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作者：Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan
作者单位：Swiss Finance Institute (SFI); University of Lausanne; University of Lausanne; Boston University; Washington University (WUSTL)
摘要：This paper develops a framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to adapt their default and financing policies to the position of the economy in the business cycle phase. We then demonstrate that this simple observation has a wide range of empirical implications for corporations. Notably, we show that our mo...
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作者：Hellmann, Thomas
作者单位：University of British Columbia
摘要：This paper provides a new explanation for the use of convertible securities in venture capital. A key property of convertible preferred equity is that it allocates different cash flow rights, depending on whether exit occurs by acquisition or IPO. The paper builds a model with double moral hazard, where both the entrepreneur and the venture capitalist provide value-adding effort. The optimal contract gives the venture capitalist more cash flow rights in acquisitions than IPOs. This explains th...
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作者：Duffee, GR
作者单位：University of California System; University of California Berkeley
摘要：A combination of observed and unobserved (latent) factors capture term structure dynamics. Information about these dynamics is extracted from observed factors using restrictions implied by no-arbitrage, without specifying or estimating any of the parameters associated with latent factors. Estimation is equivalent to fitting the moment conditions of a set of regressions, where no-arbitrage imposes cross-equation restrictions on the coefficients. The methodology is applied to the dynamics of inf...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：Dartmouth College; University of Chicago
摘要：Valuation theory says that expected stock returns are related to three variables: the book-to-market equity ratio (B-t/M-t), expected profitability, and expected investment. Given B-t/M-t and expected profitability, higher expected rates of investment imply lower expected returns. But controlling for the other two variables, more profitable firms have higher expected returns, as do firms with higher B-t/M-t. These predictions are confirmed in our tests. (c) 2006 Elsevier B.V. All rights reserv...
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作者：Chordia, Tarun; Shivakumar, Lakshmanan
作者单位：University of London; London Business School; Emory University
摘要：This paper examines whether earnings momentum and price momentum are related. Both in time-series as well as in cross-sectional asset pricing tests, we find that price momentum is captured by the systematic component of earnings momentum. The predictive power of past returns is subsumed by a zero-investment portfolio that is long on stocks with high earnings surprises and short on stocks with low earnings surprises. Further, returns to the earnings-based zero-investment portfolio are significa...
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作者：Zarutskie, Rebecca
作者单位：Duke University
摘要：This paper presents evidence on the financial and real effects of bank competition using a large panel of privately held firms. I trace the firm-level impact of the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994, which increased the competitiveness of U.S. banking markets. Following the deregulation, newly formed firms used significantly less external debt, were smaller, and realized higher returns on assets, consistent with their investing less due to greater financial co...
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作者：Bates, Thomas W.; Lemmon, Michael L.; Linck, James S.
作者单位：University of Arizona; Utah System of Higher Education; University of Utah; University System of Georgia; University of Georgia
摘要：This paper examines the shareholder wealth effects of bids by controlling shareholders seeking to acquire the remaining minority equity stake in a firm, deals commonly referred to as minority freeze-outs. Minority claimants in freeze-out offers receive an allocation of deal surplus at the bid announcement that exceeds their pro rata claim on the firm. An analysis of bid outcomes and renegotiation indicates that minority claimants and their agents exercise significant bargaining power during fr...
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作者：Peng, L; Xiong, W
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Princeton University; Princeton University; National Bureau of Economic Research
摘要：Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors' attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure of information, when combined with investor overconfidence, generates important features observed in...
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作者：Fauver, Larry; Fuerst, Michael E.
作者单位：University of Miami
摘要：Within the German corporate governance system, employee representation on the supervisory board is typically legally mandated. We propose that such representation of labor on corporate boards confers valuable first-hand operational knowledge to corporate board decision-making. Indeed, we find that labor representation provides a powerful means of monitoring and reduces agency costs within the firm. Moreover, we show that the greater the need for coordination within the firm, the greater the po...
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作者：Johnson, Timothy C.
作者单位：University of London; London Business School
摘要：This paper analyzes endogenous variations in aggregate liquidity that arise in standard representative-agent endowment economies. I introduce a natural definition of liquidity, essentially a shadow elasticity, that characterizes the price impact function or bid/ask spread that a small trader would experience. I compute this quantity for some tractable examples and uncover a rich variety of predictions that, in some cases, appear consistent with levels and covariations observed in the data. The...
