-
作者：Moeller, T
作者单位：Texas Tech University System; Texas Tech University
摘要：Mergers and acquisitions are Well-suited events for a detailed study of the valuation effects of corporate governance structures. Using a sample of 388 takeovers announced in the friendly environment of the 1990s, I empirically show that target shareholder control, proxied by low target chief executive officer share ownership, low fractions of inside directors, and the presence of large Outside blockholders, is positively correlated with takeover premiums. In contrast, studies of takeovers in ...
-
作者：Asquith, P; Mikhail, MB; Au, AS
作者单位：Duke University; Massachusetts Institute of Technology (MIT); State Street Global Advisors
摘要：We catalog the complete contents of Institutional Investor All-American analyst reports and examine the market reaction to their release. Including the justifications supporting an analyst's opinion reduces, and in some models eliminates, the significance of earnings forecasts and recommendation revisions. Analysts both provide new information and interpret previously released information. The information in a report is most important for downgrades; target prices and the analyst's justificati...
-
作者：Bekaert, G; Harvey, CR; Lundblad, C
作者单位：Duke University; Columbia University; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington
摘要：We show that equity market liberalizations, on average, lead to a 1% increase in annual real economic growth. The effect is robust to alternative definitions of liberalization and does not reflect variation in the world business cycle. The effect also remains intact when an exogenous measure of growth opportunities is included in the regression. We find that capital account liberalization also plays a role in future economic growth, but, importantly, it does not subsume the contribution of equ...
-
作者：Berger, AN; Miller, NH; Petersen, MA; Rajan, RG; Stein, JC
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago; Northwestern University; University of California System; University of California Berkeley; Federal Reserve System - USA
摘要：Theories based on incomplete contracting suggest that small organizations have a comparative advantage in activities that make extensive use of soft information. We provide evidence consistent with small banks being better able to collect and act on soft information than large banks. In particular, large banks are less willing to lend to informationally difficult credits, such as firms with no financial records. Moreover, after controlling for the endogeneity of bank-firm matching, we find tha...
-
作者：Yu, F
作者单位：University of California System; University of California Irvine
摘要：Theory predicts that the quality of a firm's information disclosure can affect the term structure of its corporate bond yield spreads. Using cross-sectional regression and Nelson-Siegel yield curve estimation, I find that firms with higher Association for Investment Management and Research disclosure rankings tend to have lower credit spreads. Moreover, this transparency spread is especially large among short-term bonds. These findings are consistent with the theory of discretionary disclosure...
-
作者：Svenstrup, M
作者单位：Aarhus University
摘要：This paper resolves the disagreement between Longstaff et al. [2001. Journal of Finance Economics 62, 39-66] and Andersen and Andreasen [2001. Journal of Financial Economics 62, 3-37] over the effectiveness of the common business practice of using best-fit single-factor term structure models to deduce exercise strategies of Bermudan swaptions. I examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multifactor world. I show t...
-
作者：Bhagat, S; Dong, M; Hirshleifer, D; Noah, R
作者单位：University System of Ohio; Ohio State University; York University - Canada; University of Colorado System; University of Colorado Boulder
摘要：Conventional techniques of estimating takeover value improvements measure only a fraction of the total gain and include revelation about bidder stand-alone value. To address these biases, we develop the probability scaling method, which rescales announcement date returns; and the intervention method, which uses returns at intervening events. Perceived value improvements are larger than traditional methods indicate. We cannot reject the hypothesis that bidders on average pay fair prices. Combin...
-
作者：Peyer, UC; Vermaelen, T
作者单位：INSEAD Business School
摘要：We investigate the causes and consequences of 737 privately negotiated share repurchases in the years 1984 2001. In contrast to the negative announcement returns and positive repurchase premiums reported by past research, we find positive announcement returns and premiums that are not significantly different from zero. Only when we investigate the 60 greenmail events separately do we find results similar to past research. However, for this subsample, we find long-horizon excess returns that ar...
-
作者：Cull, R; Xu, LC
作者单位：The World Bank; Peking University
摘要：Johnson et al. (2002. American Economic Review 92 (5), 1335-1356) examine the relative importance of property rights and external finance in several Eastern European countries. They find property rights to be overwhelmingly important, while external finance explains little of firm reinvestment. McMillan and Woodruff (2002. Journal of Economic Perspectives 16 (3), 153-170) further conjecture that as transition moves along, market-supporting (financial) institutions should become more important....
-
作者：Ghysels, E; Santa-Clara, P; Valkanov, R
作者单位：University of California System; University of California Los Angeles; University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies the intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns, the mixed data sampling (or MIDAS) approach. Using MIDAS, we find a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process and to controlling for var...
