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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：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：Core, JE; Larcker, DF
作者单位：University of Pennsylvania
摘要：We examine a sample of firms that adopt target ownership plans, under which managers are required to own a minimum amount of stock. We find that prior to plan adoption, such firms exhibit low managerial equity ownership and low stock price performance. Managerial equity ownership increases significantly in the two years following plan adoption. We also observe that excess accounting returns and stock returns are higher after the plan is adopted. Thus, for our sample of firms, the required incr...
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作者：Dai, Q; Singleton, KJ
作者单位：Stanford University; New York University; National Bureau of Economic Research
摘要：Linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional 'expectations theory. This paper shows that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we match all the key empirical findings reported by Fama and Bliss ((1987) American Economic Review 77 (4), 680 692) and Campbell and Shiller ((1991) Review of Economic Studies 58, 495-514), among others, within large subclas...
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作者：Faccio, M; Lang, LHP
作者单位：University of Notre Dame; Chinese University of Hong Kong
摘要：We analyze the ultimate ownership and control of 5,232 corporations in 13 Western European countries. Typically firms are widely held (36.93%) or family controlled (44.29%). Widely held firms are more important in the UK and Ireland, family controlled firms in continental Europe. Financial and large firms are more likely widely held, while non-financial and small firms are more likely family controlled. State control is important for larger firms in certain countries. Dual class shares and pyr...
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作者：Schwert, GW
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作者：Rosenberg, JV; Engle, RF
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using S&P 500 index option data and a stochastic volatility model for the S&P 500 return process. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significant...
