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作者：Santos, JAC; Rumble, AS
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper investigates the equity investments and voting rights that American banks control through their trust business. The paper also studies whether the voting rights American banks control through their trust business help explain their presence on firms' corporate boards. We find that on average the largest 100 American banks control 10% of the voting rights of S&P 500 firms. We also find that there are several firms in the S&P 500 index in which the top banks control more than 20% of t...
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作者：Villalonga, Belen; Amit, Raphael
作者单位：Harvard University; University of Pennsylvania
摘要：Using proxy data on all Fortune-500 firms during 1994-2000, we find that family ownership creates value only when the founder serves as CEO of the family firm or as Chairman with a hired CEO. Dual share classes, pyramids, and voting agreements reduce the founder's premium. When descendants serve as CEOs, firm value is destroyed. Our findings suggest that the classic owner-manager conflict in nonfamily firms is more costly than the conflict between family and nonfamily shareholders in founder-C...
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作者：Coles, JL; Daniel, ND; Naveen, L
作者单位：Arizona State University; Arizona State University-Tempe; University System of Georgia; Georgia State University
摘要：We provide empirical evidence of a strong causal relation between managerial compensation and investment policy, debt policy, and firm risk. Controlling for CEO pay-performance sensitivity (delta) and the feedback effects of firm policy and risk on the managerial compensation scheme, we find that higher sensitivity of CEO wealth to stock volatility (vega) implements riskier policy choices, including relatively more investment in R&D, less investment in PPE, more focus, and higher leverage. We ...
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作者：Wachter, JA
作者单位：University of Pennsylvania
摘要：This paper proposes a consumption-based model that accounts for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated to data on consumption, inflation, and the aggregate market, the model produces realistic means and volatilities of bond yields and accounts for the expectations puzzle. ...
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作者：Jin, L; Myers, SC
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：Morck, Yeung and Yu show that R-2 is higher in countries with less developed financial systems and poorer corporate governance. We show how control rights and information affect the division of risk bearing between managers and investors. Lack of transparency increases R-2 by shifting firm-specific risk to managers. Opaque stocks with high R(2)s are also more likely to crash, that is, to deliver large negative returns. Using stock returns from 40 stock markets from 1990 to 2001, we find strong...
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作者：Rauh, Joshua D.
作者单位：University of Chicago
摘要：If managers induce employees to hold company stock in defined contribution pension plans as a form of takeover defense, then changes in state laws that enhance managerial protection should lead to a reduction in employer stock in 401(k) plans. Delaware's mid-1990s validation of the poison pill in conjunction with a staggered board was followed by a significant decline in employee ownership within defined contribution plans for firms incorporated in Delaware. Evidence using governance data sugg...
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作者：Sadka, Ronnie
作者单位：University of Washington; University of Washington Seattle
摘要：This paper investigates the components of liquidity risk that are important for understanding asset-pricing anomalies. Firm-level liquidity is decomposed into variable and fixed price effects and estimated using intraday data for the period 1983-2001. Unexpected systematic (market-wide) variations of the variable component rather than the fixed component of liquidity are shown to be priced within the context of momentum and post-earnings-announcement drift (PEAD) portfolio returns. As the vari...
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作者：Li, Wei; Lie, Erik
作者单位：University of Iowa
摘要：We extend Baker and Wurgler's [2004a. Journal of Finance 59 1125-1165] catering theory to include decreases and increases in existing dividends. Consistent with our extended model, we find that the decision to change the dividend and the magnitude of the change depend on the premium that the capital market places on dividends. We also find that the stock market reaction to dividend changes depends on the dividend premium. Thus, the capital market rewards managers for considering investor deman...
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作者：Cooper, Michael J.; McConnell, John J.; Ovtchinnikov, Alexel V.
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; Purdue University System; Purdue University; Virginia Polytechnic Institute & State University
摘要：Strectlore since at least 1973 has touted the market return in January as a predictor of market returns for the remainder of the year. We systematically examine the predictive power of January returns over the period 1940-2003 and find that January returns have predictive power for market returns over the next I I months of the year. The effect persists after controlling for macroeconomic/ business cycle variables that have been shown to predict stock returns, the Presidential Cycle in returns...
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作者：Hirshleifer, David; Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
摘要：We provide a model in which irrational investors trade based upon considerations that have no inherent connection to fundamentals. However, trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying cash flows. As a result, irrational investors can, in some situations, earn abnormal (i.e., risk-adjusted) profits that can exceed the abnormal profits of rational informed investors. Although the trading of irratio...
