2期

最新文章

• When are outside directors effective? AI翻译
  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...
• Reduced-form valuation of callable corporate bonds: Theory and evidence AI翻译
  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...
• The world price of home bias AI翻译
  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...
• Detecting jumps from Levy jump diffusion processes AI翻译
  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...
• The value of excess cash and corporate governance: Evidence from US cross-listings AI翻译
  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 ...
• Habit formation, the cross section of stock returns and the cash-flow risk puzzle AI翻译
  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...
• Negotiations under the threat of an auction AI翻译
  作者：Aktas, Nihat; de Bodt, Eric; Roll, Richard
  作者单位：Universite de Lille; emlyon business school
  摘要：Many takeovers occur after one-on-one negotiations, which suggests a troubling lack of competition. We seek to determine whether acquirers in such friendly deals are truly insulated from competitive pressures. We study two countervailing influences: (1) potential but unobserved latent competition, i.e., the likelihood that rival bidders could appear, and (2) anticipated auction costs when negotiations fail. Using various proxies, we find that latent competition increases the bid premium offere...
• Evaluating asset pricing models using the second Hansen-Jagannathan distance AI翻译
  作者：Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan
  作者单位：Fordham University; University of Michigan System; University of Michigan; Cornell University
  摘要：We develop a specification test and a sequence of model selection procedures for non-nested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods have reasonably good finite sample performances and are more powerful than existing ones in detecting misspecified models with small pricing errors but are not arbitrage-free and in differentiating models ...
• The role of private equity group reputation in LBO financing AI翻译
  作者：Demiroglu, Cem; James, Christopher M.
  作者单位：State University System of Florida; University of Florida; Koc University
  摘要：This paper investigates whether the reputation of acquiring private equity groups (PEGs) is related to the financing structure of leveraged buyouts (LBOs). Using a sample of 180 public-to-private LBOs in the US between January 1, 1997 and August 15, 2007, we find that reputable PEGs are more active in the LBO market when credit risk spreads are low and lending standards in the credit markets are lax. We also find that reputable PEGs pay narrower bank and institutional loan spreads, have longer...
• Capital structure decisions: Evidence from deregulated industries AI翻译
  作者：Ovtchinnikov, Alexei V.
  作者单位：Vanderbilt University
  摘要：Deregulation significantly affects the firms' operating environment and leverage decisions. Firms experience a significant decline in profitability, asset tangibility and a significant increase in growth opportunities following deregulation. Firms respond by reducing leverage. Deregulation also significantly affects the cross-sectional relation between leverage and its determinants. Leverage is much less negatively correlated with profitability and market-to-book and much more positively (nega...