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作者：Durham, GB
作者单位：University of Iowa
摘要：An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyo...
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作者：Liu, J; Pan, J
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles
摘要：We study optimal investment strategies given investor access not only to bond and stock markets but also to the derivatives market. The problem is solved in closed form. Derivatives extend the risk and return tradeoffs associated with stochastic volatility and price jumps. As a means of exposure to volatility risk, derivatives enable non-myopic investors to exploit the time-varying opportunity set; and as a means of exposure to jump risk, they enable investors to disentangle the simultaneous e...
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作者：Nenova, T
作者单位：The World Bank
摘要：This paper measures the value of corporate voting rights, specifically of the control block of votes, in a sample of 661 dual-class firms in 18 countries, in 1997. A consistent measure across countries is proposed. The measure is adjusted for takeover probability, block-holding costs, and dividend and liquidity differences between the share classes. The value of controlblock votes varies widely across countries. It is close to half of firm market value in South Korea, and close to zero in Finl...
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作者：Brickley, JA; Linck, JS; Smith, CW Jr
作者单位：University System of Georgia; University of Georgia; University of Rochester
摘要：Agency theory implies that asset ownership and decision authority are complements. Using 1998 data from Texas commercial banks, we test whether the likelihood of local ownership of bank offices increases with the importance of granting local managers greater decision authority (for example, due to location or customer base). Our empirical evidence is consistent with this hypothesis. It suggests that complementarities between strategy and organizational structure can foster differentiation amon...
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作者：Guay, W; Kothari, SP
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：For 234 large non-financial corporations using derivatives, we report the magnitude of their risk exposure hedged by financial derivatives. If interest rates, currency exchange rates, and commodity prices change simultaneously by three standard deviations, the median firm's derivatives portfolio, at most, generates $15 million in cash and $31 million in value. These amounts are modest relative to firm size, and operating and investing cash flows, and other benchmarks. Corporate derivatives use...
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作者：Demers, E; Lewellen, K
作者单位：University of Rochester
摘要：This paper explores the potential marketing benefits of going public and of IPO underpricing. We examine the impact of IPO underpricing on website traffic, which is a direct measure of product market performance for internet firms. If underpricing attracts media attention and creates valuable publicity, we expect an increase in web traffic following the IPO. We find that web traffic growth in the month after the IPO is positively and significantly associated with initial returns, and the effec...
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作者：Fleming, J; Kirby, C; Ostdiek, B
作者单位：Rice University; University of Texas System; University of Texas Dallas
摘要：Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this realized volatility approach in the context of investment decisions. Our results indicate that the value of switching from daily to intradaily returns to estimate the conditional covariance matrix can be substantial. We estimate that a risk-averse investor would be willing to pay 50 to ...
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作者：Officer, MS
作者单位：University of Southern California
摘要：The paper provides evidence on the effects of including a target termination fee in a merger contract. I test the implications of the hypothesis that termination fees are used by self-interested target managers to deter competing bids and protect sweetheart deals with white knight bidders, presumably resulting in lower premiums for target shareholders. An alternative hypothesis is that target managers use termination fees to encourage bidder participation by ensuring that the bidder is compens...
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作者：Campello, M
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper provides firm- and industry-level evidence of the effects of capital structure on product market outcomes for a large cross-section of industries over a number of years. The analysis uses shocks to aggregate demand as surrogates for exogenous changes in the product market environment. I find that debt financing has a negative impact on firm (relative-to-industry) sales growth in industries in which rivals are relatively unlevered during recessions, but not during booms. In contrast,...
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作者：Brockman, P; Turtle, HJ
作者单位：Hong Kong Polytechnic University; Washington State University
摘要：This paper proposes a framework for corporate security valuation based on path-dependent, barrier option models instead of the commonly used path-independent approach. We argue that path dependency is an intrinsic and fundamental characteristic of corporate securities because equity can be knocked out whenever a legally binding barrier is breached. A direct implication of this framework is that equity will be priced as a down-and-out call option. We provide empirical validation of the barrier ...
