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作者：Lewellen, Jonathan; Nagel, Stefan
作者单位：Dartmouth College; Stanford University; National Bureau of Economic Research
摘要：Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, we argue that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium. We also provide a simple new test of the conditional CAPM using direct estimates of conditional alphas and betas from short-window regressi...
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作者：Leuz, Christian; Oberholzer-Gee, Felix
作者单位：University of Pennsylvania; Harvard University
摘要：This study examines the role of political connections in firms' financing strategies and their long-run performance. We view political connections as an example for domestic arrangements which can reduce the benefits of global financing. Using data from Indonesia, we find that firms with strong political connections are less likely to have publicly traded foreign securities. As a result, estimates of the performance consequences of foreign financing are severely biased if value-creating domest...
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作者：Cheung, Yan-Leung; Rau, P. Raghavendra; Stouraitis, Aris
作者单位：Purdue University System; Purdue University; City University of Hong Kong
摘要：We examine a sample of connected transactions between Hong Kong listed companies and their controlling shareholders. We address three questions: What types of connected transactions lead to expropriation of minority shareholders? Which firms are more likely to expropriate? Does the market anticipate the expropriation by firms? On average, firms announcing connected transactions earn significant negative excess returns, significantly lower than firms announcing similar arm's length transactions...
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作者：Avramov, Doron; Wermers, Russ
作者单位：University System of Maryland; University of Maryland College Park
摘要：This paper forms investment strategies in US domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk loadings, and (iii) benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability-long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4%/year by timing industries over the business cycle, and by an additional 3 to 6%/year by choosing fun...
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作者：Ottaviani, Marco; Sorensen, Peter Norman
作者单位：University of London; London Business School; University of Copenhagen
摘要：We develop and compare two theories of professional forecasters' strategic behavior. The first theory, reputational cheap talk, posits that forecasters endeavor to convince the market that they are well informed. The market evaluates their forecasting talent on the basis of the forecasts and the realized state. If the market expects forecasters to report their posterior expectations honestly, then forecasts are shaded toward the prior mean. With correct market expectations, equilibrium forecas...
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作者：DeAngelo, H; DeAngelo, L
作者单位：University of Southern California
摘要：Contrary to Miller and Modigliani [1961. Dividend policy, growth, and the valuation of shares. Journal of Business 34, 411-433], payout policy is not irrelevant and investment policy is not the sole determinant of value, even in frictionless markets. MM ask Do companies with generous distribution policies consistently sell at a premium above those with niggardly payouts? But MM's analysis does not address this question because the joint effect of their assumptions is to mandate 100% free cash ...
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作者：Chemmanur, Thomas J.; Fulghieri, Paolo
作者单位：Boston College; University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze firms' choice of exchange to list equity and exchanges' choice of listing standards when insiders have private information about firm value, but outsiders can produce (noisy) information at a cost. Exchanges are populated by two kinds of investors, whose numbers vary across exchanges: sophisticated (low information production cost) investors and ordinary (high-cost) investors. While firms are short-lived, exchanges are long-lived, value-maximizing agents whose listing and disclosure...
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作者：Kraus, Alan; Sagi, Jacob S.
作者单位：University of California System; University of California Berkeley; University of British Columbia
摘要：We investigate an economy of heterogeneous agents that cannot specify all exogenous welfare-relevant events and consequently view the impact of unforeseen contingencies as utility shocks. In this setting we characterize an appropriate market equilibrium concept when securities can trade only on demand- and price-contingent events. We establish the existence of an equilibrium for a class of parametric models in which aggregating taste shocks across agents can lead to nonconsumption pricing fact...
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作者：DeAngelo, Harry; DeAngelo, Linda; Stulz, Rene M.
作者单位：University of Southern California; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Consistent with a life-cycle theory of dividends, the fraction of publicly traded industrial firms that pay dividends is high when retained earnings are a large portion of total equity (and of total assets) and falls to near zero when most equity is contributed rather than earned. We observe a highly significant relation between the decision to pay dividends and the earned/contributed capital mix, controlling for profitability, growth, firm size, total equity, cash balances, and dividend histo...
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作者：Higgins, Matthew J.; Rodriguez, Daniel
作者单位：University System of Georgia; Georgia Institute of Technology; Emory University
摘要：We examine the performance of 160 pharmaceutical acquisitions from 1994 to 2001 and find evidence that on average acquirers realize significant positive returns. These returns are positively correlated with prior acquirer access to information about the research and development activities at target firms and a superior negotiating position. A unique Desperation Index is employed to determine the current status of a firm's internal productivity. We find that firms experiencing declines in inter...
