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作者：Lambrecht, Bart M.; Myers, Stewart C.
作者单位：Lancaster University; Massachusetts Institute of Technology (MIT)
摘要：We present a theory of capital investment and debt and equity financing in a real-options model of a public corporation. The theory assumes that managers maximize the present value of their future compensation (managerial rents), subject to constraints imposed by outside shareholders' property rights to the firm's assets. Absent bankruptcy costs, managers follow an optimal debt policy that generates efficient investment and disinvestment. We show how bankruptcy Costs can distort both investmen...
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作者：Frazzini, Andrea; Lamont, Owen A.
作者单位：University of Chicago; Yale University
摘要：We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money-by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of s...
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作者：Tserlukevich, Yuri
作者单位：Hong Kong University of Science & Technology
摘要：Trade-off models commonly invoke financial transaction costs in order to explain observed leverage fluctuations. This paper offers an alternative explanation based on real options. The model is frictionless on the financing side but incorporates irreversibility and fixed costs of investment. Results obtained from Simulating the model are broadly consistent with observed financing patterns. Market leverage ratios are negatively related to profitability, mean-reverting, and depend on past stock ...
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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：Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the...
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作者：Coles, Jeffrey L.; Daniel, Naveen D.; Naveen, Lalitha
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Drexel University; Arizona State University; Arizona State University-Tempe
摘要：This paper reexamines the relation between firm value and board structure. We find that complex firms, which have greater advising requirements than simple firms, have larger boards with more outside directors. The relation between Tobin's Q and board size is U-shaped, which, at face value, suggests that either very small or very large boards are optimal. This relation, however, arises from differences between complex and simple firms. Tobin's Q increases (decreases) in board size for complex ...
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作者：Puri, Manju; Rocholl, Joerg
作者单位：Duke University; National Bureau of Economic Research; European School of Management & Technology
摘要：We use proprietary data to analyze the importance of retail banking relationships to commercial banks and their depositors when banks underwrite securities. We find lead underwriters' retail customers benefit as they demand and end up with significantly more of the highly underpriced issues. We find it is actual underpricing beyond that predicted by grey markets that drive the differential demand from the lead bank retail clientele, suggesting that banks pass on information about underpriced i...
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作者：Andrade, Sandro C.; Chang, Charles; Seasholes, Mark S.
作者单位：Santa Clara University; University of Miami; Cornell University
摘要：We test the implications of a multi-asset equilibrium model in which a finite number of risk-averse liquidity providers accommodate non-informational trading imbalances. These imbalances generate predictable reversals in stock returns. An imbalance in one stock also affects the prices of other stocks. The magnitude of the cross-stock price pressure depends on the correlations of the stocks' underlying cash flows. The model implies that non-informational trading increases the volatility of stoc...
