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作者：Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat; Wang, Yintian
作者单位：McGill University; Aarhus University; CREATES; Tilburg University; Tsinghua University
摘要：This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One is a long-run component and can be modeled as fully persistent. The other is short-run and has a zero mean. Our model can be viewed as an affine version of Engle and Lee [ 1999. A permanent and transitory component model of stock return volatility. In: Engle, R., White, H. (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive WJ....
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作者：Desai, Mihir A.; Foley, C. Fritz; Hines, Jannes R., Jr.
作者单位：Harvard University; University of Michigan System; University of Michigan
摘要：Firms facing significant business risks have incentives to mitigate the costs of these risks by adjusting their capital structures. This paper investigates this link by analyzing the exposures of multinational firms to political risk. The evidence indicates that returns on investment in politically risky countries are more volatile than returns elsewhere. Multinational firms reduce their leverage in response to these political risks: a one standard deviation increase in foreign political risk ...
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作者：Hong, Harrison; Wang, Jiang; Yu, Jialin
作者单位：Princeton University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Columbia University
摘要：We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained firms) should have lower short-horizon return variances (controlling for fundamental variance) than other firms. Using standard proxies for financing constraints such as past repurchases and firm age, we find strong Support for this predicted relation....
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作者：Nahata, Rajarishi
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：I propose a new measure of venture capital (VC) firm reputation and analyze its performance implications on private companies. Controlling for portfolio company quality and other VC-specific factors including experience, connectedness, syndication, industry competition, exit conditions, and investment environment, I find companies backed by more reputable VCs by initial public offering (IPO) capitalization share (based on cumulative market capitalization of IPCs backed by the VC), are more lik...
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作者：Hong, Harrison; Kubik, Jeffrey D.; Stein, Jeremy C.
作者单位：Princeton University; Syracuse University; Harvard University
摘要：Theory suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance of investors in its region. Using data on U.S. states and Census regions, we find clear-cut support for this proposition. Most of the variation in the ratio of interest comes from differences across regions in aggregate book value Per capita. Regions with low population density-e.g., the Deep South-are hom...
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作者：Cornett, Marcia Millon; Marcus, Alan J.; Tehranian, Hassan
作者单位：Boston College; Southern Illinois University System; Southern Illinois University
摘要：We ask whether the apparent impact of governance structure and incentive-based compensation on firm performance stands up when measured performance is adjusted for the effects of earnings management. Institutional ownership of shares, institutional investor representation on the board of directors, and the presence of independent outside directors on the board all reduce the use of discretionary accruals. These factors largely offset the impact of option compensation, which strongly encourages...
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作者：Handley, John C.
作者单位：University of Melbourne
摘要：Miller and Modigliani [1961. Dividend policy, growth and the valuation of shares. Journal of Business 34, 411-433] establish the irrelevance of dividend policy in a perfect capital market. DeAngelo and DeAngelo [2006. The irrelevance of the MM dividend irrelevance theorem. Journal of Financial Economics 79, 293-315.] suggest the Miller-Modigliani analysis is flawed and consequently their central conclusion is incorrect. The purpose of this paper is to show the vital role played by stock repurc...
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作者：Vickery, James
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Although small firms are particularly sensitive to interest rates and other shocks, empirical work on corporate risk management has focused instead on large public companies. This paper studies fixed-rate and adjustable-rate loans to see how small firms manage their exposure to interest rate risk. Credit-constrained firms are found to match significantly more often with fixed-rate loans, consistent with prior research that shows the supply of credit shrinks during periods of rising interest ra...
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作者：Aunon-Nerin, Daniel; Ehling, Paul
作者单位：BI Norwegian Business School
摘要：We investigate whether corporate finance incentives affect the extent of corporate hedging with property insurance. Using a database that contains detailed insurance information, we document a positive relation between the expected costs of distress and property insurance coverage. We also show that the dividend payout ratio is negatively associated with property insurance coverage, consistent with the view that firms with high payout ratios insure a smaller fraction of properties due to cash ...
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作者：Goyal, Amit; Perignon, Christophe; Villa, Christophe
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Hautes Etudes Commerciales (HEC) Paris; Audencia
摘要：We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose and implement a general procedure to estimate the space spanned by common and group-specific pervasive factors. In our empirical analysis, we study the factor structure of excess returns on stocks traded on the NYSE and Nasdaq using our methodology. We find that there are only two common pervasive factors that govern the returns for both NYSE and Nasdaq. At the same time,...
