Всего статей в данном разделе : 974
Опубликовано на портале: 03-10-2003Nikos Vafeas Journal of Financial Economics. 1999. Vol. 53. No. 1. P. 113-142.
For 307 firms over the 1990–1994 period, autor finds that board meeting frequency is related to corporate governance and ownership characteristics in a manner that is consistent with contracting and agency theory. The annual number of board meetings is inversely related to firm value. This result is driven by increases in board activity following share price declines. Autor further finds that operating performance improves following years of abnormal board activity. These improvements are most pronounced for firms with poor prior performance and firms not engaged in corporate control transactions. Overall, his results suggest that board activity, measured by board meeting frequency, is an important dimension of board operations.
Bond Risk Premia [статья]
Опубликовано на портале: 15-11-2007John H. Cochrane, Monika Piazzesi American Economic Review. 2005. Vol. 95. No. 1. P. 138-160.
We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
Опубликовано на портале: 22-11-2012Геворк Аветисович Папирян Экономическая политика. 2010. № 1. С. 184-203.
Конфликт между британскими и российскими акционерами ТНК-ВР, который начался в мае 2008 года, привел к требованию россиян освободить от занимаемой должности главного исполнительного директора, Роберта Дадли. Они заявили, что Дадли ставит интересы ВР выше интересов совместного предприятия. В данном учебном кейсе студентам предлагается оценить варианты за и против сохранения или изменения структуры собственности совместного предприятия, а также определить степень влияния данного конфликта на будущую стратегию ведения бизнеса ВР в России.
Опубликовано на портале: 17-09-2004Uwe E. Reinhardt Journal of Finance. 1973. Vol. 28. No. 4. P. 821-838.
In this paper the Tri Star project is reexamined in terms of a capital-budgeting framework. The objective of the analysis is two-fold. First, it serves to illustrate how standard economic and financial theory can be brought to bear on the solution to real-world business problems. Second, it demonstrates the contribution financial theory can make towards ratioual decision-making in the public sector. From the Congressional hearings one gathers that the loan-guarantee legislation was passed in the belief that the Tri Star program was commercially viable, an impression Lockheed had tried hard to convey with its own break even projections. Our analysis suggests, however, that the inclusion of the opportunity cost of funds among the total costs of Tri Star tends to raise the actual break-even sales for the program to a level almost twice as high as the estimates submitted by Lockheed to Congress. It is clear then, that Congress made its decision in this case on the basis of highly misleading information. Section II below sets forth the theoretical model unerlying our analysis. The section also indicates the various sources from which our revenue and cost estimate have been pieced together. The empirical results from the analysis are presented in Section III . Some necessary caveats are offered by way of summary in Section IV
Bubbles and Crises [статья]
Опубликовано на портале: 16-03-2005Franklin Allen, Douglas Gale Economic Journal. 2000. Vol. 110. No. 460. P. 236-255.
In recent financial crises a bubble, in which asset prices rise, is followed by a collapse and widespread default. Bubbles are caused by agency relationships in the banking sector. Investors use money borrowed from banks to invest in risky assets, which are relatively attractive because investors can avoid losses in low payoff states by defaulting on the loan. This risk shifting leads investors to bid up the asset prices. Risk can originate in both the real and financial sectors. Financial fragility occurs when positive credit expansion is insufficient to prevent a crisis.
Опубликовано на портале: 02-11-2007John Y. Campbell, John H. Cochrane Journal of Political Economy. 1999. Vol. 107. No. 2. P. 205-251.
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution
Опубликовано на портале: 26-08-2007Hayne E. Leland, Chris Hennessy, Dirk Hackbarth AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper. 2004.
This paper examines the optimal mixture and priority structure of bank and market debt using a tax shield-bankruptcy cost tradeoff model where the only unique feature of banks is their ability to renegotiate. Optimal debt structure hinges upon the division of ex post bargaining power between the firm and bank. Weak firms utilize bank debt exclusively. Strong firms use a mixture of bank and market debt, with bank debt senior. Therefore, the tradeoff theory offers an explanation for: (i) why small firms use bank debt exclusively; (ii) why large firms employ mixed debt financing; (iii) why bank debt is senior; and (iv) why firms shift from bank debt into a mixture of market and bank debt over their life-cycle. Optimal debt contracts entail absolute priority, and we provide estimates of the cost of ex post priority violations across creditor classes.
Опубликовано на портале: 03-10-2003William F. Sharpe Journal of Finance. 1964. Vol. 19. No. 3. P. 425-442.
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.
Опубликовано на портале: 11-11-2004Myron J. Gordon, Eli Shapiro Management Science. 1956. Vol. 3. No. 1. P. 102-110.
The interest in capital equipment analysis that has been evident in the business literature of the past five years in the product of numerous social, economic, and business developments of the postwar period. No conclusive listing of these developments can be attempted here. However, four should be mentioned which are of particular importance in this search for a more systematic method for discovering, evaluating, and selecting investment opportunities. These are (1) the high level of capital outlays (in absolute terms); (2) the growth in the size of business firms; (3) the delegation of responsibility for initiating recommendations from top management to the profit center, which has been part of general movement toward decentralization; and (4) the growing use of "scientific management" in the operations of the business firm. In the balance of this paper, a method for determining this quantity is proposed and its use in capital budgeting is analyzed.
Опубликовано на портале: 19-10-2004H. Martin Weingartner Journal of Finance. 1977. Vol. 32. No. 5. P. 1403-1431.
Major attention has been focussed, but in an unsatisfactory way, on two aspects of this problem, which will be the central topic of this paper. First, what discount rate should be used in computing present values and what does this discount rate stand for? Alternatively, what should be criterion for optimization? Second, if the constraints on expenditure are binding for a given firm, has the discount rate measured the firm's opportunity cost of capital properly, or is there, alternatively, a discount rate which "clears the market" the internal demand for funds and the externally made available funds?
Опубликовано на портале: 21-06-2006Turan Erol Economics Letters. 2003. Vol. 78. No. 1. P. 109-115.
This paper uses the industry-level data to investigate the effects of corporate debt on output pricing in a typical developing country. The panel estimations on the major two-digit industries reveal two basic findings. First, short-term debt leads to an increase in output prices while long-term debt has the opposite effect. Second, short-term debt but not long-term debt is found to have cyclical effects on prices.
Опубликовано на портале: 21-06-2006Donald R. Fraser, Chek Derashid, Hao Zhang Journal of Banking & Finance. 2006. Vol. 30. No. 4. P. 1291-1308.
This paper extends prior work on the links between political patronage and capital structure in developing economies. Three proxies of political patronage are developed and applied to a group of Malaysian firms over a 10-year period. We find a positive and significant link between leverage and each of the three measures of political patronage. We also find evidence of an indirect link between political patronage and capital structure through firm size and profitability.
Опубликовано на портале: 21-06-2006Raj Aggarwal ASEAN Economic Bulletin. 1990. Vol. 7. No. 1. P. 39-54.
This article reviews prior research regarding influences on capital structure and reports the results of an empirical study of the capital structures of large Asian companies. Variations with regard to the country, industry, and size of a company are examined for the first time for a sample as large as four hundred and seventy-four companies located in twenty Asian countries. The results of this study indicate that while size does not seem to be a significant influence, both country and industry are significant factors influencing capital structure in Asia. Multinational and diversified companies, therefore, must take these differences into account in developing and setting capital structure, financing, subsidiary evaluation, and management policies for their Asian operations. Bankers, other creditors, and investors also must recognize national differences in debt ratios in order to assess credit and investment risks accurately.
Опубликовано на портале: 14-06-2006Helen Short, Kevin Keasey, Darren Duxbury International Journal of the Economics of Business. 2002. Vol. 9. No. 3. P. 375-399.
This paper examines empirically the effects of management ownership and ownership by large external shareholders on the capital structure of the firm from an agency theory perspective. The paper extends the US literature on the topic by examining the effect of interactions between management ownership and ownership by large external shareholders on the capital structure of UK firms. For a sample of UK firms, the paper provides empirical evidence that suggests the debt ratio is positively related to management ownership and negatively related to ownership by large external shareholders. Furthermore, the presence of a large external shareholder acts to negate the positive relationship between debt ratios and management ownership; in the presence of a large external shareholder, no significant relationship between debt ratios and management ownership exists. These findings are consistent with the hypothesis that the presence of large external shareholders affects the agency costs of debt and equity.
Опубликовано на портале: 21-06-2006Nikolay Halov, Florian Heider Working Paper Series (SSRN). 2005.
This paper argues that firms may not issue debt in order to avoid the adverse selection cost of debt. Theory suggests that since debt is a concave claim, it may be mispriced when outside investors are uninformed about firms’ risk. The empirical literature has however paid little attention the caveat that the “lemons” problem of external financing first identified by Myers (1984) only leads to debt issuance, i.e. a pecking order, if debt is risk free or, if it is risky, that it is not mispriced. This paper therefore examines whether and for what firms the adverse selection cost of debt is more than a theoretical possibility? And how does this cost relate to other costs of debt such as bankruptcy? Absent any direct measure of something that is unknown to investors and thus cannot be in the econometrician’s information set, we present an extensive collage of strong and robust evidence in a large unbalanced panel of publicly traded US firms from 1971 to 2001 that firms avoid issuing debt when the outside market is likely to know little about their risk.