Journal of Financial Economics
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Опубликовано на портале: 18-04-2007
Milton Harris, Artur Raviv
Journal of Financial Economics.
1988.
No. 20.
P. 203-235.
In this paper, we derive conditions under which the simple majority voting rule for
electing controlling management and one share-one vote constitute a socially optimal
corporate governance rule. We also show that other majority rules and/or multiple
classes of shares are not socially optimal. Finally we show that an entrepreneur
would choose to "issue two securities, one with only cash flow claims and no votes
and one with only votes and no cash flow claims, ff this
were allowed. This scheme, regardless of the majority rule adopted, is not socially
optimal.
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Clifford W. Smith
Journal of Financial Economics.
1988.
Vol. 22.
No. 1.
P. 61-82.
Theories of corporate payout policy do not explain the observed form of distributions
to shareholders. Although open-market repurchases appear to have tax advantages,
cash dividends are overwhelmingly chosen. We argue that there are costs associated
with open-market-repurchase programs, since they provide managers with opportunities
to use inside information to benefit themselves at stockholders' expense. We offer
evidence suggesting that bid-ask spreads widen around repurchase announcements, as
predicted by our analysis. Since these costs of repurchases do not arise with cash
dividends, our analysis implies that repurchases do not dominate cash dividends for
making distributions to shareholders.
Detecting long-run abnormal stock returns: The empirical power and specification
of test statistics [статья]
Опубликовано на портале: 06-10-2004
Brad 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: 03-10-2003
John 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.
Опубликовано на портале: 03-10-2003
Philip 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: 02-10-2003
Michael J. Barclay
Journal of Financial Economics.
1987.
Vol. 19.
No. 1.
P. 31-44.
This study examines the ex-dividend day behavior of common stock prices before the
enactment of the federal income tax. On ex-dividend days during the pre-tax period,
stock prices fell, on average, by the full amount of the dividend. The data are consistent
with the hypothesis that (i) investors in the pre-tax period value dividends and
capital gains as perfect substitutes and (ii) the differential taxation of dividends
and capital gains has since caused investors to discount the value of taxable cash
dividends in relation to capital gains.
Опубликовано на портале: 02-10-2003
Christopher Polk, Owen Lamont
Journal of Financial Economics.
2002.
Vol. 63.
No. 1.
P. 51-77.
Does corporate diversification reduce shareholder value? Since firms endogenously
choose to diversify, exogenous variation in diversification is necessary in order
to draw inferences about the causal effect. We examine changes in the within-firm
dispersion of characteristics, or "diversity." Following the inefficient internal
capital markets hypothesis, we examine investment diversity. We find that exogenous
changes in diversity, due to changes in industry investment, are negatively related
to changes in firm value. Thus diversification destroys value. This finding is not
caused by measurement error. We also find that exogenous changes in industry cash
flow diversity are negatively related to changes in firm value
Опубликовано на портале: 03-10-2003
Owen Lamont, Christopher Polk
Journal of Financial Economics.
2002.
Vol. 63.
No. 1.
Does corporate diversification reduce shareholder value? Since firms endogenously
choose to diversify, exogenous variation in diversification is necessary to draw
inferences about the causal effect. We examine changes in the within-firm dispersion
of industry investment, or "diversity". We find that exogenous changes in diversity,
due to changes in industry investment, are negatively related to firm value. Thus
diversification destroys value, consistent with the inefficient internal capital
markets hypothesis. Measurement error does not cause this finding. We also find that
exogenous changes in industry cash flow diversity are negatively related to firm
value
Опубликовано на портале: 17-04-2007
Hamid Mehran
Journal of Financial Economics.
1995.
Vol. 38.
No. 2.
P. 163-184.
An examination of the executive compensation structure of 153 randomly-selected
manufacturing firms in 1979-1980 provides evidence supporting advocates of incentive
compensation, and also suggests that the form rather than the level of compensation
is what motivates managers to increase firm value. Firm performance is positively
related to the percentage of equity held by managers and to the percentage of their
compensation that is equity-based. Moreover, equity-based compensation is used more
extensively in firms with more outside directors. Finally, firms in which a higher
percentage of the shares are held by insiders or outside blockholders use less equity-based
compensation.
Опубликовано на портале: 03-10-2003
Claudio Loderer, Kenneth Martin
Journal of Financial Economics.
1997.
Vol. 45.
No. 2.
P. 223-255.
We examine the relation between managers' financial interests and firm performance.
Since the relation could go in either direction, we cast the analysis in a simultaneous
equations framework. For firms involved in acquisitions, we find that acquisition
performance and Tobin's Q ratios affect the size of managers' stockholdings. We find
no evidence, however, that larger stockholdings lead to better performance. Perhaps
management is effectively disciplined by competition in product and labor markets.
Alternatively, it may not be necessary for top executives to own stock to be residual
claimants. And finally, higher ownership might multiply the opportunities to appropriate
corporate wealth.
Опубликовано на портале: 18-04-2007
Jun-Koo Kang, Anil Shivdasani
Journal of Financial Economics.
1995.
Vol. 38.
No. 1.
P. 29-58.
We examine the role of corporate governance mechanisms during top executive
turnover in Japanese corporations. Consistent with evidence from U.S. data, the likelihood
of nonroutine turnover is significantly related to industry-adjusted return on assets,excess
stock returns, and negative operating income, but is not related to industry performance.
The sensitivity of nonroutine turnover to earnings performance is higher for firms
with ties to a main bank than for firms without such ties. Outside succession in
Japan is more likely for firms with large shareholders and a main bank relationship.
We document performance improvements subsequent to nonroutine turnover and outside
succession.
Опубликовано на портале: 22-06-2006
David Yermack
Journal of Financial Economics.
2003.
Vol. 40.
No. 2.
P. 185-211.
The author presents evidence consistent with theories that small boards of directors
are more
effective. Using Tobin's Q as an approximation of market valuation, he finds an inverse
association between board size and firm value in a sample of 452 large U.S. industrial
corporations between 1984 and 1991. The result is robust to numerous controls for
company size, industry membership, inside stock ownership, growth opportunities,
and alternative corporate governance structures. Companies with small boards also
exhibit more favorable values for financial ratios, and provide stronger CEO performance
incentives from compensation and the threat of dismissal
Опубликовано на портале: 01-10-2003
Fisher Black
Journal of Financial Economics.
1974.
Vol. 4.
No. 1.
P. 337-52 .
Outlines models of capital market equilibrium when there are explicit barriers to
international investment. Taxes levied on holdings of assets in one country by residents
of another country; Deviation of asset prices from the predictions of the world capital
asset pricing.
Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003
Lubos Pastor, Robert F. Stambaugh
Journal of Financial Economics.
2002.
Vol. 63.
No. 3.
P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns
on funds and passive indexes with prior views about asset pricing and skill. By including
both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy
from managerial skill. Modest confidence in a pricing model helps construct portfolios
with high Sharpe ratios. Investing in active mutual funds can be optimal even for
investors who believe managers cannot outperfofm passive indexes. Optimal portfolios
exclude hot-hand funds even for investors who believe momentum is priced. Our large
universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
Опубликовано на портале: 05-10-2004
Clifford W. Smith
Journal of Financial Economics.
1986.
Vol. 15.
No. 1-2.
P. 3-29.
This paper reviews the theory and evidence on the process by which corporations raise
debt and equity capital and the associated effects on security prices. Findings from
related transactions are used to test hypotheses about the stock price patterns accompanying
announcements of security offerings. Various contractual alternatives employed in
security issues are examined; for example, rights or underwritten offers, negotiated
or competitive bid, best efforts or firm commitment contracts, and shelf or traditional
registration. Finally, incentives for underpricing new issues are analyzed.
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