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作者：Chay, J. B.; Suh, Jungwon
作者单位：Ewha Womans University; Sungkyunkwan University (SKKU)
摘要：The importance of cash-flow uncertainty in payout policy has received little attention in empirical studies, while survey studies such as [Lintner, J., 1956. Distribution of incomes of operations among dividends, retained earnings, and taxes. American Economic Review 46, 97-113.] and [Brav. A., Graham, J., Harvey C., Michaely, R., 2005. Payout policy in the 21st century. journal of Financial Economics 77, 483-527.] indicate its importance. With worldwide firm-level data, we present evidence th...
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作者：Goettler, Ronald L.; Parlour, Christine A.; Rajan, Uday
作者单位：University of Chicago; University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We consider a dynamic limit order market in which traders optimally choose whether to acquire information about the asset and the type of order to submit. We numerically solve for the equilibrium and demonstrate that the market is a volatility multiplier: prices are more volatile than the fundamental value of the asset. This effect increases when the fundamental value has high volatility and with asymmetric information across traders. Changes in the microstructure noise are negatively correlat...
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作者：Nini, Greg; Smith, David C.; Sufi, Amir
作者单位：University of Chicago; University of Pennsylvania; University of Virginia
摘要：We present novel empirical evidence that conflicts of interest between creditors and their borrowers have a significant impact on firm investment policy. We examine a large sample of private credit agreements between banks and public firms and find that 32% of the agreements contain an explicit restriction on the firm's capital expenditures. Creditors are more likely to impose a capital expenditure restriction as a borrower's credit quality deteriorates, and the use of a restriction appears at...
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作者：Anderson, Ronald C.; Duru, Augustine; Reeb, David M.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; American University
摘要：We argue that information about firm activities can vary substantially in the presence of founder or heir ownership, thereby influencing the risks borne by minority investors. We explore two hypotheses with regard to these controlling shareholders and corporate transparency, focusing on their role as monitor in-place and their potential to exploit firm opacity to accrue private benefits of control. To test these notions, we create an opacity index that ranks the relative transparency of the tw...
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作者：Kedia, Simi; Rajgopal, Shiva
作者单位：University of Washington; University of Washington Seattle; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：We find that fixed effects related to the location of firms' headquarters explain variation in broad based option grants after controlling for industry effects and firm characteristics traditionally known to affect option granting. Location matters because of local labor market conditions and social interaction with neighboring firms. Broad based option grants are higher: (i) when a firm's stock prices co-move more with stock prices of other firms located in that Metropolitan Statistical Area ...
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作者：Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin
作者单位：Centre for Economic Policy Research - UK; Boston University; Bank of Canada; Stanford University; National Bureau of Economic Research
摘要：This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that global private information helps explain US investors' trading behavior and performance. In particular, the model predicts global return chasing (positive co-movement of US investors' net purchases with returns in many countries) which we show to be present in the data. Return chasing in...
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作者：Hilary, Gilles; Hui, Kai Wai
作者单位：Hong Kong University of Science & Technology; Hautes Etudes Commerciales (HEC) Paris
摘要：We examine how corporate culture influences firm behavior. Prior research suggests a link between individual religiosity and risk a version. We find that this relationship also influences organizational behavior. Firms located in counties with higher levels of religiosity display lower degrees of risk exposure, as measured by variances in equity returns or returns on assets. They exhibit a lower investment rate and less growth, but generate a more positive market reaction, when they announce n...
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作者：Kim, E. Han; Morse, Adair; Zingales, Luigi
作者单位：National Bureau of Economic Research; University of Chicago; University of Michigan System; University of Michigan
摘要：We study the location-specific component of research productivity for economics and finance faculty over the last three decades. We find that there was a positive effect of being affiliated with a top 25 university in the 1970s; this effect weakened in the 1980s and disappeared in the 1990s. The decline in elite university fixed effect is due to the reduced importance of physical access to productive research colleagues, which in turn seems due to innovations in communication technology. One i...
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作者：Brockman, Paul; Unlu, Emre
作者单位：University of Missouri System; University of Missouri Columbia; University of Nebraska System; University of Nebraska Lincoln
摘要：We show that country-level creditor rights influence dividend policies around the world by establishing the balance of power between debt and equity claimants. Creditors demand and managers consent to a more restrictive Payout policy as a substitute for weak creditor rights in an effort to minimize the firm's agency costs of debt. Using a sample of 120,507 firm-years from 52 countries, we find that both the probability and amount of dividend payouts are significantly lower in countries with po...
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作者：Pasquariello, Paolo; Vega, Clara
作者单位：University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions-information heterogeneity and imperfect competition among informed traders-and a public signal. Cur evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds...
