：Tian, Xuan
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：This paper examines the causes and consequences of venture capital (VC) stage financing. Using information about the physical location of an entrepreneurial firm and the geographic distance between the VC investor and the firm, I show that VC investors located farther away from an entrepreneurial firm tend to finance the firm using a larger number of financing rounds, shorter durations between successive rounds, and investing a smaller amount in each round. However, VC investors' propensity to...
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作者：Aggarwal, Reena; Erel, Isil; Ferreira, Miguel; Matos, Pedro
作者单位：Georgetown University; University System of Ohio; Ohio State University; Universidade Nova de Lisboa; University of Southern California
摘要：We examine whether institutional investors affect corporate governance by analyzing portfolio holdings of institutions in companies from 23 countries during the period 2003-2008. We find that firm-level governance is positively associated with international institutional investment. Changes in institutional ownership over time positively affect subsequent changes in firm-level governance, but the opposite is not true. Foreign institutions and institutions from countries with strong shareholder...
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作者：Cvitanic, Jaksa; Malamud, Semyon
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; California Institute of Technology
摘要：We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and portfolio impact are two independent concepts: a nonsurviving agent with no long-run price impact can have a significant long-run impact on...
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作者：Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur
作者单位：Georgetown University; New York University; Ozyegin University
摘要：This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and non-parametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and...
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作者：Cooper, Ilan; Priestley, Richard
摘要：We ask to what extent the negative relation between investment and average stock returns is driven by risk We show that: (i) the average return spread between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the loadings on the Chen, Roll, and Ross (1986) factors; (ii) as predicted by q-theory and real options models, systematic risk falls during large investment periods; (iii) the returns of factors formed on the i...
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作者：Gilbert, Thomas
作者单位：University of Washington; University of Washington Seattle
摘要：I show that an empirical relation exists between stock returns on macroeconomic news announcement days and the future revisions of the released data but that this link differs across the business cycle. Using three major macroeconomic series that undergo significant revisions (nonfarm payroll, gross domestic product, and industrial production), I present evidence that daily returns on the Standard & Poor's 500 index and revisions are positively related in expansions and negatively related in r...
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作者：Lam, F. Y. Eric C.; Wei, K. C. John
作者单位：Hong Kong University of Science & Technology; City University of Hong Kong
摘要：We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies f...
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作者：Bae, Kee-Hong; Kang, Jun-Koo; Wang, Jin
作者单位：Nanyang Technological University; York University - Canada; Wilfrid Laurier University
摘要：We investigate the stakeholder theory of capital structure from the perspective of a firm's relations with its employees. We find that firms that treat their employees fairly (as measured by high employeefriendly ratings) maintain low debt ratios. This result is robust to a variety of model specifications and endogeneity issues. The negative relation between leverage and a firm's ability to treat employees fairly is also evident when we measure its ability by whether it is included in the Fort...
