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作者：Almeida, H; Wolfenzon, D
作者单位：New York University; National Bureau of Economic Research
摘要：We analyze the relationship between conglomerates' internal capital markets and the efficiency of economy-wide capital allocation, and we identify a novel cost of conglomeration that arises from an equilibrium framework. Because of financial market imperfections engendered by imperfect investor protection, conglomerates that engage in winner-picking (Stein, 1997 [Internal capital markets and the completion for corporate resources. Journal of Finance 52, 111-133]) find it optimal to allocate sc...
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作者：Grout, PA; Zalewska, A
作者单位：University of Bath; University of Bristol; University of Bristol
摘要：While it is crucial to understand the impact of regulatory changes on market risk, the literature does not show how risk responds to expected regulatory changes that are specifically designed to change risk. Our paper fills this gap by providing a detailed study of one such case. Using both a sample of privatized U.K. companies, and U.K. and U.S. control portfolios, between 1993 and 2000, we show (both for the single-factor market model and the three-factor Fama-French model) that the observed...
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作者：James, Christopher; Karceski, Jason
作者单位：State University System of Florida; University of Florida
摘要：Firms with poor aftermarket performance are given higher target prices and are more likely to receive strong buy recommendations, especially by analysts affiliated with the lead underwriter. This favorable coverage is relatively short lived, typically lasting less than six months. Controlling for the quantity of coverage received, stock prices of newly public firms increase more when the target price ratio is high and recommendation is a strong buy. These results suggest that when a firm goes ...
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作者：Lerner, J; Rajan, R
作者单位：Harvard University
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作者：Bhanot, K; Mello, AS
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Texas System; University of Texas at San Antonio
摘要：Recent corporate debt offerings have included a covenant specifying a pre-determined payment to debtholders when the debt is downgraded. We examine the incentive for equityholders to increase firm risk (and the associated costs) when debt includes a rating trigger. Equityholders of firms with a low-risk profile and operating flexibility choose debt with a trigger, while equityholders of firms with a high-risk profile and less flexibility choose regular debt. A trigger that requires an equity i...
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作者：Jin, Li; Merton, Robert C.; Bodie, Zvi
作者单位：Harvard University; Boston University
摘要：This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet and are often viewed as segregated from the rest of the firm, with its own trus...
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作者：Rajan, RG; Wulf, J
作者单位：University of Pennsylvania; University of Chicago; International Monetary Fund
摘要：A widespread view is that executive perks exemplify agency-problems-they are a route through which managers misappropriate a firm's surplus. Accordingly,. firms with high free cash flow, operating in industries with limited investment prospects, should offer more perks, and firms subject to more external monitoring should offer fewer perks. The evidence for agency as an explanation of perks is, at best, mixed. Perks are, however, offered in situations in which they enhance managerial productiv...
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作者：Polk, Christopher; Thompson, Samuel; Vuolteenaho, Tuomo
作者单位：Northwestern University; Harvard University; National Bureau of Economic Research
摘要：If investors are myopic mean-variance optimizers, a stock's expected return is linearly related to its beta in the cross-section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We also introduce novel statistical methods for testing stock-return predictability based on endogenous variables whose shocks are potentially...
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作者：Bakshi, Gurdip; Ju, Nengjiu; Ou-Yang, Hui
作者单位：Hong Kong University of Science & Technology; University System of Maryland; University of Maryland College Park; Duke University
摘要：The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance process. Offering methodological convenience, the approximation method relies on numerically evaluating one-dimensional integrals and circumvents existing dependence on intractable multidimensional integral...
