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作者：Green, Richard C.
作者单位：Carnegie Mellon University
摘要：I model strategic interaction among issuers, underwriters, retail investors, and institutional investors when the secondary market has limited price transparency. Search costs for retail investors lead to price dispersion in the secondary market, while the price for institutional investors is infinitely elastic. Because retail distribution capacity is assumed to be limited for each underwriter-dealer, Bertrand competition breaks down in the primary market and new issues are underpriced in equi...
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作者：Edmans, Alex; Garcia, Diego; Norli, Oyvind
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill; BI Norwegian Business School
摘要：This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads to a next-day abnormal stock return of -49 basis points. This loss effect is stronger in small stocks and in more important games, and is ro...
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作者：Chhaochharia, Vidhi; Grinstein, Yaniv
作者单位：University of Miami; Cornell University
摘要：The 2001 to 2002 corporate scandals led to the Sarbanes-Oxley Act and to various amendments to the US. stock exchanges'regulations. We find that the announcement of these rules has a significant effect on firm value. Firms that are less compliant with the provisions of the rules earn positive abnormal returns compared to firms that are more compliant. We also find variation in the response across firm size. Large firms that are less compliant earn positive abnormal returns but small firms that...
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作者：Carlson, Murray; Khokher, Zeigham; Titman, Sheridan
作者单位：University of British Columbia; Western University (University of Western Ontario); University Western Ontario Hospital; University of Texas System; University of Texas Dallas
摘要：\We develop equilibrium models of exhaustible resource markets with endogenous extraction choices and prices. Our analysis demonstrates how adjustment costs can generate oil and gas forward price dynamics with two factors, consistent with the behavior these commodities exhibit in the Schwartz and Smith (2000) calibration. Our two-factor model predicts that stochastic volatility will arise in these markets as a natural consequence of production adjustments, however, and we provide supporting em...
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作者：Back, Kerry; Baruch, Shmuel
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Utah System of Higher Education; University of Utah
摘要：We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to...
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作者：Hennessy, Christopher A.; Whited, Toni M.
作者单位：University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison
摘要：We apply simulated method of moments to a dynamic model to infer the magnitude of financing costs. The model features endogenous investment, distributions, leverage, and default. The corporation faces taxation, costly bankruptcy, and linear-quadratic equity flotation costs. For large (small) firms, estimated marginal equity flotation costs start at 5.0% (10.7%) and bankruptcy costs equal to 8.4% (15.1%) of capital. Estimated financing frictions are higher for low-dividend firms and those ident...
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作者：Sundaram, Pangarajan K.; Yermack, David L.
作者单位：New York University
摘要：Though widely used in executive compensation, inside debt has been almost entirely overlooked by prior work. We initiate this research by studying CEO pension arrangements in 237 large capitalization firms. Among our findings are that CEO compensation exhibits a balance between debt and equity incentives; the balance shifts systematically away from equity and toward debt as CEOs grow older; annual increases in pension entitlements represent about 10% of overall CEO compensation, and about 13% ...
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作者：Masulis, Ronald W.; Wang, Cong; Xie, Fei
作者单位：Vanderbilt University; Chinese University of Hong Kong; George Mason University
摘要：We examine whether corporate governance mechanisms, especially the market for corporate control, affect the profitability of firm acquisitions. We find that acquirers with more antitakeover provisions experience significantly lower announcement-period abnormal stock returns. This supports the hypothesis that managers at firms protected by more antitakeover provisions are less subject to the disciplinary power of the market for corporate control and thus are more likely to indulge in empire-bui...
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作者：Strebulaev, Ilya A.
作者单位：Stanford University
摘要：In the presence of frictions, firms adjust their capital structure infrequently. As a consequence, in a dynamic economy the leverage of most firms is likely to differ from the optimum leverage at the time of readjustment. This paper explores the empirical implications of this observation. I use a calibrated dynamic trade-off model to simulate firms' capital structure paths. The results of standard cross-sectional tests on these data are consistent with those reported in the empirical literatur...
