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作者：Noe, Thomas H.; Rebello, Michael J.; Wang, Jun
作者单位：Tulane University; Louisiana State University System; Louisiana State University
摘要：We consider a competitive and perfect financial market in which agents have heterogeneous cash flow valuations. Instead of assuming that agents are endowed with rational expectations, we model their behavior as the product of adaptive learning. Our results demonstrate that adaptive learning affects security design profoundly, with securities mispriced even in the long run and optimal designs trading off underpricing against intrinsic value maximization. The evolutionary dominant security desig...
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作者：Chang, Xin; Dasgupta, Sudipto; Hilary, Gilles
作者单位：University of Melbourne; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We provide evidence that analyst coverage affects security issuance. First, firms covered by fewer analysts are less likely to issue equity as opposed to debt. They issue equity less frequently, but when they do so, it is in larger amounts. Moreover, these firms depend more on favorable market conditions for their equity issuance decisions. Finally, debt ratios of less covered firms are more affected by Baker and Wurgler's (2002) external finance-weighted average market-to-book ratio. These re...
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作者：Daniel, Kent; Titman, Sheridan
作者单位：Northwestern University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：The book-to-market effect is often interpreted as evidence of high expected returns on stocks of distressed firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the intangible return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good pro...
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作者：La Porta, R; Lopez-De-Silanes, F; Shleifer, A
作者单位：Dartmouth College; University of Amsterdam; Harvard University
摘要：We examine the effect of securities laws on stock market development in 49 countries. We find little evidence that public enforcement benefits stock markets, but strong evidence that laws mandating disclosure and facilitating private enforcement through liability rules benefit stock markets.
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作者：Li, Donghui; Moshirian, Fariborz; Pham, Peter Kien; Zein, Jason
作者单位：University of New South Wales Sydney
摘要：While financial institutions' aggregate investments have grown substantially worldwide, the size of their individual shareholdings, and ultimately their incentive to monitor, may be limited by the free-rider problem, regulations, and a preference for diversification and liquidity. We compare institutions' shareholding patterns across countries and find vast differences in the extent to which they are large shareholders. These variations are largely determined by macro corporate governance fact...
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作者：Dell'Ariccia, Giovanni; Marquez, Robert
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; Arizona State University; Arizona State University-Tempe
摘要：We examine how the informational structure of loan markets interacts with banks' strategic behavior in determining lending standards, lending volume, and the aggregate allocation of credit. We show that, as banks obtain private information about borrowers and information asymmetries across banks decrease, banks may loosen their lending standards, leading to an equilibrium with deteriorated bank portfolios, lower profits, and expanded aggregate credit. These lower standards are associated with ...
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作者：Ericsson, Jan; Renault, Olivier
作者单位：McGill University; University of Warwick
摘要：We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and convex term structures of liquidity spreads. Using bond price data spanning 15 years, we find evidence o...
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作者：Lehn, Kenneth M.; Zhao, Mengxin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Bentley University
摘要：We examine the relation between bidder returns and the probability of chief executive officer (CEO) turnover in acquiring firms. Using a sample of 714 acquisitions during 1990 to 1998, we find that 47% of CEOs of acquiring firms are replaced within 5 years, including 27% by internal governance, 16% by takeovers, and 4% by bankruptcy. A significant inverse relation exists between bidder returns and the likelihood of CEO turnover. This relation is not associated with governance structure. It als...
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作者：Kisgen, Darren J.
作者单位：Boston College
摘要：This paper examines to what extent credit ratings directly affect capital structure decisions. The paper outlines discrete costs (benefits) associated with firm credit rating level differences and tests whether concerns for these costs (benefits) directly affect debt and equity financing decisions. Firms near a credit rating upgrade or downgrade issue less debt relative to equity than firms not near a change in rating. This behavior is consistent with discrete costs (benefits) of rating change...
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作者：Franzoni, F; Marín, JM
作者单位：Hautes Etudes Commerciales (HEC) Paris; Pompeu Fabra University
摘要：The paper argues that the market significantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least 5 years after the first emergence of the underfunding. The low returns are not explained by risk, price momentum, earnings momentum, or accruals. Further, the evidence suggests that investors do not anticipate the impact of the pension liability on future earnings, and they are surprised when the n...
