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作者：Cornett, Marcia Millon; McNutt, Jamie John; Strahan, Philip E.; Tehranian, Hassan
作者单位：Boston College; Bentley University; Southern Illinois University System; Southern Illinois University; National Bureau of Economic Research
摘要：Liquidity dried up during the financial crisis of 2007-2009. Banks that relied more heavily on core deposit and equity capital financing, which are stable sources of financing, continued to lend relative to other banks. Banks that held more illiquid assets on their balance sheets, in contrast, increased asset liquidity and reduced lending. Off-balance sheet liquidity risk materialized on the balance sheet and constrained new credit origination as increased takedown demand displaced lending cap...
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作者：Chen, Huafeng (Jason)
作者单位：University of British Columbia
摘要：I argue that the reason the book-to-market effect is stronger in small stocks is because smaller stocks generally have shorter life expectancy and therefore shorter equity duration. I build a model in which the book-to-market effect is stronger in stocks with shorter life expectancy. Empirically, I use delisting probability as my proxy for life expectancy. The data support my model's central prediction and its additional implications for stock return and variance. My results provide a rational...
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作者：Hwang, Byoung-Hyoun
作者单位：Purdue University System; Purdue University
摘要：I study the effect of country-specific sentiment on security prices. I provide evidence that a country's popularity among Americans affects US investors' demand for securities from that country and causes security prices to deviate from their fundamental values. Moreover, I find that country popularity is positively associated with the intensity of US cross-border mergers and acquisitions activity, suggesting that country popularity also affects firms' investment decisions. (C) 2010 Elsevier B...
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作者：Heitzman, Shane
作者单位：University of Rochester
摘要：I investigate the determinants and consequences of granting equity to the target's Chief Executive Officer (CEO) during deal negotiations. These negotiation grants likely reflect information about the acquisition, benefit from the deal premium, and provide more timely bargaining incentives. I find that CEOs are more likely to receive equity during negotiations when they negotiate for the target, particularly when the target has more bargaining power. This suggests that boards use equity to enh...
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作者：Chemmanur, Thomas J.; He, Jie
作者单位：Boston College; University System of Georgia; University of Georgia
摘要：We develop a new rationale for initial public offering (IPO) waves based on product market considerations. Two firms, with differing productivity levels, compete in an industry with a significant probability of a positive productivity shock. Going public, though costly, not only allows a firm to raise external capital cheaply, but also enables it to grab market share from its private competitors. We solve for the decision of each firm to go public versus remain private, and the optimal timing ...
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作者：Kotter, Jason; Lel, Ugur
作者单位：Virginia Polytechnic Institute & State University; University of Michigan System; University of Michigan
摘要：This paper examines investment strategies of sovereign wealth funds (SWFs), their effect on target firm valuation, and how both of these are related to SWF transparency. We find that SWFs prefer large and poorly performing firms facing financial difficulties. Their investments have a positive effect on target firms' stock prices around the announcement date but no substantial effect on firm performance and governance in the long run. We also find that transparent SWFs are more likely to invest...
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作者：Cuoco, Domenico; Kaniel, Ron
作者单位：University of Rochester; University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：This paper analyzes the asset pricing implications of commonly used portfolio management contracts linking the compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters, the extent of delegation, and equilibrium prices are all determined endogenously within the model we consider. Symmetric (fulcrum) performance fees distort the allocation of managed portfolios in a way that induces a significant and unambiguous positive effe...
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作者：Da, Zhi; Warachka, Mitch
作者单位：Singapore Management University; University of Notre Dame
摘要：We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and long-term analyst forecast errors. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns along with downward and upward revisions in long-term forecasted earnings growth, respective...
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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：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...
