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作者：Gaspar, Jose-Miguel; Massa, Massimo
作者单位：INSEAD Business School; ESSEC Business School
摘要：We investigate how ownership patterns affect the way the firm is monitored, the liquidity of its shares, and its stock price. We show that informed ownership improves governance and induces value-enhancing decisions (less over-investment and fewer but better acquisitions). At the same time, it increases the adverse selection discount required by less informed investors to trade, reducing the firm's liquidity. Both effects are impounded in the stock price. This explains why ownership seems to b...
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作者：Efendi, Jap; Srivastava, Anup; Swanson, Edward P.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; California State University System; California Polytechnic State University San Luis Obispo
摘要：We investigate the incentives that led to the rash of restated financial statements at the end of the 1990s market bubble. We find that the likelihood of a misstated financial statement increases greatly when the CEO has very sizable holdings of in-the-money stock options. Misstatements are also more likely for firms that are constrained by an interest-coverage debt covenant, that raise new debt or equity capital, or that have a CEO who serves as board chair. Our results indicate that agency c...
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作者：Hennessy, Christopher A.; Levy, Amnon; Whited, Toni M.
作者单位：University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a Q theory of investment under financing constraints. The firm invests and saves optimally facing convex costs of external equity, overhang from outstanding debt, and collateial constraints on new borrowing. Overhang and costs of external equity discourage investment. Conversely, firms anticipating collateral constraints experience a side benefit from investing as installed capital relaxes future constraints. Empirical tests support the model. Conditional on average Q, investment is...
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作者：Kale, Jayant R.; Shahrur, Husayn
作者单位：Bentley University; University System of Georgia; Georgia State University
摘要：We investigate the link between a firm's leverage and the characteristics of its suppliers and customers. Specifically, we examine whether firms use decreased leverage as a commitment mechanism to induce suppliers/customers to undertake relationship-specific investments. We find that the firm's leverage is negatively related to the R&D intensities of its suppliers and customers. We also find lower debt levels for firms operating in industries in which strategic alliances and joint ventures wit...
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作者：Grenadier, Steven R.; Wang, Neng
作者单位：Columbia University; Stanford University; National Bureau of Economic Research
摘要：While standard real options models assume that agents possess a constant rate of time preference, there is substantial evidence that agents are impatient about choices in the short term but are patient when choosing between long-term alternatives. We extend the real options framework to model the investment-timing decisions of entrepreneurs with time-inconsistent preferences. The impact on investment-timing depends on such factors as whether entrepreneurs are sophisticated or naive in their ex...
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作者：Farhi, Emmanuel; Panageas, Stavros
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We Study optimal consumption and portfolio choice in a framework where investors adjust their labor Supply through an irreversible choice of their retirement time. We show that investing for early retirement tends to increase savings and reduce an agent's effective relative risk aversion, thus increasing her stock market exposure. Contrary to common intuition, an investor might find it optimal to increase the proportion of financial wealth held in stocks as she ages and accumulates assets, eve...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Ren M.
作者单位：University System of Ohio; Ohio State University; University of Toronto; National Bureau of Economic Research
摘要：This paper develops and tests a model of how country characteristics, such as legal protections for minority investors and the level of economic and financial development, influence firms' costs and benefits in implementing measures to improve their own governance and transparency. We find that country characteristics explain much more of the variance in governance ratings (ranging from 39% to 73%) than observable firm characteristics (ranging from 4% to 22%). Further, we show that firm charac...
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作者：DeMarzo, Peter; Kaniel, Ron; Kremer, Ilan
作者单位：National Bureau of Economic Research; Duke University
摘要：We investigate why new, high-risk technologies can attract excessive and often unprofitable investment. We develop an equilibrium model in which rational, risk-averse agents overinvest in a risky technology, possibly to the point that its expected return is negative. Overinvestment results from relative wealth concerns which arise endogenously from the imperfect tradability of future endowments. Competition over future consumption leads to an indirect utility for wealth with keeping up with th...
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作者：Coval, Joshua; Stafford, Erik
作者单位：Harvard University
摘要：This paper examines institutional price pressure in equity markets by studying mutual fund transactions caused by capital flows from 1980 to 2004. Funds experiencing large outflows tend to decrease existing positions, which creates price pressure in the securities held in common by distressed funds. Similarly, the tendency among funds experiencing large inflows to expand existing positions creates positive price pressure in overlapping holdings. Investors who trade against constrained mutual f...
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作者：Locke, Peter; Onayev, Zhan
作者单位：Texas Christian University
摘要：We analyze the dynamics of the S&P 500 futures price, finding both short- and long-run effects of order flow on price. While price moves strongly with the order flow in the short-run, the long-run impact is slightly negative, attributable to costly slippage from a hedging propensity in futures markets. We find strong evidence of a state dependence in the relation between price and order flow, using both volume and floor trader income measures as states. We also find that both the long- and sho...
