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作者：Calomiris, Charles W.; Fisman, Raymond; Wang, Yongxiang
作者单位：Columbia University; Renmin University of China; Jiangxi University of Finance & Economics
摘要：We examine the market response to an unexpected announcement of the sale of government-owned shares in China. In contrast to earlier work, we find a negative effect of government ownership on returns at the announcement date and a symmetric positive effect from the policy's cancellation. We suggest that this results from the absence of a Chinese political transition to accompany economic reforms, so that the benefits of political ties outweigh the efficiency costs of government shareholdings. ...
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作者：Nguyen, Bang Dang; Nielsen, Kasper Meisner
作者单位：University of Cambridge; Hong Kong University of Science & Technology
摘要：We investigate contributions of independent directors to shareholder value by examining stock price reactions to sudden deaths in the US from 1994 to 2007. We find, first, that following director death stock prices drop by 0.85% on average. Second, the degree of independence and board structure determine the marginal value of independent directors. Third, independence is more valuable in crucial board functions. Finally, controlling for director-invariant heterogeneity using a fixed effect app...
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作者：Longstaff, Francis A.
作者单位：National Bureau of Economic Research
摘要：I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, rather than through a correlated-information channel. Surprisingly, ABX index returns forecast stock ...
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作者：Daines, Robert M.; Gow, Ian D.; Larcker, David F.
作者单位：Stanford University; Stanford University; Northwestern University
摘要：Proxy advisory and corporate governance rating firms (such as RiskMetrics/Institutional Shareholder Services, GovernanceMetrics International, and The Corporate Library) play an increasingly important role in U.S. public markets. They rank the quality of firm corporate governance, advise shareholders how to vote, and sometimes press for governance changes. We examine whether commercially available corporate governance rankings provide useful information for shareholders. Our results suggest th...
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作者：Hund, John; Monk, Donald; Tice, Sheri
作者单位：Tulane University; Rice University; U.S. Securities & Exchange Commission (SEC)
摘要：The diversification discount (multiple segment firm value below the value imputed using single segment firm multiples) is commonly thought to be generated by agency problems, a lack of transparency, or lackluster future prospects for diversified firms. If multiple segment firms have lower uncertainty about mean profitability than single segment firms, rational learning about mean profitability provides an alternative explanation for the diversification discount that does not rely on suboptimal...
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作者：Jiang, John (Xuefeng); Petroni, Kathy R.; Wang, Isabel Yanyan
作者单位：Michigan State University; Michigan State University's Broad College of Business
摘要：This study examines the association between chief financial officer (CFO) equity incentives and earnings management. Chief executive officer (CEO) equity incentives have been shown to be associated with accruals management and the likelihood of beating analyst forecasts (Bergstresser and Philippon, 2006; Cheng and Warfield, 2005). Because CFOs' primary responsibility is financial reporting. CFO equity incentives should play a stronger role than those of the CEO in earnings management. We find ...
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作者：Demirguc-Kunt, Asli; Huizinga, Harry
作者单位：Tilburg University; The World Bank
摘要：This paper examines the implications of bank activity and short-term funding strategies for bank risk and return using an international sample of 1,334 banks in 101 countries leading up to the 2008 financial crisis. Expansion into noninterest income-generating activities such as trading increases the rate of return on assets, and it could offer some risk diversification benefits at very low levels. Nondeposit, wholesale funding in contrast lowers the rate of return on assets, while it can offe...
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作者：Munk, Claus; Sorensen, Carsten
作者单位：Aarhus University; Aarhus University; Copenhagen Business School
摘要：We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (HID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/...
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作者：Schultz, Paul; Shive, Sophie
作者单位：University of Notre Dame
摘要：This is the first paper to examine the microstructure of how mispricing is created and resolved. We study dual-class shares with equal cash flow rights and show that a simple trading strategy exploiting gaps between their prices appears to create abnormal profits after transactions costs. Trade and quote data show that investors shift their trading patterns to take advantage of gaps. Contrary to common perception, long-short arbitrage plays a minor part in eliminating gaps, and one-sided trade...
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作者：Bushman, Robert; Dai, Zhonglan; Wang, Xue
作者单位：University of Texas System; University of Texas Dallas; University of North Carolina; University of North Carolina Chapel Hill; Emory University
摘要：This paper investigates how performance risk impacts a board's ability to learn about the unknown talent of a chief executive officer (CEO). We theorize that the information content of performance is increasing in idiosyncratic risk and decreasing in systematic risk. We provide robust empirical evidence that the likelihood of CEO turnover is increasing in idiosyncratic risk and decreasing in systematic risk and that turnover performance-sensitivity is also increasing in idiosyncratic risk and ...
