Journal of Financial Economics
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Опубликовано на портале: 17-04-2007Ronald C. Lease, John J. McConnell, Wayne H. Mikkelson Journal of Financial Economics. 1983. Vol. 11. No. 1-4. P. 439-471.
This paper tests the hypothesis that the future distribution of payoffs provided by a common stock depends upon whether ownership of the stock also conveys control over the firm's activities. For 26 firms that had two classes of common stock outstanding, the class with superior voting rights traded at a premium relative to the other class. However, in four firms where the ownership structure of the firm also included a class of voting preferred stock, the class of common with superior voting rights traded at a significant discount relative to the class of common with inferior voting rights. The analysis suggests that there are both benefits and costs of corporate control.
Опубликовано на портале: 06-10-2004Michael C. Jensen, William H. Meckling Journal of Financial Economics. 1976. Vol. 3. No. 4. P. 305-360.
This paper integrates elements from the theory of agency, the theory of property rights and the theory of finance to develop a theory of the ownership structure of the firm. We define the concept of agency costs, show its relationship to the `separation and control' issue, investigate the nature of the agency costs generated by the existence of debt and outside equity, demonstrate who bears these costs and why, and investigate the Pareto optimality of their existence. We also provide a new definition of the firm, and show how our analysis of the factors influencing the creation and issuance of debt and equity claims is a special case of the supply side of the completeness of markets problem. The directors of such [joint-stock] companies, however, being the managers rather of other people's money than of their own, it cannot well be expected, that they should watch over it with the same anxious vigilance with which the partners in a private copartnery frequently watch over their own. Like the stewards of a rich man, they are apt to consider attention to small matters as not for their master's honour, and very easily give themselves a dispensation from having it. Negligence and profusion, therefore, must always prevail, more or less, in the management of the affairs of such a company.
Опубликовано на портале: 03-10-2003Don M. Chance, Michael L. Hemler Journal of Financial Economics. 2001. Vol. 62. No. 2. P. 377-411.
We examine the performance of 30 professional market timers during 1986–1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. We analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios, and daily data, we find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. Relative ability persists and varies with the frequency of recommendation changes. When recommendations of successful timers are observed monthly instead of daily, significant ability generally disappears. Hence, the frequency with which recommendations are observed can change inferences regarding ability.
The valuation of compound options [статья]
Опубликовано на портале: 06-10-2004Robert Geske Journal of Financial Economics. 1979. Vol. 7. No. 1. P. 63-81.
This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many corporate liabilities. The compound call option formula derived herein considers a call option on stock which is itself an option on the assets of the firm. This perspective incorporates leverage effects into option pricing and consequently the variance of the rate of return on the stock is not constant as Black-Scholes assumed, but is instead a function of the level of the stock price. The Black-Scholes formula is shown to be a special case of the compound option formula. This new model for puts and calls corrects some important biases of the Black-Scholes model.
Опубликовано на портале: 17-04-2007Tatiana Nenova Journal of Financial Economics. 2003. Vol. 68. No. 3. P. 325-351.
This paper measures the value of corporate voting rights, specifically of the control block of votes, in a sample of 661 dual-class firms in 18 countries, in 1997. A consistent measure across countries is proposed. The measure is adjusted for takeover probability, block-holding costs, and dividend and liquidity differences between the share classes. The value of controlblock votes varies widely across countries. It is close to half of firm market value in South Korea, and close to zero in Finland. The value of control-block votes is interpreted as a lower bound for actual private benefits of the controlling shareholder. The legal environment, law enforcement, investor protection, takeover regulations, andpower-concentrating corporate charter provisions explain 68% of the cross-country variation in the value of control-block votes.
Опубликовано на портале: 18-03-2003Yaacov Z. Bergman Journal of Financial Economics. 1985. Vol. 14. No. 1. P. 145-59.
Analyzes the role played by the assumption of separable time-additive preference structures in the derivation of continuous-time intertemporal capital asset pricing models. Recursive preference structures; Consumption-investment with the linear aggregator; Diffusion state-return processes. (Из Ebsco)
Опубликовано на портале: 26-08-2007Sheridan Titman, Ayla Kayhan Journal of Financial Economics. 2006. Vol. Forthcoming.
This paper examines how cash flows, investment expenditures and stock price histories affect debt ratios. Consistent with earlier work, we find that these variables have a substantial influence on changes in capital structure. Specifically, stock price changes and financial deficits (i.e., the amount of external capital raised) have strong influences on capital structure changes, but in contrast to previous conclusions, we find that over long horizons their effects are partially reversed. These results indicate that although firms' histories strongly influence their capital structures, over time their capital structures tend to move towards target debt ratios that are consistent with the tradeoff theories of capital structure.
Опубликовано на портале: 13-10-2004Wayne H. Mikkelson, M. Megan Partch Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 31-60.
This study examines the stock price effects of security offerings and investigates the nature of information inferred by investors from offering announcements. Changes in share price are unrelated to characteristics of offerings such as the net amount of new financing, relative offering size, and the quality rating of debt issues. The type of security is the only significant determinant of the price response. The opposite patterns of abnormal stock returns following the announcement of completed versus cancelled offerings suggest that managers issue common stock or convertible debt when in managers' view shares are overpriced.
Why new issues are underpriced [статья]
Опубликовано на портале: 26-10-2004Kevin Rock Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 187-212.
This paper presents a model for the underpricing of initial public offerings. The argument depends upon the existence of a group of investors whose information is superior to that of the firm as well as that of all other investors. If the new shares are priced at their expected value, these priveleged investors crowd out the others when good issues are offered and they withdraw from the market when bad issues are offered. The offering firm must price the shares at a discount in order to guarantee that the uninformed investors purchase the issue.