Всего статей в данном разделе : 977
The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment. [статья]
Опубликовано на портале: 05-06-2006David S. Scharfstein, Jeremy C. Stein Journal of Finance. 2000. Vol. 55. No. 6. P. 2537-2565.
We develop a two-tiered agency model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. By rent-seeking, division managers can raise their bargaining power and extract greater overall compensation from the CEO. And because the CEO is herself an agent of outside investors, this extra compensation may take the form not of cash wages, but rather of preferential capital budgeting allocations. One interesting feature of our model is that it implies a kind of "socialism" in internal capital allocation, whereby weaker divisions get subsidized by stronger ones.
Опубликовано на портале: 22-10-2007Hakan Berument, Ercan Balaban Journal of Economics & Finance. 2001. Vol. 25. No. 2. P. 181-193.
This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
Опубликовано на портале: 21-06-2006Martin Lettau, Sydney Ludvigson, Jessica A. Wachter AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper. 2004.
Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms. Why? We consider one particular explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy. Empirically, we find a strong correlation between low frequency movements in macroeconomic volatility and low frequency movements in the stock market. To model this phenomenon, we estimate a two-state regime switching model for the volatility and mean of consumption growth, and find evidence of a shift to substantially lower consumption volatility at the beginning of the 1990s. We then use these estimates from post-war data to calibrate a rational asset pricing model with regime switches in both the mean and standard deviation of consumption growth. Plausible parameterizations of the model are found to account for a significant portion of the run-up in asset valuation ratios observed in the late 1990s.
The Declining U.S. Equity Premium [статья]
Опубликовано на портале: 03-10-2003Ravi Jaganathan, Ellen R. McGrattan, Anna Scherbina FRB Quarterly Review. 2000. Vol. 24. No. 4. P. 3-19.
This study demonstrates that the U.S. equity premium has declined significantly during the last three decades. The study calculates the equity premium using a variation of a formula in the classic Gordon stock valuation model. The calculation includes the bond yield, the stock dividend yield, and the expected dividend growth rate, which in this formulation can change over time. The study calculates the premium for several measures of the aggregate U.S. stock portfolio and several assumptions about bond yields and stock dividends and gets basically the same result. The premium averaged about 7 percentage points during 192670 and only about 0.7 of a percentage point after that. This result is shown to be reasonable by demonstrating the roughly equal returns that investments in stocks and consol bonds of the same duration would have earned between 1982 and 1999, years when the equity premium is estimated to have been zero.
The demand for money and currency substitution in Russia during and after hyperinflation: 1992-1996 [статья]
Опубликовано на портале: 31-12-2010Giuseppe Tullio, Надежда Иванова Экономический журнал ВШЭ. 1998. Т. 2. № 2. С. 159-196.
This paper presents econometric evidence on the determinants of the demand for a number of rouble and US$ monetary aggregates in Russia and on the stability of these demand functions and of the estimated parameters. The aggregates considered are rouble banknotes, rouble M2, US$ banknotes and US$ deposits held at Russian banks. The data used is monthly and the sample period is May 1993 to January 1997. The econometric model used is the error correction model (EC-model) which distinguishes between the long run (cointegrating) relationship among the variables and the short run dynamics. Particular attention is devoted to measuring the effect of exchange rate changes or expectations thereof and of political risk on rouble and dollar asset demands.
Опубликовано на портале: 21-06-2006Roberto Wessels, Sheridan Titman Journal of Finance. 1988. Vol. 43. No. 1. P. 1-20.
This paper analyzes the explanatory power of some of the recent theories of optimal capital structure. The study extends empirical work on capital structure theory in three ways. First, it examines a much broader set of capital structure theories, many of which have not previously been analyzed empirically. Second, since the theories have different empirical implications in regard to different types of debt instruments, the authors analyze measures of short-term, long-term, and convertible debt rather than an aggregate measure of total debt. Third, the study uses a factor-analytic technique that mitigates the measurement problems encountered when working with proxy variables.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith, Ross L. Watts Journal of Applied Corporate Finance. 1995. Vol. 7. No. 4. P. 4-19.
In this paper we analyze the leverage and dividend choices than 6,700 industrial corporations over a 30-year period. Our empirical analysis is designed to provide a basis for assessing the relative importance of the various factors - taxes, contracting costs (particularly, the financial distress costs and the "free cash flow" benefits of debt), and signaling effects - in explaining corporate financial behavior. Such findings can than be used to guide corporate managers in thinking about trade-offs among different leverage and dividend choices.
Опубликовано на портале: 02-10-2003Christopher Polk, Owen Lamont Journal of Finance. 2001. Vol. 56. No. 5. P. 1693-1721.
Diversified firms have different values than comparable portfolios of single-segment firms. These value differences must be due to differences in either future cash flows or future returns. Expected security returns on diversified firms vary systematically with relative value. Discount firms have significantly higher subsequent returns than premium firms. Slightly more than half of the cross-sectional variation in excess values is attributable to variation in expected future cash flows, with the remainder attributable to variation in expected future returns and to covariation between cash flows and returns.
The Economic Costs of the Iraq War: An Appraisal Three Years After the Beginning of the Conflict [статья]
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Linda Bilmes NBER Working Papers. 2006. No. 12054.
This paper attempts to provide a more complete reckoning of the costs of the Iraq War, using standard economic and accounting/ budgetary frameworks. As of December 30, 2005, total spending for combat and support operations in Iraq is $251bn, and the CBO's estimates put the projected total direct costs at around $500bn. These figures, however, greatly underestimate the War's true costs. The authors estimate a range of present and future costs, by including expenditures not in the $500bn CBO projection, such as lifetime healthcare and disability payments to returning veterans, replenishment of military hardware, and increased recruitment costs. They then make adjustments to reflect the social costs of the resources deployed, (e.g. reserve pay is less than the opportunity wage and disability pay is less than forgone earnings). Finally, they estimate the effects of the war on the overall performance of the economy. Even taking a conservative approach and assuming all US troops return by 2010, the authors believe the true costs exceed a trillion dollars. Using the CBO's projection of maintaining troops in Iraq through 2015, the true costs may exceed $2 trillion. In either case, the cost is much larger than the administration's original estimate of $50-$60bn. The costs estimated do not include those borne by other countries, either directly (military expenditures) or indirectly (the increased price of oil). Most importantly, they have not included the costs to Iraq, either in terms of destruction of infrastructure or the loss of lives. These would all clearly raise the costs significantly.
Опубликовано на портале: 21-06-2006Bartolomé Deyá Tortella, Sandro Brusco Advances in Accounting. 2003. Vol. 20. P. 265-290 .
The Economic Value Added (EVA®1) is a widely adopted technique for the measurement of value creation. Using different event study methodologies we test the market reaction to the introduction of EVA. Additionally, we analyze the long-run evolution before and after EVA adoption of profitability, investment and cash flow variables. We first show that the introduction of EVA does not generate significant abnormal returns, either positive or negative. Next, we show that firms adopt EVA after a long period of bad performance, and performance indicators improve only in the long run. With respect to the firm investment activity variables, the adoption of EVA provides incentives for the managers to increase firm investment activity, and this appears to be linked to higher levels of debt. Finally, we observe that EVA adoption affects positively and significantly cash flow measures.
Опубликовано на портале: 02-10-2003Raghuram G. Rajan, Mitchell A. Petersen Quarterly Journal of Economics. 1995. Vol. 110. No. 2. P. 407-443.
This paper provides a simple model showing that the extent of competition in credit markets is important in determining the value of lending relationships. Creditors are more likely to finance credit constrained firms when credit markets are concentrated because it is easier for these creditors to internalize the benefits of assisting the firms. The model has implications about the availability and the price of credit as firms age in different markets. The paper offers evidence for these implications from small business data. It concludes with conjectures on the costs and benefits of liberalizing financial markets, as well as the timing of such reforms.
The Effect of Forward Markets on the Debt-Equity Mix of Investor Portfolios and the Optimal Capital Structure of Firms. [статья]
Опубликовано на портале: 14-06-2006Sheridan Titman Journal of Financial and Quantitative Analysis. 1985. Vol. 20. No. 1. P. 19-28.
This paper demonstrates that the various market imperfections that have been suggested to explain observed portfolio choices and capital structures can be circumvented if securities (e.g., options) can be traded that simulate forward contracts on stock. It is shown that if the risk-adjusted returns to bondholders exceed the returns to stockholders (to reflect personal tax differences) tax-exempt investors will prefer a combination of these synthetic forward purchases and corporate bonds to purchasing stock directly. They will not, as has been suggested, include stock in their portfolios for diversification purposes when they can alternatively purchase securities that simulate forward contracts. It is also shown that firms that can sell synthetic forward positions on their own stock can essentially guarantee that sufficient funds will be available to meet their bond obligations. This gives firms the opportunity to increase their debt levels without increasing the possibility of bankruptcy and the corresponding administrative and agency costs.
The Effect of Managerial Overconfidence, Asymmetric Information, and Moral Hazard on Capital Structure Decisions. [статья]
Опубликовано на портале: 21-06-2006Richard J. Fairchild Working Paper Series (SSRN). 2006.
We examine the combined effects of managerial overconfidence, asymmetric information and moral hazard problems on the manager's choice of financing (debt or equity). We demonstrate the following; a) in the asymmetric information model, overconfidence is unambiguously bad. It induces excessive welfare-reducing debt, b) in the moral hazard model, the effect of overconfidence is ambiguous. It has a positive effect by inducing higher managerial effort. However, it may lead to excessive use of debt and higher expected bankruptcy costs. Overall, we contribute to the debate on managerial overconfidence by demonstrating that managerial overconfidence is not necessarily bad for shareholders.
Опубликовано на портале: 11-10-2004Warren B. Bailey Canadian Journal of Economics. 1989. Vol. 22. No. 3. P. 607-618.
This paper documents associations between weekly U.S. money supply releases and four price series from Canada's financial markets. Two significant results emerge. First, the Toronto stock index, Government of Canada bond prices, and Canadian short-term interest rates change with surprises in the announced level of U.S. M1 since the U.S. began targeting money growth in October 1979. These effects do not appear to be transmitted through Canadian monetary variables. Second, the Canada/U.S. exchange rate is uncorrelated with U.S. M1 surprises. This suggests that the Bank of Canada prefers to stabilize the exchange rate rather than the interest rate.
Опубликовано на портале: 21-06-2006Andrew Vivian Working Paper Series (SSRN). 2005.
We examine the UK equity premium over more than a century using dividend growth to estimate expectations of capital gains employing the approach of Fama and French (2002). Since 1951 estimated equity premia implied by dividend growth have been much lower than that produced by average stock returns for the UK market as a whole; a finding corroborated by almost every industry sub-sector. Our empirical analysis suggests this is primarily due to a declining discount rate, during the latter part of the 20th Century, which would rationally stimulate unanticipated equity price rises during this period. Thus, we conclude that historical stock returns over recent decades have been above investors' expectations.