-
作者：Berger, David; Chaboud, Alain; Hjalmarsson, Erik
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Yale University
摘要：We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and movements in volatilitycanthereforebedirectlyrelated to movements in order flow and market sensitivity. Empirically, the model explains a large share of the long-run variation involatility. Importantly, the tim...
-
作者：Harford, Jarrad; Klasa, Sandy; Walcott, Nathan
作者单位：University of Washington; University of Washington Seattle; University of Arizona; Washington State University
摘要：In the context of large acquisitions, we provide evidence on whether firms have target capital structures. We examine how deviations from these targets affect how bidders choose to finance acquisitions and how they adjust their capital structure following the acquisitions. We show that when a bidder's leverage is over its target level, it is less likely to finance the acquisition with debt and more likely to finance the acquisition with equity. Also, we find a positive association between the ...
-
作者：Hail, Luzi; Leuz, Christian
作者单位：University of Chicago; University of Pennsylvania
摘要：This paper examines whether cross-listing in the U.S. reduces firms' costs of capital. We estimate cost of capital effects implied by market prices and analyst forecasts, which accounts for changes in growth expectations around cross-listings. Firms with cross-listings on U.S. exchanges experience a decrease in their cost of capital between 70 and 120 basis points. These effects are sustained and exist after the Sarbanes-Oxley Act. We find smaller reductions for cross-listings in the over-the-...
-
作者：Chen, Long
作者单位：Washington University (WUSTL)
摘要：A disconcerting, albeit generally accepted, finding is that aggregate stock returns are predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then show a dramatic reversal of predictability in the 134 years during 1872-2005: stock returns are largely unpredictable in the first seven decades, but become predictable in the postwar period; dividend growth is strongly pred...
-
作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; Goethe University Frankfurt; Centre for Economic Policy Research - UK; European Corporate Governance Institute; National Bureau of Economic Research
摘要：This paper shows that active investors, such as venture capitalists, can affect the speed at which new ventures grow. in the absence of product market competition, new ventures financed by active investors grow faster initially, though in the long run those financed by passive investors are able to catch up. By contrast, in a competitive product market, new ventures financed by active investors may prey on rivals that are financed by passive investors by strategically overinvesting early on, r...
-
作者：Betton, Sandra; Eckbo, B. Espen; Thorburn, Karin S.
作者单位：Dartmouth College; Concordia University - Canada
摘要：The substantial control premium typically observed in corporate takeovers makes a compelling case for acquiring target shares (a toehold) in the market prior to launching a bid. Moreover, auction theory suggests that toehold bidding may yield a competitive advantage over rival bidders. Nevertheless. with a sample exceeding 10,000 initial control bids for US public targets, we show that toehold bidding has declined steadily since the early 1980s and is now surprisingly rare. At the same time, t...
-
作者：Liu, Tingjun; Parlour, Christine A.
作者单位：Arizona State University; Arizona State University-Tempe; University of California System; University of California Berkeley
摘要：We consider firms that, all else equal, wish to minimize variability in their internal capital(due to convex costs of raising external funds). The firms can hedge the cash flow risk of the project, but not that of winning or losing the auction. We characterize optimal hedging and bidding strategies in this competition framework. We show that access to financial markets makes firms bid more aggressively, possibly even above their valuation for the project. In addition, hedging increases the var...
-
作者：Mixon, Scott
摘要：Traders in the nineteenth century appear to have priced options the same way that twenty-first-century traders price options. Empirical regularities relating implied volatility to realized volatility, stock prices, and other implied volatilities (including the volatility skew) are qualitatively the same in both eras. Modern pricing models and centralized exchanges have not fundamentally altered pricing behavior, but they have generated increased trading volume and a much closer conformity in t...
-
作者：Hutton, Amy P.; Marcus, Alan J.; Tehranian, Hassan
作者单位：Boston College
摘要：We investigate the relation between the transparency of financial statements and the distribution of stock returns. Using earnings management as a measure of opacity, we find that opacity is associated with higher R(2)s, indicating less revelation of firm-specific information. Moreover, opaque firms are more prone to stock price crashes, consistent with the prediction of the Jin and Myers [2006. R-2 around the world: new theory and new tests. Journal of Financial Economics 79, 257-292] model. ...
-
作者：Hale, Galina; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Theory suggests that banks' private information lets them hold up borrowers for higher interest rates. Since new information about a firm is revealed at the time of its bond IPO, it follows that banks will be forced to adjust their loan interest rates downwards after firms undertake their bond IPO. We test this hypothesis and find that firms are able to borrow at lower interest rates after their bond IPO. Importantly, firms that get their first credit rating at the time of their bond IPO benef...
