Всего публикаций в данном разделе: 1384
Опубликовано на портале: 03-10-2003Annette Vissing-Jorgensen, Tobias J. Moskowitz American Economic Review. 2002. Vol. 92. No. 4. P. 745-778.
Authors document the return to investing in U.S. nonpublicly traded equity. Entrepre neurial investment is extremely concentrated,yet despite its poor diversi cation, wend that the returns to private equity are no higher than the returns to publicequity. Given the large public equity premium, it is puzzling why households wilingly invest substantialamounts in a single privately held firm with a seemingly far worse risk-return trade-of. Authors briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentialy explain investment in private equity despite these findings.
Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003Lubos Pastor, Robert F. Stambaugh Journal of Financial Economics. 2002. Vol. 63. No. 3. P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperfofm passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
An intertemporal asset pricing model with stochastic consumption and investment opportunities [статья]
Опубликовано на портале: 02-10-2003Douglas T. Breeden Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
Dividends, Taxes, and Common Stock Prices: The Ex-Dividend Day Behavior of Common Stock Prices Before the Income Tax [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1987. Vol. 19. No. 1. P. 31-44.
This study examines the ex-dividend day behavior of common stock prices before the enactment of the federal income tax. On ex-dividend days during the pre-tax period, stock prices fell, on average, by the full amount of the dividend. The data are consistent with the hypothesis that (i) investors in the pre-tax period value dividends and capital gains as perfect substitutes and (ii) the differential taxation of dividends and capital gains has since caused investors to discount the value of taxable cash dividends in relation to capital gains.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 71-99.
This paper examines the intraday market response to announcements of new equity issues. For fifteen minutes following the announcement, there is abnormally high volume and a -1.3% average return. There is also a small, but significant, negative average return in the hour before the announcement. Issue size, intended use of proceeds, and estimated profitability of new investment are uncorrelated with the announcement effect. After the issuance of new shares, there is a significant price recovery of 1.5%. This evidence is inconsistent with many theoretical rationales for the negative market reaction to new equity issue announcements.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Financial Economics. 1988. Vol. 22. No. 1. P. 61-82.
Theories of corporate payout policy do not explain the observed form of distributions to shareholders. Although open-market repurchases appear to have tax advantages, cash dividends are overwhelmingly chosen. We argue that there are costs associated with open-market-repurchase programs, since they provide managers with opportunities to use inside information to benefit themselves at stockholders' expense. We offer evidence suggesting that bid-ask spreads widen around repurchase announcements, as predicted by our analysis. Since these costs of repurchases do not arise with cash dividends, our analysis implies that repurchases do not dominate cash dividends for making distributions to shareholders.
Опубликовано на портале: 02-10-2003Michael 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.
Опубликовано на портале: 02-10-2003Michael 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: 02-10-2003Michael 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: 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.
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.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford G. Holderness Journal of Finance. 1991. Vol. 46. No. 3. P. 861-878.
We identify negotiated trades of large-percentage blocks of stock as corporate control transactions. When a block trades and the firm is not fully acquired, cumulative abnormal returns average 5.6%, and 33% of the chief executives are replaced within a year. Stock-price increases are larger when control passes to the new blockholder, when management does not resist the blockholder's effort to influence corporate policy, and when the block purchaser eventually fully acquires the firm. These findings suggest that the specific skills and expertise of blockholders, and not just the concentration of ownership, are important determinants of firm value.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Applied Corporate Finance. 1999. Vol. 12. No. 1. P. 8-20.
In this paper, we offer our assessment of the current state of the academic finance profession's understanding of these issues and suggest some new directions for further exploration. We also offer in closing what we feel is a promising approach to reconciling the different theories of capital structure.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith Journal of Applied Corporate Finance. 1996. Vol. 8. No. 4. P. 4-17.
In this paper we expand the scope of our earlier study, examining broader facets of corporate financial architecture. Here we focus specifically on the maturity and priority of the firm's debt by looking at 6000 firms during the period 1981-1993. As in our earlier study, we test three basic explanations of these corporate financing choices. In addition to the incentive-contracting argument described above, we also test "signaling" and "tax" explanations. Consistent with our findings, this study provides strong evidence for the incentive-contracting explanation, but only weak support for the signaling and tax arguments.
The Law and Large Block Trades [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford G. Holderness Journal of Law and Economics. 1992. Vol. 35. P. 265-294.
Although these issues have been analyzed by legal scholars since Andrew Berle and Gardiner Means in 1932, no systematic empirical evidence has been collected. We investigate the validity of this belief, as well as broader implications of the law on large-block trades, by analyzing 106 trades of at least 5% of common stock of exchange-listed firms between 1978 and 1982. We find that, when block sellers receive premium, stock prices typically increase but not to the price per share received by the blockholders. We argue that this tension is resolved by assigning a different set of rights and obligations to large-block shareholders when they act as managers.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Clifford W. Smith, Ross L. Watts Journal of Applied Corporate Finance. 1995. Vol. 7. No. 4. P. 4-19.
In this paper we analyze the leverage and dividend choices than 6,700 industrial corporations over a 30-year period. Our empirical analysis is designed to provide a basis for assessing the relative importance of the various factors - taxes, contracting costs (particularly, the financial distress costs and the "free cash flow" benefits of debt), and signaling effects - in explaining corporate financial behavior. Such findings can than be used to guide corporate managers in thinking about trade-offs among different leverage and dividend choices.
Опубликовано на портале: 02-10-2003Raghuram G. Rajan, Mitchell A. Petersen Quarterly Journal of Economics. 1995. Vol. 110. No. 2. P. 407-443.
This paper provides a simple model showing that the extent of competition in credit markets is important in determining the value of lending relationships. Creditors are more likely to finance credit constrained firms when credit markets are concentrated because it is easier for these creditors to internalize the benefits of assisting the firms. The model has implications about the availability and the price of credit as firms age in different markets. The paper offers evidence for these implications from small business data. It concludes with conjectures on the costs and benefits of liberalizing financial markets, as well as the timing of such reforms.
Опубликовано на портале: 02-10-2003Christopher Polk, Owen Lamont Journal of Financial Economics. 2002. Vol. 63. No. 1. P. 51-77.
Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary in order to draw inferences about the causal effect. We examine changes in the within-firm dispersion of characteristics, or "diversity." Following the inefficient internal capital markets hypothesis, we examine investment diversity. We find that exogenous changes in diversity, due to changes in industry investment, are negatively related to changes in firm value. Thus diversification destroys value. This finding is not caused by measurement error. We also find that exogenous changes in industry cash flow diversity are negatively related to changes in firm value
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 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.