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作者：Minton, BA; Schrand, C
作者单位：University System of Ohio; Ohio State University; University of Pennsylvania
摘要：We show that higher cash flow volatility is associated with lower average levels of investment in capital expenditures, R&D, and advertising. This association suggests that firms do not use external capital markets to fully cover cash flow shortfalls but rather permanently forgo investment. Cash flow volatility also is associated with higher costs of accessing external capital, Moreover, these higher costs, as measured by some proxies, imply a greater sensitivity of investment to cash flow vol...
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作者：Stambaugh, RF
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting. Bayesian posterior distributions for the regression parameters are obtained under specifications that differ with respect to (i) prior beliefs about the autocorrelation of the regressor and (ii) whether the...
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作者：Datta, S; Iskandar-Datta, M; Patel, A
作者单位：Bentley University; Suffolk University; Wake Forest University
摘要：lWe examine whether the existence of a bank/firm relationship lowers the cost of public debt financing, Using a sample of first public straight debt offers, we test the cross-monitoring effect of bank debt and Diamond's (1991, Journal of Political Economy, 99, 689-721) reputation-building argument. We find that the existence of bank debt lowers the at-issue yield spreads for first public straight bond offers by about 68 basis points, on average. Consistent with Diamond's reputation-building ar...
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作者：Carpenter, JN; Lynch, AW
作者单位：New York University
摘要：We simulate standard tests of performance persistence using alternative return-generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. Look-ahead biased methodologies and missing final returns typical of U.S. mutual fund datasets can also materially affect persistence measures. Our results reinforce previous...
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作者：Core, JE; Holthausen, RW; Larcker, DF
作者单位：University of Pennsylvania
摘要：We find that measures of board and ownership structure explain a significant amount of cross-sectional variation in CEO compensation, after controlling for standard economic determinants of pay. Moreover, the signs of the coefficients on the board and ownership structure variables suggest that CEOs earn greater compensation when governance structures are less effective, We also find that the predicted component of compensation arising from these characteristics of board and ownership structure...
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作者：Figlewski, S; Gao, B
作者单位：New York University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Most derivative securities must be priced by numerical techniques. These models contain distribution error and nonlinearity error. The Adaptive Mesh Model (AMM) sharply reduces nonlinearity error by grafting one or more small sections of fine high-resolution lattice onto a tree with coarser time and price steps. Three different AMM structures are presented, one for pricing ordinary options, one for barrier options, and one for computing delta and gamma efficiently. The AMM approach can be adap...
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作者：Kim, M; Ritter, JR
作者单位：State University System of Florida; University of Florida; Kyung Hee University
摘要：The use of accounting information in conjunction with comparable firm multiples is widely recommended for valuing initial public offerings (IPOs). We find that the price-earnings (P/E), market-to-book, and price-to-sales multiples of comparable firms have only modest predictive ability without further adjustments. This is largely due to the wide variation of these ratios for young firms within an industry. PIE multiples using forecasted earnings result in much more accurate valuations than mul...
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作者：Schwert, GW
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作者：Krishnaswami, S; Spindt, PA; Subramaniam, V
作者单位：Tulane University; University of Louisiana System; University of New Orleans
摘要：We empirically examine the impact of flotation costs, agency conflicts, regulation, and information asymmetries on a firm's mix between public and private debt. Results indicate that firms with larger issue sizes exploit the scale economies in flotation costs of public debt. Firms with higher contracting costs due to moral hazard have higher proportions of private debt. There is only limited support for the adverse selection hypothesis. We find little evidence that firms with favorable private...
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作者：Himmelberg, CP; Hubbard, RG; Palia, D
作者单位：Columbia University; National Bureau of Economic Research
摘要：Both managerial ownership and performance are endogenously determined by exogenous land only partly observed) changes in the firm's contracting environment. We extend the cross-sectional results of Demsetz and Lehn (1985) (Journal of Political Economy, 93, 1155-1177) and use panel data to show that managerial ownership is explained by key variables in the contracting environment in ways consistent with the predictions of principal-agent models. A large fraction of the cross-sectional variation...
