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作者：Fabbri, Daniela; Menichini, Anna Maria C.
作者单位：University of Amsterdam; University of Salerno
摘要：Assuming that firms' suppliers are better able to extract value from the liquidation of assets in default and have an information advantage over other creditors, the paper derives six predictions on the use of trade credit. (1) Financially unconstrained firms (with unused bank credit lines) take trade credit to exploit the supplier's liquidation advantage. (2) If inputs purchased on account are sufficiently liquid, the reliance on trade credit does not depend on credit rationing. (3) Firms buy...
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作者：Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：Microstructure noise in security prices biases the results of empirical asset pricing specifications, particularly when security-level explanatory variables are cross-sectionally correlated with the amount of noise. We focus on tests of whether measures of illiquidity, which are likely to be correlated with the noise, are priced in the cross-section of stock returns, and show a significant upward bias in estimated return premiums for an array of illiquidity measures in Center for Research in S...
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作者：Duchin, Ran; Matsusaka, John G.; Ozbas, Oguzhan
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：This paper uses recent regulations that have required some companies to increase the number of outside directors on their boards to generate estimates of the effect of board independence on performance that are largely free from endogeneity problems. Our main finding is that the effectiveness of outside directors depends on the cost of acquiring information about the firm: when the cost of acquiring information is low, performance increases when outsiders are added to the board, and when the c...
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作者：George, Thomas J.; Hwang, Chuan-Yang
作者单位：Nanyang Technological University; University of Houston System; University of Houston
摘要：We revisit findings that returns are negatively related to financial distress intensity and leverage. These are puzzles under frictionless capital markets assumptions but are consistent with optimizing firms that differ in their exposure to financial distress costs. Firms with high costs choose low leverage to avoid distress, but they retain exposure to the systematic risk of bearing such costs in low states. Empirical results are consistent with this explanation. The return premiums to low le...
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作者：Cheng, C. S. Agnes; Huang, Henry He; Li, Yinghua; Lobo, Gerald
作者单位：Purdue University System; Purdue University; Louisiana State University System; Louisiana State University; Texas A&M University System; Prairie View A&M University; University of Houston System; University of Houston
摘要：This paper investigates the effectiveness Of using securities class action lawsuits in monitoring defendant firms by institutional lead plaintiffs from two aspects: (1) immediate litigation outcomes, including the probability of surviving the motion to dismiss and the settlement amount, and (2) subsequent governance improvement such as changes in board independence. Using a large sample of securities lawsuits from 1996 to 2005, we show that institutional investors are more likely to serve as t...
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作者：Jarrow, Robert; Li, Haitao; Liu, Sheen; Wu, Chunchi
作者单位：University of Michigan System; University of Michigan; Cornell University; Washington State University; University of Missouri System; University of Missouri Columbia
摘要：We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the reduced-form model of Duffle and Singleton (1999) for defaultable bonds to callable bonds and captures some important differences between call and default decisions. A comprehensive empirical analysis of ca...
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作者：Lau, Sie Ting; Ng, Lilian; Zhang, Bohui
作者单位：Nanyang Technological University; University of Wisconsin System; University of Wisconsin Milwaukee; University of New South Wales Sydney
摘要：Theoretical arguments suggest that as the degree of a country's home bias increases, the global risk sharing between domestic and foreign investors will reduce and thereby increase the country's cost of capital. Consistent with this prediction, we find international differences in the cost of capital to be strongly and positively related to varying degrees of home bias for 38 markets. This finding is robust to different cost of capital proxies, different control variables, alternative home-bia...
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作者：Lee, Suzanne S.; Hannig, Jan
作者单位：University System of Georgia; Georgia Institute of Technology; University of North Carolina; University of North Carolina Chapel Hill
摘要：Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on these tests suggests that models for individual equities and overall market indices require incorporatin...
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作者：Fresard, Laurent; Salva, Carolina
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Neuchatel
摘要：We examine whether and how a US cross-listing mitigates the risk that insiders will turn their firm's cash holdings into private benefits. We find strong evidence that the value investors attach to excess cash reserves is substantially larger for foreign firms listed on US exchanges and over-the-counter than for their domestic peers. Further, we show that this excess-cash premium stems not only from the strength of US legal rules and disclosure requirements, but also from the greater informal ...
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作者：Santos, Tano; Veronesi, Pietro
作者单位：Center for Economic & Policy Research (CEPR); University of Chicago; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Columbia University; National Bureau of Economic Research; Columbia University
摘要：Non-linear external habit persistence models, which feature prominently in the recent equity premium asset pricing and macroeconomics literature, generate counterfactual predictions in the cross-section of stock returns. In particular, we show that in the absence of cross-sectional heterogeneity in firms' cash-flow risk, these models produce a growth premium, that is, stocks with high price-to-fundamental ratios command a higher premium than stocks with low price-to-fundamental ratios. This im...
