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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：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：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups (micro, small, and big) in cross-section regressions, and they are also strong in sorts, at least in the extremes. The asset growth and profitability anomalies are less robust. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. Among profitable firms, higher profitability tends to be associated with abnorm...
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作者：Brav, Alon; Jiang, Wei; Partnoy, Frank; Thomas, Randall
作者单位：Duke University; Columbia University; University of San Diego; Vanderbilt University
摘要：Using a large hand-collected data set from 2001 to 2006, we find that activist hedge funds in the United States propose strategic, operational, and financial remedies and attain success or partial success in two-thirds of the cases. Hedge funds seldom seek control and in most cases are nonconfrontational. The abnormal return around the announcement of activism is approximately 7%, with no reversal during the subsequent year. Target firms experience increases in payout, operating performance, a...
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作者：Lel, Ugur; Miller, Darius P.
作者单位：Southern Methodist University
摘要：We examine a primary outcome of corporate governance, namely, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross-listed firms. We find that firms from weak investor protection regimes that are cross-listed on a major U.S. Exchange are more likely to terminate poorly performing CEOs than non-cross-listed firms. Cross-listings on exchanges that do not require the adoption of stringent...
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作者：Van Binsbergen, Jules H.; Brandt, Michael W.; Koijen, Ralph S. J.
作者单位：Stanford University; Duke University; Tilburg University; National Bureau of Economic Research
摘要：We study an institutional investment problem in which a centralized decision maker, the Chief Investment Officer (CIO), for example, employs multiple asset managers to implement investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn, allocate these funds to the assets in their asset class. This two-step investment process causes several misalignments of objectives between the CIO and his managers and can lead to large utility costs for the CIO. ...
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作者：Fung, William; Hsieh, David A.; Naik, Narayan Y.; Ramadorai, Tarun
作者单位：University of London; London Business School; Duke University; University of Oxford
摘要：We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts...
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作者：Ozdenoren, Emre; Yuan, Kathy
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price ? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hence, investors have an incentive to coordinate, which may generate self-fulfilling beliefs and multip...
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作者：John, Kose; Litov, Lubomir; Yeung, Bernard
作者单位：New York University; Washington University (WUSTL); National University of Singapore
摘要：Better investor protection could lead corporations to undertake riskier but value-enhancing investments. For example, better investor protection mitigates the taking of private benefits leading to excess risk-avoidance. Further, in better investor protection environments, stakeholders like creditors, labor groups, and the government are less effective in reducing corporate risk-taking for their self-interest. However, arguments can also be made for a negative relationship between investor prot...
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作者：French, Kenneth R.
作者单位：Dartmouth College
摘要：I compare the fees, expenses, and trading costs society pays to invest in the U.S. stock market with an estimate of what would be paid if everyone invested passively. Averaging over 1980-2006, I find investors spend 0.67% of the aggregate value of the market each year searching for superior returns. Society's capitalized cost of price discovery is at least 10% of the current market cap. Under reasonable assumptions, the typical investor would increase his average annual return by 67 basis poin...
