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作者：Bakshi, Gurdip; Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; Bloomberg L.P.; University System of Maryland; University of Maryland College Park
摘要：We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that in the US or the UK, the global risk premium is more persistent and volatile than the country-specific risk premiums, and investors respond...
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作者：Eisfeldt, Andrea L.; Rampini, Adriano A.
作者单位：Duke University; Northwestern University
摘要：We argue that when managers have private information about the productivity of assets under their control and receive private benefits, substantial bonuses are required to induce less productive managers to declare that capital should be reallocated. The need to provide incentives for managers to relinquish control links executive compensation to capital reallocation and managerial turnover over the business cycle, rendering them procyclical if expected managerial compensation increases when m...
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作者：Benfratello, Luigi; Schiantarelli, Fabio; Sembenelli, Alessandro
作者单位：University of Turin; Consiglio Nazionale delle Ricerche (CNR); Boston College; IZA Institute Labor Economics; Collegio Carlo Alberto
摘要：In this paper we investigate the effect of local banking development on firms' innovative activities, using a rich data set on innovation for a large number of Italian firms over the 1990s. There is evidence that banking development affects the probability Of Process innovation, particularly for firms in high-tech sectors, in Sectors more dependent upon external finance, and for firms that are small. The evidence for product innovation is much weaker and not robust. There is also some evidence...
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作者：Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M.
作者单位：Rensselaer Polytechnic Institute; Bank of Finland; State University System of Florida; University of South Florida
摘要：While the importance of currency movements to industry competitiveness is theoretically well established, there is little evidence that Currency risk impacts US industries. Applying a conditional asset pricing model to 36 US industries, we find that all industries have a Significant Currency premium that adds about 2.47 percentage points to the cost of equity and accounts for approximately 11.7% of total risk premium in absolute Value. Cross-industry Variation in the Currency premium is explai...
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作者：Bizjak, John M.; Lemmon, Michael L.; Naveen, Lalitha
作者单位：Portland State University; Utah System of Higher Education; University of Utah; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We provide empirical evidence on how the practice of competitive benchmarking affects chief executive officer (CEO) pay. We find that the use of benchmarking is widespread and has a significant impact on CEO compensation. One view is that benchmarking is inefficient because it can lead to increases in executive pay not tied to firm performance. A contrasting view is that benchmarking is a practical and efficient mechanism used to gauge the market wage necessary to retain valuable human capital...
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作者：Guedhami, Omrane; Pittman, Jeffrey
作者单位：Memorial University Newfoundland; University of South Carolina System; University of South Carolina Columbia
摘要：We examine the link between Internal Revenue Service (IRS) monitoring and yield spreads on private firms' 144A bond issues. After controlling for security-specific and other firm-specific determinants, we provide evidence that debt financing is cheaper when the probability of a face-to-face IRS audit is higher. Consistent with another prediction, we find that IRS oversight has a stronger impact on bond pricing for private firms with high ownership concentration, which suffer worse agency probl...
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作者：Bottazzi, Laura; Da Rin, Marco; Hellmann, Thomas
作者单位：University of British Columbia; European Corporate Governance Institute; Tilburg University; Bocconi University; University of Bologna
摘要：This paper examines the determinants and consequences of investor activism in venture capital. Using a hand-collected sample of European venture capital deals, it shows the importance of human capital. Venture capital firms with partners that have prior business experience are more active recruiting managers and directors. helping with fundraising, and interacting more frequently with their portfolio companies. Independent venture capital firms are also more active than 'captive' (bank-, corpo...
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作者：Chari, Anusha; Henry, Peter Blair
作者单位：Stanford University; University of Michigan System; University of Michigan
摘要：In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 4.1 percentage points. Cross-sectional changes in investment are significantly correlated with the signals about fundamentals embedded in the stock price changes that occur upon liberalization. Panel-data estimations show that a 10-percentage point increase in a firm's expected future sales growth predicts a 2.9- to 3.5-percen...
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作者：DeAngelo, Harry; DeAngelo, Linda
作者单位：University of Southern California
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作者：Larrain, Boria; Yogo, Motohiro
作者单位：University of Pennsylvania; Pontificia Universidad Catolica de Chile; National Bureau of Economic Research
摘要：The appropriate measure of cash flow for valuing corporate assets is net payout, which is the sum of dividends, interest, and net repurchases of equity and debt. Variation in net payout yield, the ratio of net payout to asset value, is mostly driven by movements in expected cash flow growth, instead of movements in discount rates. Net payout yield is less persistent than dividend yield and implies much smaller variation in long-horizon discount rates. Therefore, movements in the value of corpo...
