-
作者：Sun, Q; Tong, WHS
作者单位：Hong Kong Polytechnic University; Nanyang Technological University
摘要：We evaluate the performance changes of 634 state-owned enterprises (SOEs) listed on China's two exchanges upon share issuing privatisation (SIP) in the period 1994-1998. We find that SIP is effective in improving SOEs' earnings ability, real sales, and workers' productivity but is not successful in improving profit returns and leverage after privatisation. We also find state ownership having negative impacts on firm performance and legal-person ownership having positive impacts on firm perform...
-
作者：Frank, MZ; Goyal, VK
作者单位：University of British Columbia; Hong Kong University of Science & Technology
摘要：We test the pecking order theory of corporate leverage on a broad cross-section of publicly traded American firms for 1971 to 1998. Contrary to the pecking order theory, net equity issues track the financing deficit more closely than do net debt issues. While large firms exhibit some aspects of pecking order behavior, the evidence is not robust to the inclusion of conventional leverage factors, nor to the analysis of evidence from the 1990s. Financing deficit is less important in explaining ne...
-
作者：Ali, A; Hwang, LS; Trombley, MA
作者单位：University of Arizona; Seoul National University (SNU)
摘要：This paper shows that the book-to-market (B/M) effect is greater for stocks with higher idiosyncratic return volatility, higher transaction costs, and lower investor sophistication, consistent with the market-mispricing explanation for the anomaly. The B/M effect for high volatility stocks exceeds that for the low volatility stocks in 20 of the 22 sample years. Also, volatility exhibits significant incremental power beyond transaction costs and investor sophistication measures in explaining cr...
-
作者：Beck, T; Demirgüç-Kunt, A; Levine, R
作者单位：University of Minnesota System; University of Minnesota Twin Cities; The World Bank; National Bureau of Economic Research
摘要：Using a sample of 70 former colonies, this paper assesses two theories regarding the historical determinants of financial development. The law and finance theory holds that legal traditions, brought by colonizers, differ in terms of protecting the rights of private investors vis-A-vis the state, with important implications for financial markets. The endowment theory argues that the disease environment encountered by colonizers influences the formation of long-lasting institutions that shape fi...
-
作者：Chan, WS
摘要：Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effe...
-
作者：Baker, M; Greenwood, R; Wurgler, J
作者单位：Harvard University; New York University
摘要：The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share, and together account for much of its own ability to predict excess bond returns. The results are consistent with survey evidence that fir...
-
作者：Milbourn, TT
作者单位：Washington University (WUSTL)
摘要：I develop a theory of stock-based compensation contracts for the chief executive officers (CEOs) of firms and confront the theoretical predictions with recent CEO compensation data. The model characterizes the optimal contract for a CEO whose reputation evolves as signals of the executive's ability are observed by shareholders. Using various proxies for CEO reputation, I show a positive and economically meaningful relationship between stock-based pay-sensitivities and CEO reputation. The findi...
-
作者：Green, RC; Hollifield, B
作者单位：Carnegie Mellon University
摘要：We value a firm that pays its cash flows to equity through share repurchases in a dynamic environment where personal taxes are paid on capital gains upon realization. The cost of capital is reduced by approximately 0.8% through the use of repurchases relative to dividends. We use the empirical distribution of pre-tax free cash flows in Fama and French (1999) to evaluate the tradeoffs between the costs of financial distress, the personal-tax advantages of equity, and the corporate-tax advantage...
-
作者：Massa, M
作者单位：INSEAD Business School
摘要：This is a first attempt to study how the structure of the industry affects mutual fund behavior. I show that industry structure matters; the mutual fund families employ strategies that rely on the heterogeneity of the investors in terms of investment horizon by offering the possibility to switch across different funds belonging to the same family at no cost. I argue that this option acts as an externality for all the funds belonging to the same family, affecting the target level of performance...
-
作者：Valkanov, R
作者单位：University of California System; University of California Los Angeles
摘要：I use asymptotic arguments to show that the t-statistics in long-horizon regressions do not converge to well-defined distributions. In some cases, moreover, the ordinary least squares estimator is not consistent and the R 2 is an inadequate measure of the goodness of fit. These findings can partially explain the tendency, of long-horizon regressions to find significant results where previous short-term approaches find none. I propose a rescaled t-statistic, whose asymptotic distribution is eas...
