Journal of Finance
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Опубликовано на портале: 16-11-2007Eugene F. Fama, Kenneth R. French Journal of Finance. 1992. Vol. 47. No. 2. P. 427-465.
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market beta, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in beta that is unrelated to size, the relation between market beta and average return is flat, even when beta is the only explanatory variable.
The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment. [статья]
Опубликовано на портале: 05-06-2006David S. Scharfstein, Jeremy C. Stein Journal of Finance. 2000. Vol. 55. No. 6. P. 2537-2565.
We develop a two-tiered agency model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. By rent-seeking, division managers can raise their bargaining power and extract greater overall compensation from the CEO. And because the CEO is herself an agent of outside investors, this extra compensation may take the form not of cash wages, but rather of preferential capital budgeting allocations. One interesting feature of our model is that it implies a kind of "socialism" in internal capital allocation, whereby weaker divisions get subsidized by stronger ones.
Опубликовано на портале: 21-06-2006Roberto Wessels, Sheridan Titman Journal of Finance. 1988. Vol. 43. No. 1. P. 1-20.
This paper analyzes the explanatory power of some of the recent theories of optimal capital structure. The study extends empirical work on capital structure theory in three ways. First, it examines a much broader set of capital structure theories, many of which have not previously been analyzed empirically. Second, since the theories have different empirical implications in regard to different types of debt instruments, the authors analyze measures of short-term, long-term, and convertible debt rather than an aggregate measure of total debt. Third, the study uses a factor-analytic technique that mitigates the measurement problems encountered when working with proxy variables.
Опубликовано на портале: 02-10-2003Christopher Polk, Owen Lamont Journal of Finance. 2001. Vol. 56. No. 5. P. 1693-1721.
Diversified firms have different values than comparable portfolios of single-segment firms. These value differences must be due to differences in either future cash flows or future returns. Expected security returns on diversified firms vary systematically with relative value. Discount firms have significantly higher subsequent returns than premium firms. Slightly more than half of the cross-sectional variation in excess values is attributable to variation in expected future cash flows, with the remainder attributable to variation in expected future returns and to covariation between cash flows and returns.
The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings [статья]
Опубликовано на портале: 22-06-2006John J. McConnell, Gregory B. Kadlec Journal of Finance. 1994. Vol. 49. No. 2. P. 611-636.
This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Mertons (1987) investor recognition factor and Amihud and Mendelsons (1986) liquidity factor as explanations of the change in share value. We find that, on average, firms earn abnormal returns of 5 percent in response to the listing announcement and that listing is associated an increase in number of shareholders, and a reduction in bid-ask spreads. Cross-sectional regressions provide support for both investor recognition and bid-ask spreads as sources of value from exchange listing.
Опубликовано на портале: 02-10-2003Michael J. Barclay, William G. Christie, Eugene Kandel, Jeffrey H. Harris, Paul H. Schultz Journal of Finance. 1999. Vol. 54. No. 1. P. 1-34.
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Finance. 1995. Vol. 50. No. 2. P. 609-631.
We provide an empirical examination of the determinants of corporate debt maturity. Our evidence offers strong support for the contracting-cost hypothesis. Firms that have few growth options, are large, or are regulated have more long-term debt in their capital structure. We find little evidence that firms use the maturity structure of their debt to signal information to the market. The evidence is consistent, however, with the hypothesis that firms with larger information asymmetries issue more short-term debt. We find no evidence that taxes affect debt maturity.
The New Issues Puzzle [статья]
Опубликовано на портале: 26-10-2004Tim Loughran, Jay R. Ritter Journal of Finance. 1995. Vol. 50. No. 1. P. 23-51.
Companies issuing stock during 1970 to 1990, whether an initial public offering or a seasoned equity offering, have been poor long-run investments for investors. During the five years after the issue, investors have received average returns of only 5 percent per year for companies going public and only 7 percent per year for companies conducting a seasoned equity offer. Book-to-market effects account for only a modest portion of the low returns. An investor would have had to invest 44 percent more money in the issuers than in nonissuers of the same size to have the same wealth five years after the offering date
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Finance. 1995. Vol. 50. No. 3. P. 899-917.
Most discussions of corporate capital structure effectively assume that all debt is the same. Yet debt differs by maturity, covenant restrictions, conversion rights, call provisions, and priority. Here, we examine priority structure across a sample of 4995 COMPUSTAT industrial firms from 1981 to 1991. We analyze the variation in the use of capital leases, secured debt, ordinary debt, subordinated debt, and preferred stock both as a fraction of the firm's market value and as a fraction of total fixed claims. Our evidence provides consistent support for contracting cost hypotheses, mixed support for tax hypotheses, and little support for the signaling hypothesis.
The Theory of Capital Structure [статья]
Опубликовано на портале: 06-10-2004Milton Harris, Artur Raviv Journal of Finance. 1991. Vol. 46. No. 1. P. 297-355.
This paper surveys capital structure theories based on agency costs, asymmetric information, product/input market interactions, and corporate control considerations (but excluding tax-based theories). For each type of model, a brief overview of the papers surveyed and their relation to each other is provided. The central papers are described in some detail, and their results are summarized and followed by a discussion of related extensions. Each section concludes with a summary of the main implications of the models surveyed in the section. Finally, these results are collected and compared to the available evidence. Suggestions for future research are provided.
The value spread [статья]
Опубликовано на портале: 02-10-2003Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho Journal of Finance. 2003. Vol. 58. No. 1. P. 609-641.
Authors decompose the cross-sectional variance of firms book-to-market ratios using both a long U.S. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20-25 percent) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks. They also showed that the expected return on value-minus-growth strategies is atypically high at times when the value spread (the difference between the book-to-market ratio of a typical value stock and a typical growth stock) is wide.
Опубликовано на портале: 16-04-2007Art Durnev, E.Han Kim Journal of Finance. 2005. Vol. LX. No. 3. P. 1461-1493.
Data on corporate governance and disclosure practices reveal wide within-country variation that decreases with the strength of investors' legal protection. A simple model identifies three firm attributes related to that variation: investment opportunities, external financing, and ownership structure. Using firm-level governance and transparency data in 27 countries, we find that all three firm attributes are related to the quality of governance and disclosure practices and that firms with higher governance and transparency rankings are valued higher in stock markets. All relations are stronger in less investor-friendly countries, demonstrating that firms adapt to poor legal environments to establish efficient governance practices.
Опубликовано на портале: 26-10-2007Yakov Amihud, Haim Mendelson Journal of Finance. 1987. Vol. 42. No. 3. P. 533-553.
This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open-to-open and close-to-close returns on NYSE stocks, given the differences in execution methods applied in the opening and closing transactions. Opening returns are found to exhibit greater dispersion, greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns. We study the effects of the bid-ask spread and the price-adjustment process on the estimated return variances and covariances and discuss the associated biases. We conclude that the trading mechanism has a significant effect on stock price behavior.
What works in securities laws? [статья]
Опубликовано на портале: 06-11-2008Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer Journal of Finance. 2006. Vol. 61. No. 1. P. 1-32 .
We examine the effect of securities laws on stock market development in 49 countries. We find little evidence that public enforcement benefits stock markets, but strong evidence that laws mandating disclosure and facilitating private enforcement through liability rules benefit stock markets.