Статьи
Всего статей в данном разделе : 977
Опубликовано на портале: 13-02-2007
Melissa 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: 03-10-2003
Robert 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: 25-10-2007
Timothy 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: 17-09-2004
Harry 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: 13-02-2007
Carrie 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: 03-10-2003
Gordon 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: 02-11-2007
Charles 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: 06-10-2004
Robert 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: 16-03-2005
Bengt 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: 02-10-2003
Michael 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: 02-10-2003
Michael 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: 01-11-2007
Jennifer 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: 04-11-2004
Craig 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: 16-06-2006
Magda 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: 12-11-2004
Joseph 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.
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