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作者：Demirgüç-Kunt, A; Maksimovic, V
作者单位：University System of Maryland; University of Maryland College Park; The World Bank
摘要：We investigate whether firms' access to external financing to fund growth differs in market-based and bank-based financial systems. Using firm-level data for 40 countries, we compute the proportion of firms in each country relying on external finance and examine how that proportion differs across financial systems. We find that the development of a country's legal system predicts access to external finance, and stock markets and the banking system affect access to external finance differently....
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作者：Brandt, MW; Santa-Clara, P
作者单位：University of Pennsylvania; University of California System; University of California Los Angeles
摘要：We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new continuous-time model of the joint dynamics of interest rates in two countries and the exchange rate between the two currencies. The model allows financial markets to be incomplete and specifies the degree of...
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作者：Goyal, VK; Lehn, K; Racic, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Hong Kong University of Science & Technology
摘要：The U.S. defense industry provides a natural experiment for examining how changes in growth opportunities affect the level and structure of corporate debt. The growth opportunities of defense firms, compared with other firms, increased substantially during the Reagan defense buildup of the early 1980s but then declined significantly with the end of the cold war and associated defense budget cuts in the late 1980s and early 1990s. We examine how the level and Structure of corporate debt changed...
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作者：Goldberg, LG; Hudgins, SC
作者单位：University of Miami; Old Dominion University
摘要：This paper examines the role of uninsured deposits as a source of thrift funding from 1984 to 1994, and tests whether uninsured depositors have adjusted their holdings at thrifts in response to market forces, such as indications or impending institutional failure. It also examines how the reactions have changed over time as new legislation has been implemented. The study finds that failed institutions exhibit declining proportions of uninsured deposits-to-total-deposits prior to failure and th...
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作者：Bloomfield, R; Hales, J
作者单位：Cornell University; University of Texas System; University of Texas Austin
摘要：Barberis et al. (J. Financial Econ. 49 (1998) 307), construct a model in which investors use the prevalence of past trend reversals as an indicator of the likelihood of future reversals. While such regime-shifting beliefs are consistent with a variety of psychological theories, other contrary predictions are consistent with the same theories. We report two experiments with MBA-student participants that strongly support the existence of regime-shifting beliefs. We conclude that regime-shifting ...
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作者：Thomas, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：Managers frequently cite the desire to mitigate asymmetric information as a motivation for increasing firm focus. The information benefits of focus appear relevant for the subset of firms that actually increase their focus; however, the relevance of focus-related information benefits for the population of diversified firms is an open question. This paper examines the relation between corporate diversification and asymmetric information proxies derived from analysts' forecasts and abnormal retu...
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作者：Avramov, D
作者单位：University System of Maryland; University of Maryland College Park
摘要：We use Bayesian model averaging to analyze the sample evidence on return predictability in the presence of model uncertainty. The analysis reveals in-sample and out-of-sample predictability, and shows that the out-of-sample performance of the Bayesian approach is superior to that of model selection criteria. We find that term and market premia are robust predictor.;. Moreover, small-cap value stocks appear more predictable than large-cap growth stocks. We also investigate the implications of m...
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：Estimates of standard performance measures can be improved by using returns on assets not used to define those measures. Alpha, the intercept in a regression of a fund's return on passive benchmark returns, can be estimated more precisely by using information in returns on nonbenchmark passive assets, whether or not one believes those assets are priced by the benchmarks. A fund's Sharpe ratio can be estimated more precisely by using returns on other assets as well as the fund. New estimates of...
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作者：Bacidore, JM; Sofianos, G
摘要：We examine how the intrinsic differences between U.S. and non-U.S. stocks affect market participants and the market quality of non-U.S. stocks relative to U.S. stocks. Using proprietary data on NYSE specialist trading, we find that, all else equal, specialist closing inventory positions for non-U.S. stocks are closer to zero than U.S. stocks. The evidence on specialist participation and stabilization rates is mixed. Non-U.S. stocks from developed markets have higher specialist participation an...
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作者：Jones, CM; Lamont, OA
作者单位：University of Chicago; Columbia University; National Bureau of Economic Research
摘要：Stocks can be overpriced when short-sale constraints bind. We study the costs of shortselling equities from 1926 to 1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjust...
