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作者：Li, Dongmei; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using financing constraints to proxy for investment frictions, we show only weak evidence that the investment-to-assets and asset growth effects in the cross section of returns are stronger in financially more constrained firms than in financially less constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues, abno...
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作者：Officer, Micah S.; Ozbas, Oguzhan; Sensoy, Berk A.
作者单位：Loyola Marymount University; University of Southern California; University System of Ohio; Ohio State University
摘要：We analyze the pricing and characteristics of club deal leveraged buyouts (LBOs)-those in which two or more private equity partnerships jointly conduct an LBO. Using a comprehensive sample of completed LBOs of U.S. publicly traded targets conducted by prominent private equity firms, we find that target shareholders receive approximately 10% less of pre-bid firm equity value, or roughly 40% lower premiums, in club deals compared to sole-sponsored LBOs. This result is concentrated before 2006 an...
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作者：Kashyap, Anil K.; Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research
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作者：McConnell, John J.; Saretto, Alessio
作者单位：Purdue University System; Purdue University
摘要：The market for auction rate securities (ARS) made headlines during the second week of February 2008 when auctions at which the bonds' interest rates reset experienced a wave of failures. Contrary to headlines that attribute the failures to a frozen market or investors' irrationality, we find that (1) even at their height, less than 50% of ARS experienced auction failures, (2) the likelihood of auction failure was directly related to the level of the bonds' maximum auction rates, (3) the implie...
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作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We undertake a broad-based study of the effect of managerial risk-taking incentives on corporate financial policies and show that the risk-taking incentives of chief executive officers (CEOs) and chief financial officers (CFOs) significantly influence their firms' financial policies. In particular, we find that CEOs' risk-decreasing (-increasing) incentives are associated with lower (higher) leverage and higher (lower) cash balances. CFOs' risk-decreasing (-increasing) incentives are associate...
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作者：Brockman, Paul; Liebenberg, Ivonne; Schutte, Maria
作者单位：Lehigh University; University of Mississippi; Michigan Technological University
摘要：Recent theoretical research suggests that information production is a positive externality of aggregate economic activity (Veldkamp, 2005). Both the quantity and quality of information increase during periods of economic expansion and decrease during periods of contraction. Based on this insight, we hypothesize and confirm that time-varying information production drives the comovement patterns observed in stock returns. We examine stock return comovement in 36 countries from 1980 to 2007 and s...
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作者：Gormley, Todd; Liu, Hong; Zhou, Guofu
作者单位：Washington University (WUSTL); University of Pennsylvania
摘要：In this paper, we show that the existence of a large, negative wealth shock and insufficient insurance against such a shock could explain both the limited stock market participation puzzle and the low-consumption-high-savings puzzle. We then conduct an empirical analysis on the relation between household portfolio choices and access to private insurance and various types of government safety nets. The empirical results demonstrate that a lack of insurance against large, negative wealth shocks ...
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作者：Kaplanski, Guy; Levy, Haim
作者单位：Bar Ilan University; Hebrew University of Jerusalem
摘要：Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with an average market loss of more than $60 billion per aviation disaster, whereas the estimated actual loss is no more than $1 billion. In two days a price reversal occurs. We find the effect to be greater in s...
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作者：Christophe, Stephen E.; Ferri, Michael G.; Hsieh, Jim
作者单位：George Mason University
摘要：This paper studies short-selling prior to the release of analyst downgrades in a sample of 670 downgrades of Nasdaq stocks between 2000 and 2001. We find abnormal levels of short-selling in the three days before downgrades are publicly announced. Further, we show that this pre-announcement abnormal short-selling is significantly related to the subsequent share price reaction to the downgrade, and especially so for downgrades that prompt the most substantial price declines. Our findings are rob...
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作者：Chen, Yong; Person, Wayne; Peters, Helen
作者单位：Virginia Polytechnic Institute & State University; University of Southern California; Boston College; National Bureau of Economic Research
摘要：This paper evaluates the ability of bond funds to market time nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models. With controls, the timing coefficients appear neutral ...
