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作者：Berkman, Henk; Dimitrov, Valentin; Jain, Prem C.; Koch, Paul D.; Tice, Sheri
作者单位：Georgetown University; Massey University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Kansas; Tulane University
摘要：Miller [1977. Risk, uncertainty, and divergence of opinion. journal of Finance 32, 1151-1168] hypothesizes that prices of stocks subject to high differences of opinion and short-sales constraints are biased upward. We expect earnings announcements to reduce differences of opinion among investors, and consequently, these announcements should reduce overvaluation. Using five distinct proxies for differences of opinion, we find that high differences of opinion stocks earn significantly lower retu...
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作者：Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
作者单位：University System of Ohio; Ohio State University
摘要：This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In addition, innovations in accruals are negatively contemporaneously correlated with aggregate returns, and innovations in cash flows are positively correlated with returns. These findings suggest that inn...
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作者：Chemmanur, Thomas J.; He, Shan; Hu, Gang
作者单位：Boston College; Louisiana State University System; Louisiana State University; Babson College
摘要：Do institutional investors possess private information about seasoned equity offerings (SEOs)? If so, do they use this private information to trade in a direction opposite to this information (a manipulative trading role) or in the same direction (an information production role)? We use a large sample of transaction-level institutional trading data to distinguish between these two roles of institutional investors. We explicitly identify institutional SEO allocations for the first time in the l...
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作者：Lin, Ji-Chai; Singh, Ajai K.; Yu, Wen
作者单位：Louisiana State University System; Louisiana State University; University System of Ohio; Case Western Reserve University; University of St Thomas Minnesota
摘要：We hypothesize that managers use stock splits to attract more uninformed trading so that market makers can provide liquidity services at lower costs, there by increasing investors' trading propensity and improving liquidity. We examine a large sample of stock splits and find that, consistent with our hypothesis, the incidence of no trading decreases and liquidity risk is lower following splits, implying a decline in latent trading costs and a reduced cost of equity capital. Further, split anno...
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作者：Low, Angie
作者单位：Nanyang Technological University
摘要：Equity-based compensation affects managers' risk-taking behavior, which in turn has an impact on shareholder wealth. In response to an exogenous increase in takeover protection in Delaware during the mid-1990s, managers lower firm risk by 6%. This risk reduction is concentrated among firms with low managerial equity-based incentives, in particular firms with low chief executive officer portfolio sensitivity to stock return volatility. Furthermore, the risk reduction is value-destroying. Finall...
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作者：Gatev, Evan; Strahan, Philip E.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Boston College; Simon Fraser University
摘要：We decompose syndicated loan risk into credit, market, and liquidity risk and test how these shape syndicate structure. Commercial banks dominate relative to non-banks in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of creditor market risk. We then tie commercial banks' advantage in liquidity risk to access to transactions deposits by comparing investments a cross-banks. The results suggest that risk-management conside...
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作者：Degryse, Hans; Van Achter, Mark; Wuyts, Gunther
作者单位：Tilburg University; University of Bonn; KU Leuven; European Central Bank; National Bank of Belgium
摘要：We analyze a dynamic microstructure model in which a dealer market (DM) and a crossing network (CN) interact for three informational settings. A key result is that coexistence of trading systems generates systematic patterns in order flow, which depend on the degree of transparency. Further, we study overall welfare, measured by the gains from trade of all agents, and compare it with the maximum overall welfare. The discrepancy between both measures is attributable to two inefficiencies. Due t...
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作者：Da, Zhi; Warachka, Mitchell Craig
作者单位：Singapore Management University; University of Notre Dame
摘要：The returns of stocks are partially driven by changes in their expected cashflow. Using revisions in analyst earnings forecasts, we construct an analyst earnings beta that measures the covariance between the cashflow innovations of an asset and those of the market. A higher analyst earnings beta implies greater sensitivity to market wide revisions in expected cashflow, and therefore higher systematic risk. Our analyst earnings beta captures exposure to macroeconomic fluctuations and has a posi...
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作者：Hennessy, Christopher A.; Livdan, Dmitry
作者单位：University of California System; University of California Berkeley
摘要：We examine optimal leverage for a downstream firm relying on implicit (self-enforcing) contracts with a supplier. Performing a leveraged recapitalization prior to bargaining increases the firm's share of total surplus. However, the resulting debt overhang limits the range of credible bonuses, resulting in low input quality. Optimal financial structure trades off bargaining benefits of debt within efficiency resulting from overhang. Consistent with empirical evidence, the model predicts that le...
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作者：Qiu, Jiaping; Yu, Fan
作者单位：Claremont Colleges; Claremont McKenna College; Claremont Graduate University; McMaster University
摘要：How do bond holders view the existence of an open market for corporate control? Between 1985 and 1991,30 states in the U.S. enacted business combination (BC) laws, raising the cost of corporate takeovers. Relying on these exogenous events, we estimate the influence of the market for corporate control on the cost of debt. We identify different channels through which an open market for corporate control can benefit or harm bondholders: a reduction in managerial slack or the quiet life, resulting...
