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作者：Harvey, Campbell R.; Lipson, Marc L.; Warnock, Francis E.
作者单位：Duke University; National Bureau of Economic Research
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作者：Rantapuska, Elias
作者单位：Aalto University
摘要：This study examines the ex-dividend day trading behavior of all investors in the Finnish stock market. Consistent with dynamic dividend clientele theories, investors with a preference for dividend income buy shares cum-dividend and sell ex-dividend; the reverse is true for investors with the opposite preference. Investors also engage in overnight arbitrage, earning on average a 2% overnight return on their invested capital. Trades at the investor-level reveal that idiosyncratic risk is an impo...
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作者：Chen, Long; Petkova, Ralitsa; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Michigan State University; Michigan State University's Broad College of Business; Texas A&M University System; Texas A&M University College Station; Mays Business School; National Bureau of Economic Research
摘要：Fama and French [2002. The equity premium. Journal of Finance 57, 637-659] estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend growth component of 4.4% and an expected dividend price ratio component of 1.7%. Unlike the equity premium, the value premium has been largely stable over the last...
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作者：Hertzel, Michael G.; Li, Zhi; Officer, Micah S.; Rodgers, Kimberly J.
作者单位：University of Southern California; Arizona State University; Arizona State University-Tempe; American University
摘要：Extant research examines the extent to which bankruptcy has intra-industry valuation consequences. This study broadens the investigation by examining the wealth effects of distress and bankruptcy filing for suppliers and customers of filing firms. On average, important wealth effects occur prior to and at bankruptcy filings and extend beyond industry competitors along the supply chain. Specifically, distress related to bankruptcy filings is associated with negative and significant stock price ...
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作者：Schaefer, Stephen M.; Strebulaev, Ilya A.
作者单位：Stanford University; University of London; London Business School
摘要：Structural models of credit risk provide poor predictions of bond prices. We show that, despite this, they provide quite accurate predictions of the sensitivity of corporate bond returns to changes in the value of equity (hedge ratios). This is important since it suggests that the poor performance of structural models may have more to do with the influence of non-credit factors rather than their failure to capture the credit exposure of corporate debt. The main result of this paper is that eve...
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作者：Denis, David J.; Osobov, Igor
作者单位：Purdue University System; Purdue University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：In the US, Canada, UK, Germany, France, and Japan, the propensity to pay dividends is higher among larger, more profitable firms, and those for which retained earnings comprise a large fraction of total equity. Although there are hints of reductions in the propensity to pay dividends in most of the sample countries over the 1994-2002 period, they are driven by a failure of newly listed firms to initiate dividends when expected to do so. Dividend abandonment and the failure to initiate by exist...
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作者：Winton, Andrew; Yerramilli, Vijay
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We analyze how entrepreneurial firms choose between two funding institution: banks, which monitor less intensively and face liquidity demands from their own investors, and venture capitalists, who can monitor more intensively but face a higher cost of capital because of the liquidity constraints that they impose on their own investors. Because the firm's manager prefers continuing the firm over liquidating it and aggressive (risky) continuation strategies over conservative (safe) continuation ...
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作者：Bates, Thomas W.; Becher, David A.; Lemmon, Michael L.
作者单位：University of Arizona; Drexel University; Utah System of Higher Education; University of Utah
摘要：This paper considers the relation between board classification, takeover activity, and transaction outcomes for a panel of firms between 1990 and 2002. Target board classification does not change the likelihood that a firm, once targeted, is ultimately acquired. Moreover, shareholders of targets with a classified board realize bid returns that are equivalent to those of targets with a single class of directors, but receive a higher proportion of total bid surplus. Board classification does red...
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作者：Fogel, Kathy; Morck, Randall; Yeung, Bernard
作者单位：University of Alberta; University of Arkansas System; University of Arkansas Fayetteville; National Bureau of Economic Research; New York University
摘要：What is good for a country may not be good for its big businesses, at least recently. More turnover in top businesses correlates with faster per capita gross domestic product, productivity, and capital growth; supporting Schumpeter's [1942. Capitalism, Socialism and Democracy, third ed., Harper & Bros., New York, NY] theory of creative destruction-innovative firms blooming as stagnant ones wither. These correlations are greater in more developed economies, supporting Aghion and Howitt's [1992....
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作者：Bae, Kee-Hong; Stulz, Rene M.; Tan, Hongping
作者单位：University System of Ohio; Ohio State University; Queens University - Canada; University of Waterloo
摘要：This paper examines whether analysts resident in a country make more precise earnings forecasts for firms in that country than non-resident analysts. Using a sample of 32 countries, we find an economically and statistically significant local analyst advantage even after controlling for firm and analyst characteristics. The local advantage is high in countries where earnings are smoothed more, less information is disclosed by firms, and firm idiosyncratic information explains a smaller fraction...
