MoneyScience News |
- Published / Preprint: Capital Account Opening and Wage Inequality
- Published / Preprint: Does Takeover Activity Cause Managerial Discipline? Evidence from International M&A Laws
- Published / Preprint: When Less Is More: The Benefits of Limits on Executive Pay
- Published / Preprint: The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Management?
- Published / Preprint: Does Financing Spur Small Business Productivity? Evidence from a Natural Experiment
- Published / Preprint: Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform Act
- Blog Post: PatrickBurns: US market portrait 2015 week 18
- Blog Post: TheAlephBlog: Learning from the Past, Part 5c [Institutional Stock Version]
- Blog Post: WealthandCapitalMarketsBlog: Corporate bonds: developing the secondary market through electronification
- Published / Preprint: The Total Cost of Corporate Borrowing in the Loan Market: Don't Ignore the Fees
- Published / Preprint: CEO Turnover and Relative Performance Evaluation
- Published / Preprint: CEO Preferences and Acquisitions
- Published / Preprint: The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market
- Blog Post: iMFdirect: Ten Take Aways from the 'Rethinking Macro Policy: Progress or Confusion?â
- Published / Preprint: The Labor Market for Directors and Externalities in Corporate Governance
- Published / Preprint: Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
- Published / Preprint: Idiosyncratic Cash Flows and Systematic Risk
- Published / Preprint: The Beauty Contest and Short-Term Trading
- Published / Preprint: Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. (arXiv:1504.08136v1 [q-fin.PR])
- Published / Preprint: Singular recursive utility. (arXiv:1504.08170v1 [math.OC])
| Published / Preprint: Capital Account Opening and Wage Inequality Posted: 02 May 2015 02:45 AM PDT Opening the capital account allows financially constrained firms to raise capital from abroad. Since capital and skilled labor are relative complements, this increases the relative demand for skilled labor versus unskilled labor, leading to higher wage inequality. Using aggregate data and exploiting variation in the timing of capital account openings across 20 mainly European countries, I find... Visit MoneyScience for the Complete Article.      |
| Posted: 02 May 2015 02:45 AM PDT This paper exploits the staggered initiation of takeover laws across countries to examine whether the threat of takeover enhances managerial discipline. We show that following the passage of takeover laws, poorly performing firms experience more frequent takeovers; the propensity to replace poorly performing CEOs increases, especially in countries with weak investor protection; and directors of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: When Less Is More: The Benefits of Limits on Executive Pay Posted: 02 May 2015 02:45 AM PDT We derive conditions under which limits on executive compensation can enhance efficiency and benefit shareholders (but not executives). Having its hands tied in the future allows a board of directors to credibly enter into relational contracts with executives that are more efficient than performance-contingent contracts. This has implications for the ideal composition of the board. The analysis... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2015 02:45 AM PDT We hypothesize that short selling has a disciplining role vis-à-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2015 02:45 AM PDT We analyze how increased access to financing affects firm total factor productivity (TFP) by exploiting a natural experiment following interstate banking deregulations that increased access to bank financing. We find that firms' TFP increases after their states implement these deregulations. Using a regression discontinuity approach based on the Small Business Administration's funding eligibility... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform Act Posted: 02 May 2015 02:45 AM PDT We study distress risk premia around a bankruptcy reform that shifts bargaining power in financial distress from debtholders to shareholders. We find that the reform reduces risk factor loadings and returns of distressed stocks. The reform effect is stronger for firms with lower firm-level shareholder bargaining power. An increase in credit spreads of riskier relative to safer firms, in... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2015 week 18 Posted: 02 May 2015 01:55 AM PDT US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Learning from the Past, Part 5c [Institutional Stock Version] Posted: 02 May 2015 12:45 AM PDT Photo Credit: U.S. Geological Surveyread more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2015 02:28 PM PDT Corporate bonds have become a popular vehicle of investment in recent years.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2015 10:09 AM PDT More than 80% of U.S. syndicated loans contain at least one fee type and contracts typically specify a menu of spreads and fee types. We test the predictions of existing theories on the main purposes of fees and provide supporting evidence that: (1) fees are used to price options embedded in loan contracts such as the drawdown option for credit lines and the cancellation option in term loans, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CEO Turnover and Relative Performance Evaluation Posted: 01 May 2015 10:09 AM PDT This paper shows that CEOs are fired after bad firm performance caused by factors beyond their control. Standard economic theory predicts that corporate boards filter out exogenous industry and market shocks from firm performance before deciding on CEO retention. Using a hand-collected sample of 3365 CEO turnovers from 1993 to 2009, we document that CEOs are significantly more likely to be... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CEO Preferences and Acquisitions Posted: 01 May 2015 10:09 AM PDT This paper explores the impact of target CEOs’ retirement preferences on takeovers. Using retirement age as a proxy for CEOs’ private merger costs, we find strong evidence that target CEOs’ preferences affect merger activity. The likelihood of receiving a successful takeover bid is sharply higher when target CEOs are close to age 65. Takeover premiums and target announcement returns are... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2015 10:09 AM PDT This paper investigates voting preferences of institutional investors using the unique setting of the securities lending market. Investors restrict lendable supply and/or recall loaned shares prior to the proxy record date to exercise voting rights. Recall is higher for investors with greater incentives to monitor, for firms with poor performance or weak governance, and for proposals where... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2015 06:47 AM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Labor Market for Directors and Externalities in Corporate Governance Posted: 01 May 2015 12:57 AM PDT This paper studies how directors' reputational concerns affect board structure, corporate governance, and firm value. In our setting, directors affect their firms' governance, and governance in turn affects firms' demand for new directors. Whether the labor market rewards a shareholder-friendly or management-friendly reputation is determined in equilibrium and depends on aggregate governance. We... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle Posted: 01 May 2015 12:57 AM PDT Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Idiosyncratic Cash Flows and Systematic Risk Posted: 01 May 2015 12:57 AM PDT We show that unpriced cash flow shocks contain information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book-to-market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Beauty Contest and Short-Term Trading Posted: 01 May 2015 12:57 AM PDT Short-termism need not breed informational price inefficiency even when generating beauty contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective†learning to... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2015 05:38 PM PDT Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Singular recursive utility. (arXiv:1504.08170v1 [math.OC]) Posted: 30 Apr 2015 05:38 PM PDT We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of singular BSDE. Furthermore, we analyze the problem of maximizing the singular recursive utility. We derive sufficient and necessary maximum principles for this... Visit MoneyScience for the Complete Article.    |
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