Всего статей в данном разделе : 977
Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003Lubos Pastor, Robert F. Stambaugh Journal of Financial Economics. 2002. Vol. 63. No. 3. P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperfofm passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
Опубликовано на портале: 14-06-2006Hans Degryse, Abe de Jong International Journal of Industrial Organization. 2006. Vol. 24. No. 1. P. 125-147.
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal protection affects the expropriation of shareholders and the blockholder's incentives to monitor. Because monitoring weakens managerial incentives, both effects jointly determine the relationship between legal protection and ownership concentration. When legal protection facilitates monitoring better laws strengthen the monitoring incentives, and ownership concentration and legal protection are inversely related. By contrast, when legal protection and monitoring are substitutes better laws weaken the monitoring incentives, and the relationship between legal protection and ownership concentration is non-monotone. This holds irrespective of whether or not the large shareholder can reap private benefits. Moreover, better legal protection may exacerbate rather than alleviate the conflict of interest between large and small shareholders.
Опубликовано на портале: 05-10-2004Clifford W. Smith Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 3-29.
This paper reviews the theory and evidence on the process by which corporations raise debt and equity capital and the associated effects on security prices. Findings from related transactions are used to test hypotheses about the stock price patterns accompanying announcements of security offerings. Various contractual alternatives employed in security issues are examined; for example, rights or underwritten offers, negotiated or competitive bid, best efforts or firm commitment contracts, and shelf or traditional registration. Finally, incentives for underpricing new issues are analyzed.
Опубликовано на портале: 31-12-2010Paul J Welfens Экономический журнал ВШЭ. 2003. Т. 7. № 2. С. 173-220.
The paper highlights some international differences in fields relevant for growth in selected transition economies, in particular eastern European countries and in Russia. Initial problems of transition were natural in a sense that systemic transition to a market economy has effectively destroyed part of the existing capital stock that was no longer profitable under the new relative prices imported from world markets; and there was a transitory inflationary push as low state-administered prices were replaced by higher market equilibrium prices. The papers focuses in particular on the role of structural change, financial services and the New Economy, analyses how those factors affect economic growth. The paper discusses theoretical aspects of growth in transition countries, presents policy conclusions and some historical data.
Опубликовано на портале: 18-08-2004Kenneth R. French, James Michael Poterba American Economic Review. 1991. Vol. 81. No. 2. P. 222-226.
Since the fortunes of different nations do not always move together, investors can diversify their portfolios by holding assets in several countries. The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper we use a simple model of investor preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their domestic equity market to be several hundred basis points higher than returns in other markets. The lack of diversification appears to be result of investor choices, rather than institutional constraints.
Опубликовано на портале: 03-12-2007Padmaja Kadiyala, Raghavendra Rau Journal of Business. 2004. Vol. 77. No. 2. P. 357-386.
Two conflicting behavioral models, underreaction and overreaction, have been proposed to explain long-run abnormal returns following a variety of corporate events. We test hypotheses that distinguish between these two models. We find that across four different corporate events, long-run abnormal returns exhibit a pattern that is most consistent with investor underreaction to short-term information available prior to the event and to the information conveyed by the event itself. The pattern in long-run abnormal returns is inconsistent with the overreaction model as well as with a model that postulates investor underreaction to short-term information and overreaction to long-term trends
Опубликовано на портале: 16-06-2006François Derrien Journal of Business Finance & Accounting. 2005. Vol. 32. No. 1/2. P. 325-350.
This paper explores the impact of investor sentiment on IPO pricing. Using a model in which the aftermarket price of IPO shares depends on the information about the intrinsic value of the company and investor sentiment, I show that IPOs can be overpriced and still exhibit positive initial return. A sample of recent French offerings with a fraction of the shares reserved for individual investors supports the predictions of the model. Individual investors' demand is positively related to market conditions. Moreover, large individual investors' demand leads to high IPO prices, large initial returns, and poor long-run performance.
IPO на зарубежных биржах [статья]
Опубликовано на портале: 23-06-2005Андрей Валерьевич Лукашов Консультант. 2005. № 7. С. 54-57.
Российские эмитенты имеют возможность разместить свои акции на мировых торговых площадках. Однако у каждой из них есть своя специфика, преимущества и недостатки. Все это нужно учитывать, чтобы сделать правильный выбор биржи.
Опубликовано на портале: 03-10-2003Andrei Shleifer, Robert W. Vishny Journal of Political Economy. 1986. Vol. 94. No. 3. P. 461-488.
In a corporation with many small owners, it may not pay any one of them to monitor the performance of the management. We explore a model in which the presence of a large minority shareholder provides a partial solution to this free-rider problem. The model sheds light on the following questions: Under what circumstances will we observe a tender offer as opposed to a proxy fight or an internal management shake-up? How strong are the forces pushing toward increasing concentration of ownership of a diffusely held firm? Why do corporate and personal investors commonly hold stock in the same firm, despite their disparate tax preferences?
Опубликовано на портале: 11-11-2004James Tobin The Review of Economic Studies. 1958. Vol. 25. No. 2. P. 65-86.
One of basic functional relationships in the Keynesian model of the economy is the liquidity preference schedule, an inverse relationship between the demand for cash balances and the rate of interest. This aggregative function must be derived from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Long-run Stock Price Performance after IPOs: What Do Tests for Stochastic Dominance Tell Us [статья]
Опубликовано на портале: 14-06-2006K. Ho Applied Economics Letters. 2003. Vol. 10. No. 1. P. 15-20.
Traditional studies of long-run stock price abnormal performance after corporate events compare the mean returns of an event firm portfolio and a benchmark firm portfolio or index. However, it is well known that long-run abnormal returns are non-normal leading to problems with statistical inference on abnormal performance. Instead in this paper, the entire return distributions of event firms and the benchmark index using non-parametric tests of stochastic dominance are compared. Tests are applied for first and second order stochastic dominance to Ritter's (1991) IPO data. It is found, contrary to results that compare only mean returns, that IPO firms do not underperform a benchmark index. The results are robust to extreme values of buy-and-hold return of IPO firms and underline the fact that long-run abnormal performance measurement is sensitive to the methodology used.
Managerial control of voting rights: Financing policies and the market for corporate control [статья]
Опубликовано на портале: 03-10-2003Rene M. Stulz Journal of Financial Economics. 1988. Vol. 20. P. 25-54.
This paper analyzes how managerial control of voting rights affects firm value and financing policies. It shows that an increase in the fraction of voting rights controlled by management decreases the probability of a successful tender offer and increases the premium offered if a tender offer is made. Depending on whether managerial control of voting rights is small or large, shareholders' wealth increases or falls when management strengthens its control of voting rights. Management can change the fraction of the votes it controls through capital structure changes, corporate charter amendments, and the acquisition of shareholder clienteles.
Опубликовано на портале: 05-06-2006Adolfo De Motta Journal of Finance. 2003. Vol. 58. No. 3. P. 1193-1220.
Capital budgeting in multidivisional firms depends on the external assessment of the whole firm, as well as on headquarters' assessment of the divisions. While corporate headquarters may create value by directly monitoring divisions, the external assessment of the firm is a public good for division managers who, consequently, are tempted to free ride. As the number of divisions increases, the free-rider problem is aggravated, and internal capital markets substitute for external capital markets in the provision of managerial incentives. The analysis relates the value of diversification to characteristics of the firm, the industry, and the capital market.
Managing Costs and Cost Structure throughout the Value Chain: Research on Strategic Cost Management [статья]
Опубликовано на портале: 21-06-2006Shannon W. Anderson SSRN Working Papers. 2005.
Strategic cost management is deliberate decision-making aimed at aligning the firm's cost structure with its strategy and optimizing the enactment of the strategy. Alignment and optimization must comprehend the full value chain and all stakeholders to ensure long run sustainable profits for the firm. Strategic cost management takes two forms: structural cost management, which employs tools of organizational design, product design and process design to build a cost structure that is coherent with strategy; and executional cost management, which employs various measurement and analysis tools (e.g., variance analysis, analysis of cost drivers) to evaluate cost performance. In this chapter I develop a model that relates strategic cost management to strategy development and performance evaluation. I argue that although management accounting research has advanced our understanding of executional cost management, other management fields have done more to advance our understanding of structural cost management. I review research in a variety of management fields to illustrate this point. I conclude by proposing that management accounting researchers are uniquely qualified to create a body of strategic cost management knowledge that unifies structural and executional cost management.
Опубликовано на портале: 16-06-2006Justin Pettit IVEY Business Journal. 2001.
How one manage for value? It is not, as I will show, just a case of blindly interpreting and acting on your numbers. Successful cases of managing portfolios for value - Molson, SPX and Herman Miller - show that these companies are careful to apply and interpret their numbers when formulating and exercuting value-based strategies. In this article, I will look at how a company can do this, and discuss the common pitfalls and how to avoid them.