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作者：Collin-Dufresne, P; Goldstein, RS
作者单位：Carnegie Mellon University; Washington University (WUSTL)
摘要：Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean-reverting leverage ratios. We propose a structural model of default with stochastic interest rates that captures this mean reversion. Our model generates credit spreads that are larger for low-leverage firms, and less sensitive to changes in firm value, both of which are more consistent with empiric...
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作者：Grinblatt, M; Keloharju, M
作者单位：University of California System; University of California Los Angeles; Aalto University
摘要：This paper documents that investors are more likely to hold, buy, and sell the stocks of Finnish firms that are located close to the investor, that communicate in the investor's native tongue, and that have chief executives of the same cultural background. The influence of distance, language, and culture is less prominent among the most investment-savvy institutions than among both households and less savvy institutions. Regression analysis indicates that the marginal effect of distance is les...
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作者：Peria, MSM; Schmukler, SL
作者单位：The World Bank
摘要：This paper empirically investigates two issues largely unexplored by the literature on market discipline. We evaluate the interaction between market discipline and deposit insurance and the impact of banking crises on market discipline. We focus on the experiences of Argentina, Chile, and Mexico during the 1980s and 1990s. We find that depositors discipline banks by withdrawing deposits and by requiring higher interest rates. Deposit insurance does not appear to diminish the extent of market d...
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作者：Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper investigates options market reaction to changes in the instantaneous Variance of the underlying asset. There are three main findings. First, options market investors underreact to individual daily changes in instantaneous variance. Second, these same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance. Third, they tend to underreact (overreact) to current daily changes in instantaneous variance that are preceded mostly by ...
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作者：Vayanos, D
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper studies a dynamic model of a financial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rate over time or by selling and then buying back some of the shares sold. When the time between trade...
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作者：Chan, LKC; Lakonishok, J; Sougiannis, T
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards, financial statements do not report intangible assets and R&D spending is expensed. Nonetheless, the average historical stock returns of firms doing R&D matches the returns of firms without R&D. However, the market is apparently too pessimistic about beaten-down R&D-intensive technology stocks' prospects. Companies with high R&D to equity ma...
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作者：Huson, MR; Parrino, R; Starks, LT
作者单位：University of Alberta; University of Texas System; University of Texas Austin
摘要：We report evidence on chief executive officer (CEO) turnover during the 1971 to 1994 period. We find that the nature of CEO turnover activity has changed over time. The frequencies of forced CEO turnover and outside succession both increased. However, the relation between the likelihood of forced CEO turnover and firm performance did not change significantly from the beginning to the end of the period we examine, despite substantial changes in internal governance mechanisms. The evidence also ...
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作者：Bekaert, G; Hodrick, RJ
作者单位：Columbia University; National Bureau of Economic Research
摘要：We investigate the expectations hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. We examine Wald, Lagrange multiplier, and distance metric tests by iterating on approximate solutions that require only matrix inversions. Bias-corrected, constrained VARs provide Monte Carlo simulations. Wald tests grossly overreject the null, Lagrange multi...
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作者：Richardson, M
作者单位：New York University
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作者：Booth, L; Aivazian, V; Demirguc-Kunt, A; Maksimovic, V
作者单位：University of Toronto; University of Toronto; The World Bank; University System of Maryland; University of Maryland College Park
摘要：This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from m...
