Journal of Financial Economics
1974 1976 1977 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1993 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Опубликовано на портале: 03-10-2003
David J. Denis, Diane K. Denis, Atulya Sarin
Journal of Financial Economics.
1997.
Vol. 45.
No. 2.
P. 193-221.
We report that ownership structure significantly affects the likelihood of a change
in top executive. Controlling for stock price performance, the probability of top
executive turnover is negatively related to the ownership stake of officers and directors
and positively related to the presence of an outside blockholder. In addition, the
likelihood of a change in top executive is significantly less sensitive to stock
price performance in firms with higher managerial ownership. Finally, we document
an unusually high rate of corporate control activity in the twelve months preceding
top executive turnover. We conclude that ownership structure has an important influence
on internal monitoring efforts and that this influence stems in part from the effect
of ownership structure on external control threats.
Опубликовано на портале: 03-10-2003
Myeong-Hyeon Cho
Journal of Financial Economics.
1998.
Vol. 47.
No. 1.
P. 103-121.
This paper examines the relation among ownership structure, investment, and corporate
value, focusing on whether ownership structure affects investment. Ordinary least
squares regression results suggest that ownership structure affects investment and,
therefore, corporate value. However, simultaneous regression results indicate that
the endogeneity of ownership may affect these inferences, suggesting that investment
affects corporate value which, in turn, affects ownership structure. The evidence
shows that corporate value affects ownership structure, but not vice versa. These
findings raise questions regarding the assumption that ownership structure is exogenously
determined, and bring into question the results in studies that treat ownership structure
as exogenous.
Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover
measures [статья]
Опубликовано на портале: 03-10-2003
Robert Comment, G. William Schwert
Journal of Financial Economics.
1995.
Vol. 39.
No. 1.
P. 3-43.
This paper provides large-sample evidence that poison pill rights issues, control
share laws, and business combination laws have not systematically deterred takeovers
and are unlikely to have caused the demise of the 1980s market for corporate control,
even though 87% of all exchange-listed firms are now covered by one of these antitakeover
measures. We show that poison pills and control share laws are reliably associated
with higher takeover premiums for selling shareholders, both unconditionally and
conditional on a successful takeover, and we provide updated event study evidence
for the three-quarters of all poison pills not yet analyzed. Antitakeover measures
increase the bargaining position of target firms, but they do not prevent many transactions.
Portfolio Return Autocorrelation [статья]
Опубликовано на портале: 25-10-2007
Timothy S. Mech
Journal of Financial Economics.
1993.
Vol. 34.
No. 3.
P. 307-334.
This paper investigates whether portfolio return autocorrelation can be explained
by time-varying expected returns, nontrading, stale limit orders, market maker inventory
policy, or transaction costs. Evidence is consistent with the hypothesis that transaction
costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost
model which predicts that prices adjust faster when changes in valuation are large
in relation to the bid-ask spread. Cross-sectional tests support
this prediction, but time-series tests do not.
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Clifford G. Holderness, Jeffrey Pontiff
Journal of Financial Economics.
1993.
Vol. 33.
No. 3.
P. 263-291.
The greater the managerial stock ownership in closed-end funds, the larger are the
discounts to net asset value. The average discount for funds with blockholders is
14%, whereas the average discount for funds without blockholders is only 4%. This
relation is robust over time and to various model specifications that control for
other factors that affect discounts. We argue that blockholders receive private benefits
that do not accrue to other shareholders and that they veto open-ending proposals
to preserve these benefits. We support this argument by documenting a range of potential
private benefits received by blockholders in closed-end funds.
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Clifford G. Holderness
Journal of Financial Economics.
1989.
Vol. 25.
No. 2.
P. 371-395.
We analyze the pricing of 63 block trades between 1978 and 1982 involving at least
5% of the common stock of NYSE or Amex corporations. These blocks are typically priced
at substantial premiums to the post-announcement exchange price. We argue that the
premiums, which average 20%, reflect private benefits that accrue exclusively to
the blockholder because of his voting power. The premiums paid by both individual
and corporate block purchasers increase with firm size, fractional ownership, and
firm performance. Individuals pay larger premiums for firms with greater leverage,
lower stock-return variance, and large cash holdings.
Private credit in 129 countries [статья]
Опубликовано на портале: 06-11-2008
Simeon Djankov, Caralee McLiesh, Andrei Shleifer
Journal of Financial Economics.
2007.
Vol. 84.
No. 2.
P. 299-329 .
We investigate cross-country determinants of private credit, using new data on legal creditor rights and private and public credit registries in 129 countries. Both creditor protection through the legal system and information-sharing institutions are associated with higher ratios of private credit to gross domestic product, but the former is relatively more important in the richer countries. An analysis of legal reforms shows that credit rises after improvements in creditor rights and in information sharing. Creditor rights are remarkably stable over time, contrary to the hypothesis that legal rules are converging. Finally, legal origins are an important determinant of both creditor rights and informationsharing institutions. The analysis suggests that public credit registries, which are primarily a feature of French civil law countries, benefit private credit markets in developing countries.
Опубликовано на портале: 03-12-2007
Patricia M. Dechow, Richard G. Sloan
Journal of Financial Economics.
1997.
Vol. 43.
No. 1.
P. 3-27.
This paper examines the ability of naive investor expectations models to explain
the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer,
and Vishny (1994), we find no systematic evidence that stock prices reflect naive
extrapolation of past trends in earnings and sales growth. Building on Bauman and
Dowen (1988) and La Porta (1995), however, we find that stock prices appear to naively
reflect analysts' biased forecasts of future earnings growth. Further, we find that
naive reliance on analysts' forecasts of future earnings growth can explain over
half of the higher returns to contrarian investment strategies
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Jerold B. Warner
Journal of Financial Economics.
1993.
Vol. 34.
No. 3.
P. 281-305.
We examine the proportion of a stock's cumulative price change that occurs in each
trade-size category, using transactions data for a sample of NYSE firms. Although
the majority of trades are small, most of the cumulative stock-price change is due
to medium-size trades. This evidence is consistent with the hypothesis that informed
trades are concentrated in the medium-size category, and that price movements are
due mainly to informed traders' private information.
Опубликовано на портале: 25-10-2007
Kenneth R. French, Richard Roll
Journal of Financial Economics.
1986.
Vol. 17.
No. 1.
P. 5-26.
Asset prices are much more volatile during exchange trading hours than during non-trading
hours. This paper considers three explanations for this phenomenon:
(1) volatility is caused by public information which is more likely to arrive
during normal business hours;
(2) volatility is caused by private information which affects prices when informed
investors trade; and
(3) volatility is caused by pricing errors that occur during trading. Although
a significant fraction of the daily variance is caused by mispricing, the behavior
of returns around exchange holidays suggests that private information is the principle
factor behind high trading-time variances.
Опубликовано на портале: 03-10-2003
Michael Bradley, Anand Desai, E.Han Kim
Journal of Financial Economics.
1988.
Vol. 21.
No. 1.
P. 3-40.
This paper documents that a successful tender offer increases the combined value
of the target and acquiring firms by an average of 7.4%. We also provide a theoretical
analysis of the process of competition for control of the target and empirical evidence
that competition among bidding firms increases the returns to targets and decreases
the returns to acquirers, that the supply of target shares is positively sloped,
and that changes in the legal/institutional environment of tender offers have had
no impact on the total (percentage) synergistic gains created but have significantly
affected their division between the stockholders of the target and acquiring firms.
Опубликовано на портале: 06-10-2004
Lakshmi Shyam-Sunder, Stewart C. Myers
Journal of Financial Economics.
1999.
Vol. 51.
No. 2.
P. 219-244.
This paper tests traditional capital structure models against the alternative of
a pecking order model of corporate financing. The basic pecking order model, which
predicts external debt financing driven by the internal financial deficit, has much
greater time-series explanatory power than a static tradeoff model, which predicts
that each firm adjusts gradually toward an optimal debt ratio. We show that our tests
have the power to reject the pecking order against alternative tradeoff hypotheses.
The statistical power of some usual tests of the tradeoff model is virtually nil.
Опубликовано на портале: 07-02-2003
B. Cornell
Journal of Financial Economics.
1981.
Vol. 9.
No. 1.
P. 103-8.
Examines the role of consumption in asset pricing. Collapse of a multi-beta capital
asset pricing model into a single-beta model where betas are computed with respect
to aggregate consumption; Role of consumption betas; Derivation of a single-beta
pricing equation; Stationarity of the consumption betas; Inclusion of the covariance
of the asset's return with aggregate real consumption. (Из Ebsco)
Опубликовано на портале: 02-11-2007
Gregory N. Mankiw, Stephen P. Zeldes
Journal of Financial Economics.
1991.
Vol. 29.
No. 1.
P. 97-112.
Only one-fourth of U.S. families own stock. This paper examines whether the consumption
of stockholders differs from the consumption of non-stockholders and whether these
differences help explain the empirical failures of the consumption-based CAPM. Household
panel data are used to construct time series on the consumption of each group. The
results indicate that the consumption of stockholders is more volatile than that
of non-stockholders and is more highly correlated with the excess return on the stock
market. These differences help explain the size of the equity premium, although they
do not fully resolve the equity premium puzzle
Опубликовано на портале: 29-10-2008
Simeon Djankov, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer
Journal of Financial Economics.
2008.
Vol. 88.
No. 3.
P. 430-465..
We present a new measure of legal protection of minority shareholders against expropriation by corporate insiders: the anti-self-dealing index. Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on private enforcement mechanisms, such as disclosure, approval, and litigation, that govern a specific self-dealing transaction. This theoretically grounded index predicts a variety of stock market outcomes, and generally works better than the previously introduced index of anti-director rights.
|
|