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作者：Parrino, R; Weisbach, MS
作者单位：University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine the importance of stockholder-bondholder conflicts in capital-structure choice. Numerical techniques are used to compute the expected wealth transfer between stockholders and bondholders when a firm adopts a new project. We characterize the set of positive NPV projects that stockholders prefer to ignore and the set of negative NPV projects that stockholders want to accept. The results illustrate how these distortions vary with firm and project characteristics. We also estimate the i...
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作者：Becker, C; Ferson, W; Myers, DH; Schill, MJ
作者单位：University of Washington; University of Washington Seattle; National Bureau of Economic Research; University of California System; University of California Riverside
摘要：This paper tests models of mutual fund market timing that allow the manager's payoff function to depend on returns in excess of a benchmark, and distinguish timing based on publicly available information from timing based on finer information. We simultaneously estimate parameters which describe the public information environment, the manager's risk aversion, and the precision of the fund's market-timing signal. Using a sample of more than 400 U.S. mutual funds for 1976-94, our findings sugges...
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作者：Kole, SR; Lehn, KM
作者单位：University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：Deregulation provides a natural experiment for examining how governance adapts to structural changes in the business environment. We investigate the evolution of governance structure, characterized by ownership concentration, compensation policy, and board composition, in the U.S. airline industry during a 22-year period surrounding the Airline Deregulation Act of 1978. Consistent with theory, we find that after deregulation (i) equity ownership is more concentrated, (ii) CEO pay increases, (i...
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作者：Miller, DP
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Texas A&M University System; Texas A&M University College Station
摘要：This paper examines the stock price impact of international dual listings. The sample consists of 181 firms from 35 countries that instituted their first Depositary Receipt program over the period 1985-1995. The market reaction to a Depositary Receipt program is larger in magnitude and more pervasive than previously reported. The stock price reaction is related to choice of exchange, geographical location (i.e., emerging or developed markets), and avenues for raising equity capital (i.e., publ...
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作者：Opler, T; Pinkowitz, L; Stulz, R; Williamson, R
作者单位：University System of Ohio; Ohio State University; Georgetown University
摘要：We examine the determinants and implications of holdings of cash and marketable securities by publicly traded U.S. firms in the 1971-1994 period. In time-series and cross-section tests, we find evidence supportive of a static tradeoff model of cash holdings. In particular, firms with strong growth opportunities and riskier cash flows hold relatively high ratios of cash to total non-cash assets. Firms that have the greatest access to the capital markets, such as large firms and those with high ...
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作者：Balduzzi, P; Lynch, AW
作者单位：New York University; Boston College
摘要：We examine the loss in utility for a consumer who ignores any or all of the following: (1) the multi-period nature of the consumer's portfolio-choice problem, (2) the empirically documented predictability of asset returns, or (3) transaction costs. Both the costs of behaving myopically and ignoring predictability can be substantial, although allowing for intermediate consumption reduces these costs. Ignoring realistic transaction costs fixed and proportional) imposes significant utility costs ...
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作者：Kan, R; Zhang, C
作者单位：University of Alberta; Hong Kong University of Science & Technology; University of Toronto
摘要：This paper studies generalized method of moments tests for the stochastic discount factor representation of asset pricing models when one of the proposed factors is in fact useless, defined as being independent of the asset returns. Analytic results on asymptotic distributions and simulation results on finite sample distributions both show that(i) the Wald test tends to overreject the hypothesis of a zero factor premium for a useless factor when the model is misspecified, (ii) with the presenc...
