Всего статей в данном разделе : 974
Detecting long-run abnormal stock returns: The empirical power and specification of test statistics [статья]
Опубликовано на портале: 06-10-2004Brad M. Barber, John D. Lyon Journal of Financial Economics. 1997. Vol. 43. No. 3. P. 341-372.
We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (empirical rejection rates exceed theoretical rejection rates) and identify three reasons for this misspecification. We correct for the three identified sources of misspecification by matching sample firms to control firms of similar sizes and book-to-market ratios. This control firm approach yields well-specified test statistics in virtually all sampling situations considered.
Опубликовано на портале: 21-06-2006Saumitra N. Bhaduri Applied Financial Economy. 2002. Vol. 12. No. 9. P. 655-665.
Existing empirical research on capital structure has been largely confined to the United States and a few other advanced countries. This paper attempts to study the capital structure choice of Less Developed Countries (LDCs) through a case study of the Indian Corporate sector. The objective is to develop a model that accounts for the possibility of restructuring costs in attaining an optimal capital structure and addresses the measurement problem that arises due to the unobservable nature of the attributes influencing the optimal capital structure. The evidence presented here suggests that the optimal capital structure choice can be influenced by factors such as growth, cash flow, size, and product and industry characteristics. The results also confirm the existence of restructuring costs in attaining an optimal capital structure.
Опубликовано на портале: 14-06-2006Francis Declerck Agribusiness. 1995. Vol. 11. No. 6. P. 523-536.
Focuses on the created value of leveraged buyouts (LBO) in the US Food Industries in the 1980s. Value of LBOs in the food industries in 1989; Analysis of objective of private firms in LBO; Analysis of debt and divestitures.
Опубликовано на портале: 20-06-2006Eugene F. Fama, Kenneth R. French AFA 2001 New Orleans; CRSP Working Paper No. 509. 2000.
The percent of firms paying cash dividends falls from 66.5 in 1978 to 20.8 in 1999. The decline is due in part to the changing characteristics of publicly traded firms. Fed by new lists, the population of publicly traded firms tilts increasingly toward small firms with low profitability and strong growth opportunities characteristics typical of firms that have never paid dividends. More interesting, we also show that controlling for characteristics, firms become less likely to pay dividends. This lower propensity to pay is at least as important as changing characteristics in the declining incidence of dividend payers.
Опубликовано на портале: 03-10-2003John S. Howe, Tie Su Journal of Financial Economics. 2001. Vol. 61. No. 2. P. 227-252.
Managers can decide to reduce a warrant's exercise price. A reduction in exercise price can induce exercise (a conversion-forcing reduction) or not (a long-term reduction). Conversion-forcing firms show an abnormal return of -1.53% on the announcement day but they perform well over the three years following the announcement. This finding suggests that the funds raised from warrant exercise are invested in profitable projects. Long-term reductions show an abnormal return of -1.15% on the announcement day. These firms also perform well following the reduction, which suggests that the lower exercise price restores managerial incentives.
Discussion of EVA versus Earnings: Does It Matter Which Is More Highly Correlated with Stock Returns? [статья]
Опубликовано на портале: 21-06-2006Madhav V. Rajan Journal of Accounting Research. 2000. Vol. 38. P. 247-254.
A distinctive feature of the paper is its use of both theoretical and empirical approaches to understanding EVA. The authors first analyze a principal-agent model using certaine parametric assumptions. They model EVA and accounting earnings as two distinct, noisy perfomance measures of the same uderlying construct, with both measures providing information to the principal about the agent's action choices. They subsequently derive a theoretical expression for the percentage value-added contributed by using EVA as a measure for evaluating managerial perfomance. A key finding is that this expression can be restated as a function of the observed correlations of each of the metrics with stock price. In the second part of the paper, the authors estimate this value for their sample of firms using time-series data, and then correlate the estimates cross-sectionally with the decision to adopt EVA by these firms. In support of the theoretical results, the authors find a positive association, after controlling for other factors such as size, leverage, and growth oppportunities.
Опубликовано на портале: 03-10-2003Philip G. Berger, Eli Ofek Journal of Financial Economics. 1995. Vol. 37. No. 1. P. 39-65.
In this article estimates diversification's effect on firm value by imputing stand-alone values for individual business segments. Comparing the sum of these stand-alone values to the firm's actual value implies a 13% to 15% average value loss from diversification during 1986-1991. The value loss is smaller when the segments of the diversified firm are in the same two-digit SIC code. We find that overinvestment and cross-subsidization contribute to the value loss. The loss is reduced modestly by tax benefits of diversification.
Опубликовано на портале: 22-10-2007Anat R. Admati, Paul Pfleiderer Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.
This article develops a model in which pattern in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
Опубликовано на портале: 17-09-2004James E. Walter Journal of Finance. 1956. Vol. 11. No. 1. P. 29-41.
Based upon the belief that stock-market behavior is susceptible of rationalization, an attempt is made in this paper to fabricate a theoretical model which depicts the relationship between dividend policies and common stock prices. Attention is of necessity restricted to the common stocks of large public corporations because of the imperfect market for the securities of small companies and of the close identification of small firms with their principal shareholders. The fundamental premise upon which the formulation rests is that, over longer periods, stock prices reflect the present values of expected dividends. The phrase "over long periods" is inserted to permit abstraction from the distortions caused by short-run speculative considerations.
Опубликовано на портале: 16-06-2006Varouj Aivazian, Laurence Booth, Sean Cleary Journal of Multinational Financial Management. 2003. Vol. 13. No. 2. P. 101-122.
The hypothesis that dividend policy serves as a signaling mechanism and also serves to control managerial opportunism is usually supported by empirical studies showing that firms in developed countries (e.g. the USA) smooth their dividends as noted by Lintner (Am. Econ. Rev. 46 (1956) 97). However, the theoretical justification for these results largely stems from models based on arms length contracting in capital markets. In contrast, most emerging markets have a bank centered financial system, where contracting is not normally at arms length. Consequently, this paper compares the dividend policy of companies from eight emerging markets to the policies adopted by 100 US firms over the same period. Firms in these emerging markets have more unstable dividend payments than their US counterparts. Regression results indicate that dividends are much less sensitive to past dividends. These results support the substitute view of dividend policy on the premise that the institutional structures of these developing countries make dividends a less viable mechanism for signaling and for reducing agency costs than for their US counterparts operating in more highly developed arms length capital markets.
Опубликовано на портале: 12-11-2004Merton H. Miller, Franco Modigliani Journal of Business. 1961. Vol. 34. No. 4. P. 411-433.
In the hope that it may help to overcome these obstacles to effective empirical testing, this paper will attempt to fill the existing gap in the theoretical literature on valuation. We shall begin, in Section I , by examining the effects the effects of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty. Still within this convenient analytical framework we shall go on in Section II and III to consider certain closely related issues that appear to have been responsible for considerable misunderstanding of the role of dividend policy. In particular, Section II will focus on the longstanding debate about what investors "really" capitalize when they buy shares; and Section III on the much mooted relations between price, the rate of growth of profits, and the rate of dividends per share. Once these fundamentals have been established, we shall proceed in Section IV to drop the assumption of certainty and to see the extent to which the earlier conclusions about dividend policy must be modified. Finally, in Section V , we shall briefly examine the implications for the dividend policy problem of certain kinds of market imperfections.
Опубликовано на портале: 06-10-2004Merton H. Miller, Kevin Rock Journal of Finance. 1985. Vol. 40. No. 4. P. 1031-1051.
We extend the standard finance model of the firm's dividend/investment/financing decisions by allowing the firm's managers to know more than outside investors about the true state of the firm's current earnings. The extension endogenizes the dividend (and financing) announcement effects amply documented in recent research. But once trading of shares is admitted to the model along with asymmetric information, the familiar Fisherian criterion for optimal investment becomes time inconsistent: the market's belief that the firm is following the Fisher rule creates incentives to violate the rule. We show that an informationally consistent signalling equilibrium exists under asymmetric information and the trading of shares that restores the time consistency of investment policy, but leads in general to lower levels of investment than the optimum achievable under full information and/or no trading. Contractual provisions that change the information asymmetry or the possibility of profiting from it could eliminate both the time inconsistency and the inefficiency in investment policies, but these contractual provisions too are likely to involve dead-weight costs. Establishing which route or combination of routes serves in practice to maintain consistency remains for future research.
Опубликовано на портале: 16-06-2006Susan Belden, Todd William Fister, Robert W. Knapp Business and Society Review. 2005. Vol. 110. P. 171-180.
Dividends and Politics (Revised) [статья]
Опубликовано на портале: 20-06-2006Steven A. Bank, Brian R. Cheffins, Marc Goergen ECGI - Law Working Paper. 2006. No. 24/2004 .
Influential contributors to debates concerning corporate governance assert that it is impossible to understand key trends without taking politics into account. This proposition has, however, remained largely untested. This paper therefore offers an empirical study of the relation between politics and corporate governance, with the focus being on the determinants of dividend policy in publicly quoted United Kingdom (U.K.) companies between 1950 and the present. The departure point is the well-known partial adjustment model of dividend policy, which we augment to take into account the ideological orientation of the party in power and other potentially salient proxies for politics (e.g. tax policy and dividend controls). The model is tested by reference to aggregate annual data on earnings and dividends. The results indicate that the political placement of the party in office lacks explanatory power. Moreover, even when politics manifests itself in regulation explicitly designed to regulate corporate behaviour, political variables generally do not correlate in the predicted direction with dividend pay-outs. The evidence therefore is inconsistent with the proposition that politics shape corporate governance.
Опубликовано на портале: 16-06-2006Kenneth A. Borokhovich, Kelly R. Brunarski, Yvette Harman, James B. Kehr Financial Review. 2005. Vol. 40. No. 1.
We report new evidence on the hypothesis that dividends reduce agency costs. Consistent with dividends as a mechanism to reduce agency costs, we find that, on average, firms with a majority of strict outside directors on their boards experience significantly lower mean abnormal returns around the announcements of sizeable dividend increases. Our results are robust to multivariate controls for firm size, leverage, ownership, growth options, and change in dividend yield. However, we find no evidence that dividend increases reduce agency costs as measured by poison pills or outside blockholdings