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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：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：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：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：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...
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作者：Clarke, Jonathan; Khorana, Ajay; Patel, Ajay; Rau, P. Raghavendra
作者单位：Purdue University System; Purdue University; University System of Georgia; Georgia Institute of Technology; Wake Forest University
摘要：Using a sample of all-star analysts who switch investment banks, we examine (1) whether analyst behavior is influenced by banking relationships and (2) whether analyst behavior affects investment banking deal flow. Although the stock coverage decision depends on the relationship with the client firms, we find no evidence that analysts change their optimism or recommendation levels when joining a new firm. Investment banking deal flow is related to analyst reputation only for equity transaction...
