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作者：Kerr, Jon; Sadka, Gil; Sadka, Ronnie
作者单位：University System of Ohio; Ohio State University; University of Texas System; University of Texas Dallas; Boston College
摘要：This paper shows that liquidity conditions are important determinants of the predictability of earnings. Liquid stock prices are more informative about future firm earnings growth than illiquid stock prices. Because information-related illiquidity can arise when uncertainty is high, we focus our analysis on evidence that noninformational liquidity affects price informativeness. Endogeneity is further addressed using controls for market uncertainty and several exogenous shocks as natural experi...
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作者：Adam, Tim R.; Burg, Valentin; Scheinert, Tobias; Streitz, Daniel
作者单位：Humboldt University of Berlin; Copenhagen Business School; Danish Finance Institute
摘要：We examine whether managerial overconfidence impacts the use of performance-pricing provisions in loan contracts (performance-sensitive debt [PSD]). Managers with biased views may issue PSD because they consider this form of debt to be mispriced. Our evidence shows that overconfident managers are more likely to issue rate-increasing PSD than regular debt. They choose PSD with steeper performance-pricing schedules than those chosen by rational managers. We reject the possibility that overconfid...
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作者：Piatti, Ilaria; Trojani, Fabio
作者单位：University of Oxford; University of Geneva; University of Geneva
摘要：Asymptotic tests over-reject the null of no predictability in present-value models. We develop a nonparametric testing approach in state-space models, implying reliable finite sample inference under weak assumptions on price-dividend ratio and dividend shocks. We find sharp evidence of return predictability in postwar U.S. data but less consistent evidence of dividend predictability, which is significant only using cash-flow proxies reflecting information from mergers and acquisitions. These f...
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作者：Simchi-Levi, David
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
