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作者：Duffee, GR
作者单位：University of California System; University of California Berkeley
摘要：The conditional covariance between aggregate stock returns and aggregate consumption growth varies substantially over time. When stock market wealth is high relative to consumption, both the conditional covariance and correlation are high. This pattern is consistent with the composition effect, where agents' consumption growth is more closely tied to stock returns when stock wealth is a larger share of total wealth. This variation can be used to test asset-pricing models in which the price of ...
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作者：Ljungqvist, A; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Virginia; University of Oxford
摘要：We derive a behavioral measure of the IPO decision- maker's satisfaction with the underwriter's performance based on Loughran and Ritter (2002) and assess its ability to explain the decision- maker's choice among underwriters in subsequent securities offerings. Controlling for other known factors, IPO firms are less likely to switch underwriters when our behavioral measure indicates they were satisfied with the IPO underwriter's performance. Underwriters also extract higher fees for subsequent...
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作者：Stulz, RM
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Despite the dramatic reduction in explicit barriers to international investment activity over the last 60 years, the impact of financial globalization has been surprisingly limited. I argue that country attributes are still critical to financial decision- making because of twin agency problems that arise because rulers of sovereign states and corporate insiders pursue their own interests at the expense of outside investors. When these twin agency problems are significant, diffuse ownership is ...
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作者：Karceski, J; Ongena, S; Smith, DC
作者单位：State University System of Florida; University of Florida; Tilburg University; University of Virginia
摘要：We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is influenced by a strategic focus favoring acquiring borrowers. Bank mergers lead to higher relationship exit rates among borrowers of target banks. Larger merger-induced increases in relationship termination rates are ass...
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作者：Luo, YZ
摘要：I find that the market reaction to a merger and acquisition (M&A) announcement predicts whether the companies later consummate the deal. The relation cannot be explained by the market's anticipation of the closing decision or its perception of the deal quality at the announcement. Merging companies appear to extract information from the market reaction and later consider it in closing the deal. Furthermore, the relation varies with deal characteristics, suggesting that companies seem to have a...
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作者：Bansal, R; Dittmar, RF; Lundblad, CT
作者单位：Duke University; University of Michigan System; University of Michigan; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book-to-market, momentum, and size-sorted portfolios. The dynamics of aggregate consumption and cash flow growth rates, modeled as a vector autoregression, are used to measure the consumption beta of discounted cash flows. Differences in these cash flow betas account for more than 60% of the cross-sectional variation in risk premia. The market price for risk in cash fl...
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作者：Haslem, B
作者单位：State University System of Florida; Florida State University
摘要：Using a large sample of litigation events involving publicly listed defendants, we document a surprising fact. The resolution of litigation through a court's decision dominates settlement of litigation from the shareholders' point of view, even when the firm loses. We develop a model using agency costs within the firm to explain why the market views settlement as a negative outcome on average and find empirical evidence supporting the implications of the model. Specifically, firms with weak co...
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作者：Pástor, L; Veronesi, P
作者单位：University of Chicago
摘要：We argue that the number of firms going public changes over time in response to time variation in market conditions. We develop a model of optimal initial public offering (IPO) timing in which IPO waves are caused by declines in expected market return, increases in expected aggregate profitability, or increases in prior uncertainty about the average future profitability of IPOs. We test and find support for the model's empirical predictions. For example, we find that IPO waves tend to be prece...
