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作者：Gao, Huasheng
作者单位：Nanyang Technological University
摘要：This paper examines optimal compensation contracts when executives can hedge their personal portfolios. In a simple principal-agent framework, I predict that the Chief Executive Officer's (CEO's) pay-performance sensitivity decreases with the executive-hedging cost. Empirically, I find evidence supporting the model's prediction. Providing further support for the theory, I show that shareholders also impose a high sensitivity of CEO wealth to stock volatility and increase financial leverage to ...
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作者：Blouin, Jennifer; Core, John E.; Guay, Wayne
作者单位：University of Pennsylvania
摘要：We re-examine the claim that many corporations are underleveraged in that they fail to take full advantage of debt tax shields. We show prior results suggesting underleverage stems from biased estimates of tax benefits from interest deductions. We develop improved estimates of marginal tax rates using a non-parametric procedure that produces more accurate estimates of the distribution of future taxable income. We show that additional debt would provide firms with much smaller tax benefits than...
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作者：Bartram, Soehnke M.; Brown, Gregory W.; Minton, Bernadette A.
作者单位：Lancaster University; University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; Ohio State University
摘要：Theory predicts sizeable exchange rate (FX) exposure for many firms. However, empirical research has not documented such exposures, To examine this discrepancy, we extend prior theoretical results to model a global firm's FX exposure and show empirically that firms pass through part of currency changes to customers and utilize both operational and financial hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10-15%. Financial hedging with foreign deb...
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作者：Dewenter, Kathryn L.; Han, Xi; Malatesta, Paul H.
作者单位：University of Washington; University of Washington Seattle; Tsinghua University
摘要：We analyze the impact of sovereign wealth fund (SWF) investments on firm values and provide evidence consistent with the tradeoff between the monitoring and lobbying benefits versus tunneling and expropriation costs of SWFs as blockholders. The data show significant positive (negative) returns to announcements of SWF investments (divestments). The returns are non-monotonic, first rising (falling) and then falling (rising) with the share sought (sold) for investments (divestments). Moreover, we...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; Duke University; Columbia University
摘要：The paper provides empirical evidence that strategic complementarities among investors generate fragility in financial markets. Analyzing mutual fund data, we find that, consistent with a theoretical model, funds with illiquid assets (where complementarities are stronger) exhibit stronger sensitivity of outflows to bad past performance than funds with liquid assets. We also find that this pattern disappears in funds where the shareholder base is composed mostly of large investors. We present f...
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作者：Jensen, Gerald R.; Moorman, Theodore
作者单位：Northern Illinois University; Baylor University
摘要：We find evidence of a systematic link between monetary conditions and inter-temporal variation in the price of liquidity. Specifically, following an expansive monetary policy shift, funding conditions improve and market-wide liquidity increases, which is especially beneficial for illiquid securities. The improved liquidity and funding conditions reduce the returns required for holding illiquid securities. Consequently, illiquid stocks experience relatively large price increases when monetary c...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy, the model can match the historical first and second moments of the market return and the risk-free interest rate. The model also generates a very volatile Sharpe ratio and market price of risk. (C) 2010 Elsevier B.V. All ...
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作者：Kang, Qiang; Liu, Qiao; Qi, Rong
作者单位：University of Hong Kong; University of Miami; St. John's University
摘要：We assess the impact of the Sarbanes-Oxley Act of 2002 on corporate investment in an investment Euler equation framework. We allow a dummy for the passage of the Act to affect the rate at which managers discount future investment payoffs. Using generalized method of moments estimators, we find that the rate U.S. firm managers apply to discount investment projects rises significantly after 2002, while the discount rate for U.K. firms remains unchanged. The effects of the legislation on corporat...
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作者：Faulkender, Michael; Yang, Jun
作者单位：University System of Maryland; University of Maryland College Park; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：This paper considers the features of the newly disclosed compensation peer groups and demonstrates their significant role in explaining variations in chief executive officer (CEO) compensation beyond that of other benchmarks such as the industry-size peers. After controlling for industry, size, visibility, CEO responsibility, and talent flows, we find that firms appear to select highly paid peers to justify their CEO compensation and this effect is stronger in firms where the compensation peer...
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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...
