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作者：Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi
作者单位：Singapore Management University; Washington State University; University of Texas System; University of Texas Arlington; City University of Hong Kong; University of Missouri System; University of Missouri Columbia
摘要：Existing term structure models of defaultable bonds have often underestimated corporate bond spreads. A potential problem is that investors' taxes are ignored in these models. We propose a pricing model that accounts for stochastic default probability and differential tax treatments for discount and premium bonds. By estimating parameters directly from bond data, we obtain significantly positive estimates for the income tax rate of a marginal corporate bond investor after 1986. This contrasts ...
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作者：Beck, Thorsten; Demirguc-Kunt, Ash; Martinez Peria, Maria Soledad
作者单位：The World Bank
摘要：This paper is a first attempt at measuring financial sector outreach and investigating its determinants. First, we present new indicators of banking sector outreach across 99 countries, constructed from aggregate data provided by bank regulators. Second, we show that our indicators closely predict harder-to-collect micro-level statistics of household and firm use of banking services, and are associated with measures of firm financing obstacles in the expected way. Finally, we explore the assoc...
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作者：Schwert, G. William
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作者：Khorana, Ajay; Tufano, Peter; Wedge, Lei
作者单位：Harvard University; University System of Georgia; Georgia Institute of Technology; State University System of Florida; University of South Florida
摘要：We study mutual fund mergers between 1999 and 2001 to understand the role and effectiveness of fund boards. Some fund mergers-typically across-family mergers-benefit target shareholders but are costly to target fund directors. Such mergers are more likely when funds underperform and their boards have a larger percentage of independent trustees, suggesting that more-independent boards tolerate less underperformance before initiating across-family mergers. This effect is most pronounced when all...
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作者：Dallami, Mansoor; Hauswald, Robert
作者单位：American University; The World Bank
摘要：This paper provides an in-depth study of the allocation of a firm's residual risks not explicitly managed through interlocking contracts in the context of project finance. Focusing on the Ras Gas project, we relate its credit spreads as a measure of investor risk perceptions to firm-specific risk factors in the context of 25year supply agreements, debt covenants, and a debt-service guarantee contingent on output prices. Consistent with theoretical predictions, we find that unmanaged risk facto...
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作者：Haushalter, David; Klasa, Sandy; Maxwell, William F.
作者单位：University of Arizona; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Prior work suggests that if a firm shares a larger proportion of its growth opportunities with rivals, an inability to fully invest in these opportunities leads to predatory behavior on the part of rivals and losses in market share. We examine whether firms manage this predation risk. We find inter- and intra-industry evidence that the extent of the interdependence of a firm's investment opportunities with rivals is positively associated with its use of derivatives and the size of its cash hol...
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作者：Caggese, Andrea
作者单位：Pompeu Fabra University
摘要：We consider a dynamic multifactor model of investment with financing imperfections, adjustment costs and fixed and variable capital. We use the model to derive a test of financing constraints based on a reduced form variable capital equation. Simulation results show that this test correctly identifies financially constrained firms even when the estimation of firms' investment opportunities is very noisy. In addition, the test is well specified in the presence of both concave and convex adjustm...
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作者：Acharya, Viral V.; Bharath, Sreedhar T.; Srinivasan, Arland
作者单位：University of Michigan System; University of Michigan; University of London; London Business School; National University of Singapore
摘要：Using data on defaulted firms in the United States over the period 1982-1999, we show that creditors of defaulted firms recover significantly lower amounts in present-value terms when the industry of defaulted firms is in distress. We investigate whether this is purely an economic-downturn effect or also a fire-sales effect along the lines of Shleifer and Vishny [1992. Liquidation values and debt capacity: a market equilibrium approach. Journal of Finance 47, 1343-1366]. We find the fire-sales...
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作者：Ang, Andrew; Liu, Jun
作者单位：Columbia University; University of California System; University of California San Diego
摘要：Using only the definition of returns, together with a transversality assumption, we demonstrate that given a dividend process, any one of three variables-expected return, return volatility, and the price-dividend ratio-completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our findings lend insight into the nature of the risk-return rela...
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作者：Fan, Joseph P. H.; Wong, T. J.; Zhang, Tianyu
作者单位：Chinese University of Hong Kong; City University of Hong Kong
摘要：Almost 27% of the CEOs in a sample of 790 newly partially privatized firms in China are former or current government bureaucrats. Firms with politically connected CEOs underperform those without politically connected CEOs by almost 18% based on three-year post-IPO stock returns and have poorer three-year post-IPO earnings growth, sales growth, and change in returns on sales. The negative effect of the CEO's political ties also show up in the first-day stock return. Finally, firms led by politi...
