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作者：Heston, Steven L.; Sadka, Ronnie
作者单位：University of Washington; University of Washington Seattle; University System of Maryland; University of Maryland College Park
摘要：This paper presents a new pattern in the cross-section of expected stock returns. Stocks tend to have relatively high (or low) returns every year in the same calendar month. We recognize the annual cross-sectional autocorrelation pattern documented in Jegadeesh [1990. Evidence of predictable behavior of security returns. Journal of Finance 45, 881-898] at lags of 12, 24, and 36 months as part of a general pattern that lasts up to 20 annual lags, superimposed on the general momentum/reversal pa...
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作者：Duarte, Jefferson; Han, Xi; Harford, Jarrad; Young, Lance
作者单位：University of Washington; University of Washington Seattle; Tsinghua University
摘要：This paper considers the impact of Regulation Fair Disclosure (FD) on firms' information environments and costs of capital. For NYSE/Amex firms we find little evidence of a change in the cost of capital attributable to Regulation FD. For Nasdaq firms we find that Regulation FD increased firms' costs of capital by 10-19 basis points per annum though the statistical significance of this change is modest for some of our models. We also show substantial cross-sectional variation in the cost If cap...
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作者：Kamara, Avraham; Lou, Xiaoxia; Sadka, Ronnie
作者单位：Boston College; University of Delaware; University of Washington; University of Washington Seattle
摘要：This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with similar patterns in systematic risk. Our analysis also indicates that the ability to diversify systematic risk and aggregate liquidity shocks by holding large-cap stocks has declined. The evidence suggest...
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作者：Boone, Audra L.; Mulherin, J. Harold
作者单位：University of Kansas; University System of Georgia; University of Georgia
摘要：We contrast the winner's curse hypothesis and the competitive market hypothesis as potential explanations for the observed returns to bidders in corporate takeovers. The winner's curse hypothesis posits suboptimal behavior in which winning bidders fail to adapt their strategies to the level of competition and the amount of uncertainty in the takeover environment and predicts that bidder returns are inversely related to the level of competition in a given deal and to the uncertainty in the valu...
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作者：Guner, A. Burak; Malmendier, Ulrike; Tatec, Geoffrey
作者单位：University of California System; University of California Berkeley; Barclays; University of California System; University of California Los Angeles
摘要：We analyze how directors with financial expertise affect corporate decisions. Using a novel panel data set, we find that financial experts exert significant influence, though not necessarily in the interest of shareholders. When commercial bankers join boards, external funding increases and investment-cash flow sensitivity decreases. However, the increased financing flows to firms with good credit but poor investment opportunities. Similarly, investment bankers on boards are associated with la...
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作者：Linck, James S.; Netter, Jeffry M.; Yang, Tina
作者单位：University System of Georgia; University of Georgia; Clemson University
摘要：Using a comprehensive sample of nearly 7,000 firms from 1990 to 2004, we examine the corporate board structure, trends, and determinants. Guided by recent theoretical work, we find that board structure across firms is consistent with the costs and benefits of the board's monitoring and advising roles. Our models explain as much as 45% of the observed variation in board structure. Further, small and large firms have dramatically different board structures. For example, board size fell in the 19...
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作者：Korajczyk, Robert A.; Sadka, Ronnie
作者单位：University of Washington; University of Washington Seattle; Northwestern University
摘要：We estimate latent factor models of liquidity, aggregated across various liquidity measures. Shocks to assets' liquidity have a common component across measures which accounts for most of the explained variation in individual liquidity measures. We find that across-measure systematic liquidity is a priced factor while within-measure systematic liquidity does not exhibit additional pricing information. Controlling for across-measure systematic liquidity risk, there is some evidence that liquidi...
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作者：Bertrand, Marianne; Johnson, Simon; Samphantharak, Krislert; Schoar, Antoinette
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago; University of California System; University of California San Diego
摘要：How does the structure of the families behind business groups affect the group's organization, governance, and performance? We construct a unique dataset of family trees and business groups for 93 of the largest business families in Thailand. We find a strong positive association between family size and family involvement in the ownership and control of the family businesses. The founders' sons play a central role in both ownership and board membership, especially when the founder of the group...
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作者：Karpoff, Jonathan M.; Lee, D. Scott; Martin, Gerald S.
作者单位：University of Washington; University of Washington Seattle; Texas A&M University System; Texas A&M University College Station; Mays Business School; American University
摘要：We track the fortunes of all 2,206 individuals identified as responsible parties for all 788 Securities and Exchange Commission (SEC) and Department of Justice (DOJ) enforcement actions for financial misrepresentation from January 1, 1978 through September 30, 2006. Fully 93% lose their jobs by the end of the regulatory enforcement period. Most are explicitly fired. The likelihood of ouster increases with the cost of the misconduct to shareholders and the quality of the firm's governance. Culp...
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作者：Rountree, Brian; Weston, James P.; Allayannis, George
作者单位：Rice University; University of Virginia
摘要：This paper presents empirical evidence that cash-flow volatility is negatively valued by investors. The magnitude of the effect is substantial with a 1% increase in cash-flow volatility, resulting in approximately a 0.15% decrease in firm value. We show that this increase, however, is not associated with earnings smoothing resulting from managers' accrual estimates, Our results are consistent with a preference by the market for less volatile cash flows and suggest that managers' efforts to pro...
