Journal of Financial Economics
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Опубликовано на портале: 29-10-2008Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer, Robert W. Vishny Journal of Financial Economics. 2000. Vol. 58. No. 1-2. P. 3-27.
Recent research has documented large differences among countries in ownership concentration in publicly traded firms, in the breadth and depth of capital markets, in dividend policies, and in the access of firms to external finance. A common element to the explanations of these differences is how well investors, both shareholders and creditors, are protected by law from expropriation by the managers and controlling shareholders of firms. We describe the differences in laws and the effectiveness of their enforcement across countries, discuss the possible origins of these differences, summarize their consequences, and assess potential strategies of corporate governance reform. We argue that the legal approach is a more fruitful way to understand corporate governance and its reform than the conventional distinction between bank-centered and market-centered financial systems.
Опубликовано на портале: 06-11-2008Andrei Shleifer, D. Wolfenzon Journal of Financial Economics. 2002. Vol. 66. No. 1. P. 3-27 .
We present a simple model of an entrepreneur going public in an environment with poor legal protection of outside shareholders. The model incorporates elements of Becker's (J. Political Econ. 106 (1968) 172) "crime and punishment" framework into a corporate finance environment of Jensen and Meckling (J. Financial Econ. 3 (1976) 305). We examine the entrepreneur's decision and the market equilibrium. The model is consistent with a number of empirical regularities concerning the relation between investor protection and corporate finance. It also sheds light on the patterns of capital flows between rich and poor countries and on the politics of reform of investor protection.
Managerial control of voting rights: Financing policies and the market for corporate control [статья]
Опубликовано на портале: 03-10-2003Rene M. Stulz Journal of Financial Economics. 1988. Vol. 20. P. 25-54.
This paper analyzes how managerial control of voting rights affects firm value and financing policies. It shows that an increase in the fraction of voting rights controlled by management decreases the probability of a successful tender offer and increases the premium offered if a tender offer is made. Depending on whether managerial control of voting rights is small or large, shareholders' wealth increases or falls when management strengthens its control of voting rights. Management can change the fraction of the votes it controls through capital structure changes, corporate charter amendments, and the acquisition of shareholder clienteles.
Опубликовано на портале: 18-04-2007Mark R. Huson, Paul H. Malatesta, Robert Parrino Journal of Financial Economics. 2004. Vol. 74. No. 2. P. 237-275.
We examine CEO turnover and firm financial performance.Accounting measures of performance relative to other firms deteriorate prior to CEO turnover and improve thereafter. The degree of improvement is positively related to the level of institutional shareholdings, the presence of an outsider-dominated board, and the appointment of an outsider (rather than an insider) CEO.Turnover announcements are associated with significantly positive average abnormal stock returns, which are in turn significantly positively related to subsequent changes in accounting measures of performance.This suggests that investors view turnover announcements as good news presaging performance improvements.
Опубликовано на портале: 16-11-2007Eugene F. Fama Journal of Financial Economics. 1998. Vol. 49. P. 283-306.
Market effciency survives the challenge from the literature on long-term return anomalies. Consistent with the market e¦ciency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market effciency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique
Опубликовано на портале: 03-12-2007David L. Ikenberry, Josef Lakonishok, Theo Vermaelen Journal of Financial Economics. 1995. Vol. 39. No. 2-3. P. 181-208.
We examine long-run firm performance following open market share repurchase announcements, 1980–1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1%. For ‘value’ stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is 45.3%. For repurchases announced by ‘glamour’ stocks, where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announcements
Опубликовано на портале: 02-10-2003Michael R. Gibbons Journal of Financial Economics. 1982. Vol. 10. No. 1. P. 3-27.
A variety of financial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errors-in-the-variables problem which has plagued a number of past studies, the suggested methodology increases the precision of estimated risk premiums by as much as 76%. In addition, the approach leads naturally to a likelihood ratio test of the parameter restrictions as a test for a financial model. This testing framework has considerable power over past test statistics. With no additional variable beyond , the substantive content of the CAPM is rejected for the period 1926–1975 with a significance level less than 0.001.
Опубликовано на портале: 03-10-2003Shmuel Kandel, Robert F. Stambaugh Journal of Financial Economics. 1987. Vol. 18. No. 1. P. 61-90.
A framework is presented for investigating the mean-variance efficiency of an unobservable portfolio based on its correlation with a proxy portfolio. A sensitivity analysis derives the highest correlation between the proxy and a portfolio that reverses the inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges from 0.76 to 0.48. We also test whether the correlation between the proxy and the tangent portfolio exceeds a given level. This hypothesis is often rejected for the NYSE-AMEX proxy at a correlation of 0.7.
Опубликовано на портале: 03-10-2003Robert C. Merton Journal of Financial Economics. 1980. Vol. 8. No. 4. P. 323-361.
The expected market return is a number frequently required for the solution of many investment and corporate finance problems, but by comparison with other financial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 1926–1978. The principal conclusions from this exploratory investigation are: (1) in estimating models of the expected market return, the non-negativity restriction of the expected excess return should be explicity included as part of the specification: (2) estimators which use realized returns should be adjusted for heteroscedasticity.
Опубликовано на портале: 11-10-2004Robert E. Whaley Journal of Financial Economics. 1981. Vol. 9. No. 2. P. 207-211 .
Both the Roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified. This note presents the corrected valuation formula, explains the misspecifications and provides a numerical example.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Neil D. Pearson, Michael Steven Weisbach Journal of Financial Economics. 1998. Vol. 49. No. 1. P. 3-43.
Despite the fact that taxable investors would prefer to defer the realization of capital gains indefinitely, most open-end mutual funds regularly realize and distribute a large portion of their gains. We present a model in which unrealized gains in the fund's portfolio increase expected future taxable distributions, and thus increase the present value of a new investor's tax liability. In equilibrium, managers interested in attracting new investors pass through taxable capital gains to reduce the overhang of unrealized gains. This model contains a number of empirical predictions that are consistent with data on actual fund overhangs.
Опубликовано на портале: 06-10-2004H. De Angelo, Ronald W. Masulis Journal of Financial Economics. 1980. Vol. 8. No. 1. P. 3-29.
In this paper, a model of corporate leverage choice is formulated in which corporate and differential personal taxes exist and supply side adjustments by firms enter into the determination of equilibrium relative prices of debt and equity. The presence of corporate tax shield substitutes for debt such as accounting depreciation, depletion allowances, and investment tax credits is shown to imply a market equilibrium in which each firm has a unique interior optimum leverage decision (with or without leverage-related costs). The optimal leverage model yields a number of interesting predictions regarding cross-sectional and time-series properties of firms' capital structures. Extant evidence bearing on these predictions is examined.
Опубликовано на портале: 03-10-2003John C. Cox, Stephen A. Ross, Mark Rubinstein Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 229-263.
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
Options: A Monte Carlo approach [статья]
Опубликовано на портале: 06-10-2004Phelim P. Boyle Journal of Financial Economics. 1977. Vol. 4. No. 3. P. 323-338 .
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional applications are suggested.
Опубликовано на портале: 06-10-2004Rene M. Stulz Journal of Financial Economics. 1982. Vol. 10. No. 2. P. 161-185.
This paper provides analytical formulas for European put and call options on the minimum or the maximum of two risky assets. The properties of these formulas are discussed in detail. Options on the minimum or the maximum of two risky assets are useful to price a wide variety of contingent claims of interest to financial economists. Applications discussed in this paper include the valuation of foreign currency debt, option-bonds, compensation plans, risk-sharing contracts, secured debt and growth opportunities involving mutually exclusive investments.