Всего статей в данном разделе : 974
Planning in Ambiguous Context: The Dilemma of Meeting Needs for Commitment and Demands for Legitimacy [статья]
Опубликовано на портале: 13-02-2007Melissa Middleton Stone, Candida Greer Brush Strategic management journal. 1986. Vol. 17. No. 8. P. 633-652.
This paper argues that ambiguity of context manifested in pressures for legitimacy and commitment affect planning processes. Ambiguity arises from multiple conflicting constituencies and the lack of direct control over resources. Using nonprofit and enterpreneurial organizations as examples of organizations facing ambiguous contexts, we examine their planning practices to develop an understanding of the relationship between commitment, legitimacy, and planning.
Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures [статья]
Опубликовано на портале: 03-10-2003Robert Comment, G. William Schwert Journal of Financial Economics. 1995. Vol. 39. No. 1. P. 3-43.
This paper provides large-sample evidence that poison pill rights issues, control share laws, and business combination laws have not systematically deterred takeovers and are unlikely to have caused the demise of the 1980s market for corporate control, even though 87% of all exchange-listed firms are now covered by one of these antitakeover measures. We show that poison pills and control share laws are reliably associated with higher takeover premiums for selling shareholders, both unconditionally and conditional on a successful takeover, and we provide updated event study evidence for the three-quarters of all poison pills not yet analyzed. Antitakeover measures increase the bargaining position of target firms, but they do not prevent many transactions.
Portfolio Return Autocorrelation [статья]
Опубликовано на портале: 25-10-2007Timothy S. Mech Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 307-334.
This paper investigates whether portfolio return autocorrelation can be explained by time-varying expected returns, nontrading, stale limit orders, market maker inventory policy, or transaction costs. Evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid-ask spread. Cross-sectional tests support this prediction, but time-series tests do not.
Portfolio Selection [статья]
Опубликовано на портале: 17-09-2004Harry M. Markowitz Journal of Finance. 1952. Vol. 7. No. 1. P. 77-91.
The process of selecting a portfolio may be divided into two stages. The first stage with observation and experience and ends with beliefs about the future performance of available securities. The second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio. This paper is concerned with the rule that the investor does (or should) maximize discounted expected, or anticipated, returns. This rule is rejected both as a hypothesis to explain, and as a maximum to guide investment behavior. We next consider the rule that the investor does (or should) consider expected return a desirable thing and variance of return an undesirable thing. This rule has many sound points, both as a maxim for, and hypothesis about, investment behavior. We illustrate geometrically relations between beliefs and choice of portfolio according to the "expected returns - variance of returns" rule.
Опубликовано на портале: 13-02-2007Carrie A. Leana The academy of management journal. 1986. Vol. 29. No. 4. P. 754-774.
This research examined predictors and consequences of delegation. Participants were 44 supervisors and 198 claims adjusters employed in 19 branch offices of a large insurance company. Delegation was operationally defined as the dollar level of authority exercised by adjusters to settle claims. Results indicated that supervisors' perceptions of subordinates, the volume of supervisors' workloads, and the importance of decisions were significant predictors of delegation. In addition, subordinates' job competence and congruence between supervisors' and subordinates' goals moderated the effects of delegation on subordinates' job performance. Neither supervisors' personalities or predispositions to share authority nor subordinates' satisfaction were significantly related to delegation. Implications of the findings for research on participative decision making and leadership are discussed.
Опубликовано на портале: 03-10-2003Gordon Pye Journal of Business. 1966. Vol. 39. No. 1. P. 45-51.
In this article examines what discount rates should be used when borrowing rate is greater than the lending rate using present value interpretation. Author consider in this article: Conditions where the difference between the borrowing and lending rates will cover the labor and transaction costs involved; Derivation of the correct rate-of-return rule that can either accept or reject an investment.
Price Momentum and Trading Volume [статья]
Опубликовано на портале: 02-11-2007Charles M.C. Lee, Bhaskaran Swaminathan Journal of Finance. 2000. Vol. 55. No. 5. P. 2017-2069.
This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects
Опубликовано на портале: 06-10-2004Robert A. Jarrow, Stuart M. Turnbull Journal of Finance. 1995. Vol. 50. No. 1. P. 53-85.
This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a "spot exchange rate." Arbitrage-free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and caps.
Опубликовано на портале: 16-03-2005Bengt R. Holmstrom, Jean Tirole Journal of Political Economy. 1998. Vol. 106. No. 1. P. 1-40.
This paper addresses a basic, yet unresolved, question: Do claims on private assets provide sufficient liquidity for an efficient functioning of the productive sector? Or does the state have a role in creating liquidity and regulating it either through adjustments in the stock of government securities or by other means? In our model, firms can meet future liquidity needs in three ways: by issuing new claims, by obtaining a credit line from a financial intermediary, and by holding claims on other firms. When there is no aggregate uncertainty, we show that these instruments are sufficient for implementing the socially optimal (second-best) contract between investors and firms. However, the implementation may require an intermediary to coordinate the use of scarce liquidity, in which case contracts with the intermediary impose both a maximum leverage ratio and a liquidity constraint on firms. When there is only aggregate uncertainty, the private sector cannot satisfy its own liquidity needs. The government can improve welfare by issuing bonds that commit future consumer income. Government bonds command a liquidity premium over private claims. The government should manage debt so that liquidity is loosened (the value of bonds is high) when the aggregate liquidity shock is high and is tightened when the liquidity shock is low. The paper thus suggests a rationale both for government-supplied liquidity and for its active management.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford G. Holderness, Jeffrey Pontiff Journal of Financial Economics. 1993. Vol. 33. No. 3. P. 263-291.
The greater the managerial stock ownership in closed-end funds, the larger are the discounts to net asset value. The average discount for funds with blockholders is 14%, whereas the average discount for funds without blockholders is only 4%. This relation is robust over time and to various model specifications that control for other factors that affect discounts. We argue that blockholders receive private benefits that do not accrue to other shareholders and that they veto open-ending proposals to preserve these benefits. We support this argument by documenting a range of potential private benefits received by blockholders in closed-end funds.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford G. Holderness Journal of Financial Economics. 1989. Vol. 25. No. 2. P. 371-395.
We analyze the pricing of 63 block trades between 1978 and 1982 involving at least 5% of the common stock of NYSE or Amex corporations. These blocks are typically priced at substantial premiums to the post-announcement exchange price. We argue that the premiums, which average 20%, reflect private benefits that accrue exclusively to the blockholder because of his voting power. The premiums paid by both individual and corporate block purchasers increase with firm size, fractional ownership, and firm performance. Individuals pay larger premiums for firms with greater leverage, lower stock-return variance, and large cash holdings.
Опубликовано на портале: 01-11-2007Jennifer Conrad, Mustafa N. Gultekin, Gautam Kaul Journal of Business and Economic Statistics. 1997. Vol. 15. No. 3. P. 379-386.
In recent years, several researchers have argued that the stock market consistently overreacts to new information, which, in turn, results in price reversals. Lehmann and others showed that a contrarian can make substantial profits in the short run by simply buying losers and selling winners. We, however, demonstrate that these profits are largely generated by the bid-ask bounce in transaction prices; accounting for this "bounce" by using bid prices eliminates all profits from price reversals for NASDAQ-NMS stocks and most of the profits for NYSE/AMEX stocks. Moreover, any remaining profits (regardless of their source) disappear at trivial levels of transactions costs.
Опубликовано на портале: 04-11-2004Craig A. Burnside, Martin Stewart Eichenbaum, Sergio Rebelo Journal of Political Economy. 2001. Vol. 109. No. 6. P. 1155-1197.
This paper argues that principal cause of the 1997 Asian currency crisis was large prospective associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partly financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. Authors articulate this view using a simple dynamic general equilibrium model whose key feature is that a speculative attack is inevitable once the present value of future government deficits rises. While the government cannot prevent a speculative attack, it can affect its timing. The longer the delay, the higher inflation will be under the subsequent flexible exchange rate regime. We present empirical evidence in support of the four key assumptions in our interpretation of the crisis: (i) the currency crises could not have been predicted on the basis of standard macroeconomic indicators; (ii) the exchange rate crises were preceded by publicly available signs of imminent banking crises; (iii) failing financial sectors were associated with large prospective government deficits; and (iv) governments were either unwilling or unable to raise the resource required to pay for bank bailouts via fiscal reforms.
Pyramidal Groups and Debt [статья]
Опубликовано на портале: 16-06-2006Magda Bianco, Giovanna Nicodano European Economic Review. 2006. Vol. 50. No. 4. P. 937-961.
This paper suggests that debt should be raised by subsidiaries in order to exploit the limited liability of the holding company. However, when this behavior increases the cost of funds, the holding might prefer to raise debt to a point where it would also default when subsidiaries are insolvent. After accounting for standard controls, we find that holding companies in Italian pyramids have higher leverage than subsidiaries and that the cash-flow share of the entrepreneur in the subsidiary does not play a significant role. These findings are consistent with the implications of our model of group capital structure.
Опубликовано на портале: 12-11-2004Joseph E. Stiglitz Экономическая наука современной России. 2001. № 4. С. 108-146.
Отсутствие в обществе необходимых финансовых и правовых структур, делающих приватизацию эффективной, рассматривается в статье как один из основных факторов, объясняющих неудовлетворительное состояние экономики России в ходе строительства рыночных отношений. Второй важный фактор, как показывается в работе, связан с неадекватной теоретической концепцией фирмы, на которой базировалась идеология реформ, — представлением о фирме как полноправной собственности крупных акционеров при слабом влиянии на деятельность фирмы остальных заинтересованных лиц.