-
作者：Longstaff, FA; Piazzesi, M
作者单位：University of Chicago; University of California System; University of California Los Angeles
摘要：Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-pricing implications of the sensitivity of corporate cash flows to economic shocks within a continuous-time model in which dividends are a stochastic fraction of aggregate consumption. We provide closed-form solutions for stock values and show that the equity premium can be represented as the sum of three components which we call the consumption-risk, event-risk, and corporate-risk premia. Calibrated to his...
-
作者：Mayfield, ES
作者单位：Charles River Associates
摘要：This paper provides a method for estimating the market risk premium that accounts for shifts in investment opportunities by explicitly modeling the underlying process governing the level of market volatility. I find that approximately 50% of the measured risk premium is related to the risk of future changes in investment opportunities. Evidence of a structural shift in the underlying volatility process suggests that the simple historical average of excess market returns may substantially overs...
-
作者：Ryan, HE Jr; Wiggins, RA III
作者单位：Louisiana State University System; Louisiana State University; Bentley University
摘要：We use a bargaining framework to examine empirically the relations between director compensation and board-of-director independence. Our evidence suggests that independent directors have a bargaining advantage over the CEO that results in compensation more closely aligned with shareholders' objectives. Firms with more outsiders on their boards award directors more equity-based compensation. When the CEO's power over the board increases, compensation provides weaker incentives to monitor. Firms...
-
作者：Hovakimian, A; Hovakimian, G; Tehranian, H
作者单位：Boston College; City University of New York (CUNY) System; Baruch College (CUNY); Fordham University
摘要：We examine whether market and operating performance affect corporate financing behavior because they are related to target leverage. Our focus on firms that issue both debt and equity enhances our ability to draw inferences. Consistent with dynamic trade-off theories, dual issuers offset the deviation from the target resulting from accumulation of earnings and losses. Our results also imply that high market-to-book firms have low target debt ratios. On the other hand, consistent with market ti...
-
作者：Ahn, S; Denis, DJ
作者单位：Purdue University System; Purdue University; Concordia University - Canada
摘要：We analyze changes in investment policy following 106 spinoffs between 1981 and 1996. Pre-spinoff, the sample firms are valued at a discount and invest less in their high q segments than do their single-segment peers. Post-spinoff, there is a significant increase in measures of investment efficiency and the diversification discount is eliminated. Furthermore, changes in excess value around the spinoff are positively related to changes in measures of investment efficiency. These findings suppor...
-
作者：Doidge, C
作者单位：University of Toronto
摘要：Non-U.S. firms that cross-list on U.S. exchanges have voting premiums that are 43% lower than non-U.S. firms that do not cross-list. The difference in voting premiums is statistically significant after controlling for firm and country characteristics and the difference is larger for firms from countries that provide poor protection to minority investors. When a U.S. listing is announced, both the high- and low-voting share classes benefit, although the low-voting class benefits relatively more...
-
作者：Getmansky, M; Lo, AW; Makarov, I
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The returns to hedge funds and other alternative investments are often highly serially correlated. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smooth...
-
作者：Andricopoulos, AD; Widdicks, M; Duck, PW; Newton, DP
作者单位：University of Manchester; University of Manchester
-
作者：Hogan, S; Jarrow, R; Teo, M; Warachka, M
作者单位：Singapore Management University; Cornell University
摘要：This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whethe...
-
作者：Kogan, L
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Firm investment activity and firm characteristics, particularly the market-to-book ratio or q, are functions of the state of the economy and therefore contain information about the dynamic behavior of stock returns. This paper develops a model of a production economy in which real investment is irreversible and subject to convex adjustment costs. During low-q (high-q) periods when the irreversibility constraint (constraint on the rate of investment) is binding, conditional volatility and expec...
