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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University of Toronto; National Bureau of Economic Research
摘要：We study the determinants and consequences of cross-listings on the New York and London stock exchanges from 1990 to 2005. This investigation enables us to evaluate the relative benefits of New York and London exchange listings and to assess whether these relative benefits have changed over time, perhaps as a result of the passage of the Sarbanes-Oxley Act in 2002. We find that cross-listings have been falling on US exchanges as well as on the Main Market in London. This decline in cross-listi...
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作者：Zhu, Yingzi; Zhou, Guofu
作者单位：Washington University (WUSTL); Tsinghua University; Tsinghua University
摘要：In this paper, we analyze the usefulness of technical analysis, specifically the widely employed moving average trading rule from an asset allocation perspective. We show that, when stock returns are predictable, technical analysis adds value to commonly used allocation rules that invest fixed proportions of wealth in stocks. When uncertainty exists about predictability, which is likely in practice, the fixed allocation rules combined with technical analysis can outperform the prior-dependent ...
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作者：Bond, Philip; Musto, David K.; Yilmaz, Bilge
作者单位：University of Pennsylvania; Stanford University
摘要：Regulators express growing concern over predatory loans, which we take to mean loans that borrowers should decline. Using a model of consumer credit in which such lending is possible, we identify the circumstances in which it arises both with and without competition. We find that predatory lending is associated with highly collateralized loans, inefficient refinancing of subprime loans, lending without due regard to ability to pay, prepayment penalties, balloon payments, and poorly informed bo...
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作者：Fahlenbrach, Ruediger; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：From 1988 to 2003, the average change in managerial ownership is significantly negative every year for American firms. We find that managers are more likely to significantly decrease their ownership when their firms are performing well and more likely to increase their ownership when their firms become financially constrained. When controlling for past stock returns, we find that large increases in managerial ownership increase Tobin's q. This result is driven by increases in shares held by of...
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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-...
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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...
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作者：Fratzscher, Marcel; Imbs, Jean
作者单位：European Central Bank; University of Geneva; Centre for Economic Policy Research - UK
摘要：We develop a standard model to show how transaction costs in international investment affect conventional tests of consumption risk sharing, both in a multilateral and a bilateral setting. We implement the tests in a novel international data set on bilateral holdings of equity, bonds, foreign direct investment (FDI) and bank loans. In our data, high foreign capital holdings are associated with international consumption risk sharing as implied by our theory. This is especially true of investmen...
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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：Options may have an effect on firm value because they help complete markets and stimulate informed trades. However, these benefits are likely to manifest themselves in active, rather than inactive, options markets. Supporting this observation, we find that firms with more options trading have higher values of Tobin's q, after accounting for other determinants of value. Corporate investment in firms with greater options trading is more sensitive to stock prices. Options trading affects firm val...
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作者：Jacobs, Kris; Karoui, Lotfi
作者单位：McGill University; Tilburg University
摘要：We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For the swap sample, this correlation is rather low or negative. We find that these differences in model performance are primarily due to the timing of the swap sample, and not to institutional differences be...
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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...
