Journal of Financial Economics
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Опубликовано на портале: 29-10-2008
Rafael 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: 06-11-2008
Andrei 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: 03-10-2003
Rene 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: 18-04-2007
Mark 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: 16-11-2007
Eugene 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: 03-12-2007
David 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: 02-10-2003
Michael 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: 03-10-2003
Shmuel 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: 03-10-2003
Robert 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: 11-10-2004
Robert 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: 02-10-2003
Michael 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: 06-10-2004
H. 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: 03-10-2003
John 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: 06-10-2004
Phelim 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: 06-10-2004
Rene 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.
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