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作者：Fich, Eliezer M.; Shivdasani, Anil
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Drexel University
摘要：We investigate the reputational impact of financial fraud for outside directors based on a sample of firms facing shareholder class action lawsuits. Following a financial fraud lawsuit, outside directors do not face abnormal turnover on the board of the sued firm but experience a significant decline in other board seats held. This decline in other directorships is greater for more severe allegations of fraud and when the outside director bears greater responsibility for monitoring fraud. Inter...
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作者：Dittmar, Amy; Mahrt-Smith, Jan
作者单位：University of Michigan System; University of Michigan; University of Toronto
摘要：We investigate how corporate governance impacts firm value by comparing the value and use of cash holdings in poorly and well-governed firms. We show that governance has a substantial impact on value through its impact on cash: $1.00 of cash in a poorly governed firm is valued at only $0.42 to $0.88. Good governance approximately doubles this value. Furthermore, we show that firms with poor corporate governance dissipate cash quickly in ways that significantly reduce operating performance. Thi...
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作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We analyze the effects of managerial incentive, firm characteristics and market timing on floating-to-fixed rate debt structure of firms. We find that chief financial officer's (CFO's), not chief executive officer's (CEO's), incentive has a strong influence on firm's debt structure. When CFOs have incentives to increase (decrease) firm risk, firms obtain volatility-increasing (-decreasing) debt structure. These effects are present only for CFOs who are not subject to high monitoring by board m...
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作者：Desai, Mihir A.; Dyck, Alexander; Zingales, Luigi
作者单位：University of Chicago; University of Toronto; Harvard University
摘要：This paper analyzes the interaction between corporate taxes and corporate governance. We show that the design of the corporate tax system affects the amount of private benefits extracted by company insiders and that the quality of the corporate governance system affects the sensitivity of tax revenues to tax changes. Analyses of a tax enforcement crackdown in Russia and cross-country data on tax changes support this two-way interaction between corporate governance and corporate taxation. (c) 2...
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作者：Duffie, Darrell; Saita, Leandro; Wang, Ke
作者单位：Stanford University
摘要：We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For US Industrial firms, based on over 390,000 firm-months of data spanning 1980 to 2004, the term structure of conditional future default probabilities depends on a firm's distance to default (a volatility-adjusted measure of leverage), on the firm's trailing stock return, on trailing S&P 500 returns, and on US...
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作者：Piazzesi, Monika; Schneider, Martin; Tuzel, Selale
作者单位：University of Chicago; New York University; University of Southern California
摘要：This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that...
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作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines how a shock to collateral value influences firms' debt capacities and investments. Using a source of exogenous variation in collateral value provided by the land market collapse in Japan, I find that collateral has a statistically and economically significant impact on corporate investments. I also provide direct evidence on the workings of such a collateral channel. Exploiting a unique dataset of matched bank-firm lending, I show that firms with greater collateral losses a...
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作者：Jorion, Philippe; Zhang, Gaiyan
作者单位：University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
摘要：This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Positive correlations across CDS spreads imply that contagion effects dominate, whereas negative correlations indicate competition effects. We find strong evidence of contagion effects for Chapter 11 bankruptcies and competition effects for Chapter 7 bankruptcies. We also introduce a purely unanticipated event, in the form of a large jump in a co...
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作者：Cheridito, Patrick; Filipovic, Damir; Kimmel, Robert L.
作者单位：University System of Ohio; Ohio State University; Princeton University; University of Munich
摘要：We extend the standard specification of the market price of risk for affine yield models, and apply it to U.S. Treasury data. Our specification often provides better fit, sometimes with very high statistical significance. The improved fit comes from the time-series rather than cross-sectional features of the yield curve. We derive conditions under which our specification does not admit arbitrage opportunities. The extension has extremely strong statistical significance For affine yield models ...
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作者：Herrera, Ana Maria; Minetti, Raoul
作者单位：Michigan State University
摘要：This paper empirically investigates the effect of informed finance on technological change. The theoretical literature offers conflicting predictions on whether the information of financiers fosters or inhibits firms' innovation. Using data from a sample of Italian manufacturing firms, we find that the information of firms' main banks, proxied by the duration of credit relationships, promotes innovation. This positive effect is economically and statistically more significant for product than f...
