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作者：Fahlenbrach, Ruediger; Low, Angie; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Nanyang Technological University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Companies actively seek to appoint outside CEOs to their boards. Consistent with our matching theory of outside CEO board appointments, we show that such appointments have a certification benefit for the appointing firm. CEOs are more likely to join boards of large established firms that are geographically close, pursue similar financial and investment policies, and have comparable governance to their own firms. The first outside CEO director appointment has a higher stock-price reaction than ...
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作者：Medvedev, Alexey; Scaillet, Olivier
作者单位：University of Geneva; University of Geneva
摘要：We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit ...
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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：Lins, Karl V.; Servaes, Henri; Tufano, Peter
作者单位：University of London; London Business School; Utah System of Higher Education; University of Utah; European Corporate Governance Institute; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research
摘要：We survey chief financial officers from 29 countries to examine whether and why firms use lines of credit versus non-operational (excess) cash for their corporate liquidity. We find that these two liquidity sources are employed to hedge against different risks. Nonoperational cash guards against future cash flow shocks in bad times, while credit lines give firms the option to exploit future business opportunities available in good times. Lines of credit are the dominant source of liquidity for...
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作者：Atanasov, Vladimir; Black, Bernard; Ciccotello, Conrad; Gyoshev, Stanley
作者单位：William & Mary; University of Texas System; University of Texas Austin; University System of Georgia; Georgia State University; University of Exeter
摘要：We model and test the mechanisms through which law affects tunneling and tunneling affects firm valuation. In 2002, Bulgaria adopted legal changes which limit equity tunneling through dilutive equity offerings and freezeouts. Following the changes, minority shareholders participate equally in equity offerings, where before they Suffered severe dilution; freezeout offer price ratios quadruple; and Tobin's q rises sharply for firms at high risk of tunneling. The paper shows the importance of leg...
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作者：Bakshi, Gurdip; Panayotov, George
作者单位：Georgetown University; University System of Maryland; University of Maryland College Park
摘要：This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure consistently exceeds the benchmark value-at-risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large variation in our risk measure across jump models, indicative of model risk. Fourth, among the jump models we consider, the finite-mom...
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作者：Stuart, Toby E.; Yim, Soojin
作者单位：Harvard University
摘要：We examine how board networks affect change-of-control transactions by investigating whether directors' deal exposure acquired through board service at different companies affect their current firms' likelihood of being targeted in a private equity-backed, take-private transaction. In our sample of all US publicly traded firms in 2000-2007, we find that companies which have directors with private equity deal exposure gained from interlocking directorships are approximately 42% more likely to r...
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作者：Boehmer, Ekkehart; Huszar, Zsuzsa R.; Jordan, Bradford D.
作者单位：University of Kentucky; University of Oregon; Universite Catholique de Lille; EDHEC Business School; National University of Singapore; California State University System; California State Polytechnic University Pomona
摘要：Stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be transient and of debatable economic significance. In contrast, relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns. These positive returns are often larger (in absolute value) than the negative returns observed for heavily shorted stocks. Thus, the positive information associated with low sh...
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作者：Sadka, Ronnie
作者单位：Boston College
摘要：This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important determinant in the cross-section of hedge-fund returns. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period 1994-2008, while negative performance is observed during liquidity crises. The returns are independent of the liquidity a fund...
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作者：Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles
摘要：Relatively little is known about the trading volume in derivatives relative to the volume in underlying stocks. We study the time-series properties and the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time-series of data on equities and their listed options. O/S is related to many intuitive determinants such as delta and trading costs, and it also varies with institutional holdings, analyst following, and analyst forecast dispersion. O/S ...
