VENTURE CAPITAL AND IPO LOCKUP EXPIRATION: AN EMPIRICAL ANALYSIS

Most initial public offerings (IPOs) feature “lockup” agreements, which bar insiders from selling the stock for a set period following the IPO, usually 180 days. We examine stock price behavior in the period surrounding lockup expiration for a sample of 2,529 firms from 1988 to 1997. We find that lockup expirations are, on average, associated with significant and negative abnormal returns, but the losses are concentrated in firms with venture capital backing. For the venture‐capital‐backed group, the largest losses occur for high‐tech firms and firms with the greatest post‐IPO stock price increases, the largest relative trading volume in the period surrounding expiration, and the highest quality underwriters. JEL classification: G14, G24     

DIVIDEND POLICY AND THE BID-ASK SPREAD: AN EMPIRICAL ANALYSIS

Extant theories of the bid-ask spread posit a positive relationship between the level of information asymmetry and the magnitude of the spread. As suggested by dividend signaling and agency theories, the payment of dividends conveys information to the market, thereby reducing asymmetry. Thus, dividend policy may influence the bid-ask spread. Based on this reasoning, we explore the empirical proposition that an inverse relation between dividend yield and bid-ask spread exists, ceteris paribus. Evidence is consistent with this hypothesis.     

CORPORATE GOVERNANCE AND CAPITAL STRUCTURE DYNAMICS: AN EMPIRICAL STUDY

Consistent with theoretical predictions, we find that both a higher level of financial leverage and a faster speed of adjustment of leverage toward the shareholders' desired level are associated with better corporate governance quality as defined by a more independent board featuring CEO–chairman separation and greater presence of outside directors, coupled with larger institutional shareholding. In contrast, managerial incentive compensation on average discourages use of debt or adjustments toward the shareholders' desired level, consistent with its entrenchment effect. The effect of corporate governance on leverage adjustments is most pronounced when initial leverage is between the manager's desired level and the shareholders' desired level where the interests of managers and shareholders conflict.     

AN EMPIRICAL ANALYSIS OF BANK STANDBY LETTERS OF CREDIT RISK

Bank exposure to off-balance sheet activities in general and Standby Letters of Credit (SLCs) in particular has become a major concern to regulators. The risk-exposure of SLCs has been re-examined by employing option pricing methodologies to calculate implied asset risk from bank equity and flat deposit insurance, and from risk-premia on bank subordinated debt. The results indicate that SLC reduce systematic risk, equity risk, and implied asset risk. It appears that Standby Letters of Credit contribute to the overall diversification of bank's assets.     

商业银行风险预警系统的建立及其实证分析

商业银行经营中存在的各种风险具有扩散性和隐蔽性的特点,如不及时加以控制,将会对国民经济产生不利影响.而建立银行风险预警系统是控制银行风险必不可少的手段.银行风险预警机制,是按银行风险的客观性及相关性设计相应的指标体系及经验性目标参数,经目标值与预测值相比较来决定银行风险程度的事前控制.本文首先结合中国银行业的客观实际,阐述了建立商业银行风险预警系统的现实意义,并通过构造输入模块、计算模块、输出模块,运用多元统计分析方法中的聚类分析法、熵值法、层次分析法构造了一个较为完善的风险预警系统,并进行了具体的实证分析.     

ACCOUNTING FOR THE COST OF CAPITAL: AN EMPIRICAL EXAMINATION

One of accounting's oldest issues, accounting for interest costs, has become a subject of increased concern in recent years. This study empirically addresses the issue of whether the cost of equity capital should be charged against income. Fourteen measures of the cost of equity capital are examined. The empirical tests involve contemporaneous correlation of accounting betas for each income measure with market betas for a sample of 200 companies. The results of these association tests indicate that income measures, net of the cost of equity capital, may have greater information content than income as presently reported.     

AN EMPIRICAL MODEL OF CAPITAL STRUCTURE: SOME NEW EVIDENCE

Using a general autoregressive distributed lag model, we estimate the longrun steady state determinants of corporate capital structure. We find that, in the long run, the leverage ratio is related positively to the corporate tax rate and firm size and negatively to future growth opportunities and stock returns. By contrast, there appears to be no relation between leverage and the corporate tax rate on a short-run year to year basis. Our results suggest that prior empirical evidence on capital structure is of questionable value precisely because of its failure to clearly separate the short-run relationship between leverage and its determinants from its long-run relationship.     

THE ROLE OF INFLATION-ADJUSTED ACCOUNTING DATA IN CORPORATE RISK ANALYSIS: AN EMPIRICAL INVESTIGATION*

Both in the U.S. and abroad, certain large companies are required to report accounting data adjusted for the effect of changing prices. This study investigated the role of such adjusted accounting data in corporate risk analysis. Loan decision situations were constructed for a firm whose income from continuing operations reported in accordance with Statement of Financial Accounting Standard No. 33 (SFAS 33) was drastically reduced. Questionnaires were mailed to 1,050 randomly selected bank lending officers (BLOs) in 240 banks in 40 states and the District of Columbia. A group of BLOs received no SFAS 33 data and served as a control. While most of the responding BLOs did not seem to use SFAS 33 data in making their decisions, those who reported that they used such data reached significantly different decisions from those of the control group. More specifically, the users evaluated the firm twice as risky and recommended significantly lower loans than the control group with respect to both short-term and long-term loans. Furthermore, the users spent significantly more time in data analysis and decision making than the control group.