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1.
This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet and are often viewed as segregated from the rest of the firm, with its own trustees. Pension accounting rules are complicated. Furthermore, the role of the Pension Benefit Guaranty Corporation clouds the real relation between pension plan risk and firm equity risk. The empirical findings in this paper are consistent with the hypothesis that equity risk does reflect the risk of the firm's pension plan despite arcane accounting rules for pensions. This finding is consistent with informational efficiency of the capital markets. It also has implications for corporate finance practice in the determination of the cost of capital for capital budgeting. Standard procedure uses de-leveraged equity return betas to infer the cost of capital for operating assets. But the de-leveraged betas are not adjusted for the risk of the pension assets and liabilities. Failure to make this adjustment typically biases upward estimates of the discount rate for capital budgeting. The magnitude of the bias is shown here to be large for a number of well-known US companies. This bias can result in positive net present value projects being rejected. 相似文献
2.
Evidence to date on the market value of investor relations (IR) strategies is limited. We test the market relevance of IR activity directly employing a proprietary database measuring IR quality across all firms listed on NYSE, Amex and NASDAQ. Although, in theory, ‘repackaging’ and communicating existing information should have no market impact, we find that firms with higher quality IR strategies are rewarded with significantly higher valuation multiples. In addition, increase in IR quality is associated with increases in analyst following and liquidity. Overall, our findings are generally stronger for small firms which are more likely to be ‘neglected’. Our evidence is consistent with effective IR successfully raising firm visibility leading to enhanced recognition and reduced information asymmetry in line with Merton (1987) and thus ‘fairer’ firm valuation as argued by IR professionals. 相似文献
3.
Institutional trading arrangements often involve the portfolio manager delegating the task of trade execution to a separate division within the firm. We model the agency conflict that arises in this setting and show that optimal performance benchmarks often create an incentive to execute orders contrary to concurrent information flow. We hypothesize that aggregate contrarian trading resulting from widespread application of such benchmarks leads to delays in the assimilation of information in security prices. Using institutional trading data, we document the hypothesized contrarian trading pattern and relate the pattern to price-adjustment delays in the response of individual stocks to index futures returns. The evidence supports the assertion that delegated institutional trading contributes to these delays. 相似文献
4.
Giuliano Iannotta 《Journal of Banking & Finance》2012,36(3):846-856
In this paper, we empirically analyze the factors affecting the cross section of mutual fund fee dispersion. In the context of equity mutual funds, fee dispersion stems primarily from the heterogeneity of products, clienteles and production functions. However, the relevant theory predicts that search costs can also generate fee dispersion. By controlling for observable sources of heterogeneity, we find that fee dispersion decreases with fund size and age, as well as with the amount of assets under management of the investment company. In addition, we find lower levels of fee dispersion for funds that charge marketing and distribution fees. Although we cannot rule out the possibility that these factors are a proxy for some unobserved source of heterogeneity, our results are also consistent with the theoretical prediction that search costs positively affect fee dispersion. 相似文献
5.
We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one‐year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd‐like behavior, overreaction and low institutional involvement. 相似文献
6.
This paper utilizes a new data set from AllianceBernstein that, unlike other corporate governance data, has monthly-updated firm-level governance ratings for 21 emerging markets countries for almost a five year period. With these unique data, we examine how changes in corporate governance ratings impact firm valuation. Using this test we find evidence that improvements in corporate governance result in significantly higher valuations. 相似文献
7.
The Pitch Rather Than the Pit: Investor Inattention,Trading Activity,and FIFA World Cup Matches
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This paper analyzes stock market trading in 15 countries during the 2010 and 2014 soccer FIFA World Cups. We find evidence for substantial investor inattention during these major sporting events. The lack of attention for the trading pit is particularly large when the national soccer team is competing, with traded volumes declining by as much as 48%. During national team matches, prices on local stock markets can temporarily decouple from global financial market developments. These findings suggest that major sporting events can act as a laboratory in which to investigate investor inattention. 相似文献
8.
Alexander W. ButlerJess Cornaggia Gustavo GrullonJames P. Weston 《Journal of Financial Economics》2011,101(3):666-683
Both market timing and investment-based theories of corporate financing predict under-performance after firms raise capital, but only market timing predicts that the composition of financing (equity compared with debt) should also forecast returns. In cross-sectional tests, we find that the amount of net financing is more important than its composition in explaining future stock returns. In the time series, investment-based factor models explain abnormal stock performance following a variety of corporate financing events that previous studies link to market timing. At the aggregate level, the amount of new financing is also more important for future market returns than its composition. Overall, our joint tests reveal that measures of real investment are correlated with future returns and measures of managerial market timing are not. 相似文献
9.
Gow‐Cheng Huang Kartono Liano Herman Manakyan Ming‐Shiun Pan 《The Financial Review》2008,43(4):543-567
We examine the relationship between the frequency of stock splits and firms' motives for splitting their stock. Compared to their peers, infrequent splitters show higher post‐split operating performance, but not so for frequent splitters. We find that split ratio and liquidity change explain the stock split announcement effect for the frequent splitters. In contrast, the change in operating performance in the split year explains the announcement effect for the infrequent splitters. Our results suggest that frequent splits are more consistent with the trading range‐improved/liquidity hypothesis and infrequent splits are more consistent with the signaling hypothesis. 相似文献
10.
A conventional wisdom in the contemporary corporate finance literature argues that small and medium-sized enterprises (SMEs) are informationally opaque. We use data from two credit information companies and in particular their disagreements over the creditworthiness of SMEs to study the empirical relevance of this often invoked assumption. Our panel data analysis shows that once unobserved firm-effects are controlled for, the disagreements (i.e., rating splits) are inversely related to the age of firms. We are not able to document such a robust relationship between the disagreements and the size of firms. This finding holds a lesson for empirical corporate finance researchers who need firm-level proxies for informational imperfections and asymmetries: of the two often-used proxies, firm size is not as closely related to informational opacity as firm age is. 相似文献
11.
We examine the investment–cash flow sensitivity of US manufacturing firms in relation to five factors associated with capital market imperfections – fund flows, institutional ownership, analyst following, bond ratings, and an index of antitakeover amendments. We find a steady decline in the estimated sensitivity over time. Furthermore, we find that investment–cash flow sensitivity decreases with increasing fund flows, institutional ownership, analyst following, antitakeover amendments and with the existence of a bond rating. The overall evidence suggests that investment–cash flow sensitivity decreases with factors that reduce capital market imperfections. 相似文献
12.
We test whether U.K. common stocks hedge against inflation using a framework of the tax‐augmented Fisher hypothesis. Aggregate and disaggregate (seven industry groups) monthly data covering 48 years are used. All pairs of stock and retail price indexes are cointegrated. Tests in most cases reveal significant shifts in the cointegrating vectors, and accounting for these shifts improves the precision of the estimates. The point estimates of goods price elasticity are significantly above unity in all but two cases. These findings, though in sharp contrast to most existing findings that report price elasticity of below unity, appear theoretically more plausible because nominal stock returns must exceed the inflation rate to insulate tax‐paying investors. 相似文献
13.
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007–2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most financially constrained firms. 相似文献
14.
Selling winners, holding losers: Effect on fund flows and survival of disposition-prone mutual funds
Vijay Singal 《Journal of Banking & Finance》2011,35(10):2704-2718
Recent studies suggest that presence of a disposition effect in a large subset of investors can create stock mispricings, which has serious implications for market efficiency. We examine whether US equity mutual funds are disposition-prone, how that effect influences performance, investor flows and fund survival, and whether the disposition orientation of mutual funds affects stock prices in a sustained manner.We find that about 30% of all funds exhibit some degree of disposition behavior and that such funds underperform funds that are not disposition-prone by 4-6% per year. Moreover, after controlling for performance, tax overhang and other factors that potentially affect flows, disposition-prone funds attract significantly smaller flows than other funds. The results suggest that mutual fund investors are smart enough to minimize investment in disposition-prone funds. Consequently, disposition-prone funds have significantly higher rates of failure than other funds, thereby reducing the impact of such trading behavior on security prices. 相似文献
15.
We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money–by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand. 相似文献
16.
We show that media coverage of mutual fund holdings affects how investors allocate money across funds. Fund holdings with high past returns attract extra flows, but only if these stocks were recently featured in the media. In contrast, holdings that were not covered in major newspapers do not affect flows. We present evidence that media coverage tends to contribute to investors? chasing of past returns rather than facilitate the processing of useful information in fund portfolios. Our evidence suggests that media coverage can exacerbate investor biases and that it is the primary mechanism that makes fund window dressing effective. 相似文献
17.
I compare the performance of buy/hold/sell recommendations from foreign, local, and expatriate (foreigners with local operations) analysts in an emerging market. Location appears to be important: expatriate analysts significantly outperform foreign analysts. Expatriates also significantly outperform locals, implying that other factors such as global resources also play a role, and a variety of controls for the characteristics of the recommending firm does not alter findings. Trading based on expatriate recommendations generates significantly positive risk-adjusted returns. Furthermore, foreign and local institutional investors appear to trade on the superior information of expatriate analysts, even when it contradicts their own information. 相似文献
18.
We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand. 相似文献
19.
Stanimir Markov Volkan Muslu Musa Subasi 《Journal of Business Finance & Accounting》2017,44(1-2):94-115
We examine whether analysts tip investors during investor conferences. We find that conference‐day abnormal returns of a presenting company are about 0.6% higher when the conference is hosted by an analyst who will initiate coverage with a Buy recommendation than when the conference is hosted by non‐initiating analysts. Furthermore, conference‐day abnormal returns of the presenting company amount to half of the price run‐up during the 20 trading days prior to the Buy initiation. Finally, there is a statistically and economically significant price run‐up prior to a Sell initiation (by about –0.7%) when the analyst who will initiate coverage with a Sell recommendation hosts a conference but does not invite the company to present. Our findings collectively suggest that analysts, rather than companies, tip select investors about upcoming initiations during conferences. 相似文献
20.
Bjarne Florentsen Ulf Nielsson Peter Raahauge Jesper Rangvid 《The Financial Review》2019,54(4):833-856
We analyze equity diversification of all retail investors in a country (Denmark). We find that underdiversification is pervasive. We calculate the nationwide aggregate loss due to underdiversification and express it in absolute and expected‐return terms. The aggregate loss is large. We find that investors with low education, low income, and low wealth are more likely to underdiversify. Despite better diversification, the larger fraction of the aggregate loss nevertheless adheres to the top of the income/wealth distribution. Finally, our results indicate that underdiversification arises because investors have limited information about the benefits of diversification. 相似文献