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作者：Gong, Guojin; Louis, Henock; Sun, Amy X.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Both post-repurchase abnormal returns and reported improvement in operating performance are driven, at least in part, by pre-repurchase downward earnings management rather than genuine growth in profitability. The downward earnings management increases with both the percentage of the company that managers repurchase and CEO ownership. Pre-repurchase abnormal accruals are also negatively associated with future performance, with the association driven mainly by those firms that report the larges...
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作者：Eisdorfer, Assaf
作者单位：University of Connecticut
摘要：This paper provides evidence of risk-shifting behavior in the investment decisions of financially distressed firms. Using a real options framework, I show that shareholders' risk-shifting incentives can reverse the expected negative relation between volatility and investment. I test two hypotheses that are consistent with risk-shifting behavior: (i) volatility has a positive effect on distressed firms' investment; (ii) investments of distressed firms generate less value during times of high un...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：Duke University; University of Pennsylvania; Columbia University
摘要：This paper empirically investigates directors' ownership in the mutual fund industry. Our results show that, contrary to anecdotal evidence, a significant portion of directors hold shares in the funds they oversee. Ownership patterns are broadly consistent with an optimal contracting equilibrium. That is, ownership is positively and significantly correlated with most variables that are predicted to indicate greater value from directors' monitoring. For example, directors' ownership is more pre...
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作者：Almazan, Andres; Banerji, Sanjay; De Motta, Adolfo
作者单位：University of Texas System; University of Texas Austin; University of Essex; McGill University
摘要：We provide a theory of informal communication-cheap talk-between firms and capital markets that incorporates the role of agency conflicts between managers and shareholders. The analysis suggests that a policy of discretionary disclosure that encourages managers to attract the market's attention when the firm is substantially undervalued can create shareholder value. The theory also relates the credibility of managerial announcements to the use of stock-based compensation, the presence of infor...
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作者：Corwin, Shane A.; Coughenour, Jay F.
作者单位：University of Notre Dame; University of Delaware
摘要：While limited attention has been analyzed in a variety of economic and psychological settings, its impact on financial markets is not well understood. In this paper, we examine individual NYSE specialist portfolios and test whether liquidity provision is affected as specialists allocate their attention across stocks. Our results indicate that specialists allocate effort toward their most active stocks during periods of increased activity, resulting in less frequent price improvement and increa...
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作者：Yang, Liu
作者单位：University of California System; University of California Los Angeles
摘要：I develop a dynamic structural model in which a firm makes rational decisions to buy or sell assets in the presence of productivity shocks. By identifying equilibrium asset prices, the model also examines the aggregate asset sales activity over the business cycle. It shows that changes in productivity, rather than productivity levels, affect decisions: Firms with rising productivity buy assets and firms with falling productivity downsize (rising buys falling). As such, industries in which firm...
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作者：Lemmon, Michael L.; Roberts, Michael R.; Zender, Jaime F.
作者单位：Utah System of Higher Education; University of Utah; University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：We find that the majority of variation in leverage ratios is driven by an unobserved time-invariant effect that generates surprisingly stable capital structures: High (low) levered firms tend to remain as such for over two decades. This feature of leverage is largely unexplained by previously identified determinants, is robust to firm exit, and is present prior to the IPO, suggesting that variation in capital structures is primarily determined by factors that remain stable for long periods of ...
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作者：Caballero, Ricardo J.; Krishnamurthy, Arvind
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs. The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. We present a model of crises and central bank policy that incorporates Knightian uncertainty. The model explains crisis regularities such as market-wide capital immobility, agents' disengagement from risk, and liquidity hoarding. We identify a social cost of...
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作者：Boot, Arnoud W. A.; Gopalan, Radhakrishnan; Thakor, Anjan V.
作者单位：University of Amsterdam; Washington University (WUSTL)
摘要：We focus on public-market investor participation to analyze the firm's decision to stay public or go private. The liquidity of public ownership is both a blessing and a curse: It lowers the cost of capital, but also introduces volatility in a firm's shareholder base, exposing management to uncertainty regarding shareholder intervention in management decisions, thereby affecting the manager's perceived decision-making autonomy and curtailing managerial inputs. We extract predictions about how i...
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作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Columbia University; Cornell University
摘要：We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16% over the following 20 trading days (15.6% annualized). Institutional nonprogram short sales are the most informative; stocks heavily shorted...
