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作者：Harvey, CR; Lins, KV; Roper, AH
作者单位：Duke University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper conducts powerful new tests of whether debt can mitigate the effects of agency and information problems. We focus on emerging market firms for which pyramid ownership structures create potentially extreme managerial agency costs. Our tests incorporate both traditional financial statement data and new data on global debt contracts. Our analysis is mindful of the potential endogeneity between debt, ownership structure, and value, and it takes into account differences in the debt capac...
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作者：Cadenillas, A; Cvitanic, J; Zapatero, F
作者单位：University of Southern California; University of Alberta; University of Southern California; University of Southern California
摘要：We study the incentive effects of granting levered or unlevered stock to a risk-averse manager. The stock is granted by risk-neutral shareholders who choose leverage and compensation level. The manager applies costly effort and selects the level of volatility, both of which affect expected return. The results are driven by the attempt of the risk-neutral shareholders to maximize the value of their claims net of the compensation package. We consider a dynamic setting and find that levered stock...
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作者：Carr, P; Wu, LR
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; Bloomberg L.P.
摘要：The classic Black-Scholes option pricing model assumes that returns follow Brownian motion, but return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non-normal return innovations. Second, return volatilities vary stochastically over time. Third, returns and their volatilities are correlated, often negatively for equities. Time-changed Levy, processes can simultaneously address these three issues. We show that our framework encompass...
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作者：Lowry, M; Schwert, GW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester; National Bureau of Economic Research
摘要：This paper investigates underwriters' treatment of public information throughout the IPO pricing process. Two key findings emerge. First, public information is not fully incorporated into the initial price range. While the economic magnitude of the bias is small, it is puzzling because it is not clear who benefits from it. Further, it indicates that the filing range midpoint is not an unbiased predictor of the offer price, as prior literature has assumed. Second, while public information is si...
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作者：Lerner, J; Schoar, A
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper presents the theory that managers can use the liquidity of securities as a choice variable to screen for deep-pocket investors, those that have a low likelihood of facing a liquidity shock. We assume an information asymmetry about the quality of the manager between the existing investors and the market. The manager then faces a lemons problem when he has to-raise funds for a subsequent fund from outside investors, because the outsiders cannot determine whether the manager is of poor...
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作者：Penas, MF; Unal, H
作者单位：University System of Maryland; University of Maryland College Park; Tilburg University
摘要：We present evidence that the adjusted returns of merging banks' bonds are positive and significant across pre-merger and announcement months. The cross-sectional evidence indicates that the primary determinants of merger-related bondholder gains are diversification gains, gains associated with achieving too-big-to-fail status, and, to a lesser degree, synergy gains. We obtain the same finding when we examine the acquiring banks' credit spreads on new debt issues both before and after the merge...
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作者：Fernandez, P
作者单位：University of Navarra; IESE Business School
摘要：The value of tax shields is the difference between the present values of two different cash flows, each with their own risk: the present value of taxes for the unlevered company and the present value of taxes for the levered company. For constant growth companies, the value of tax shields in a world with no leverage cost is the present value of the debt, times the tax rate, times the unlevered cost of equity, discounted at the unlevered cost of equity. This result arises as the difference of t...
