{"title":"Sovereign Credit Ratings, Transparency and International Portfolio Flows","authors":"Amar Gande, David Parsley","doi":"10.2139/ssrn.2445765","DOIUrl":"https://doi.org/10.2139/ssrn.2445765","url":null,"abstract":"We examine the response of equity mutual fund flows to sovereign rating changes in a wide sample of countries during the crisis prone years from 1996-2002. We find that Sovereign downgrades are strongly associated with outflows of capital from the downgraded country while improvements in a country’s sovereign rating are not associated with discernable changes in equity flows. Transparency, as proxied by the level of corruption matters: more transparent (i.e., less corrupt) countries experience smaller outflows around downgrades. Moreover, abnormal flows around downgrades are consistent with a ‘flight to quality’ phenomenon. That is, less corrupt non-event countries are net recipients of capital inflows, and these inflows increase with the severity of the cumulative downgrade abroad. The results remain after controlling for country size, legal traditions, market liquidity, crisis versus non-crisis periods. Taken together, the results suggest that increasing transparency could mitigate some of the perceived negative effects often associated with global capital flows.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131499864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Karl E. Hackenbrack, N. T. Jenkins, Mikhail Pevzner
{"title":"Relevant but Delayed Information in Negotiated Audit Fees","authors":"Karl E. Hackenbrack, N. T. Jenkins, Mikhail Pevzner","doi":"10.2139/ssrn.1668983","DOIUrl":"https://doi.org/10.2139/ssrn.1668983","url":null,"abstract":"SUMMARY: Audit fee negotiations conclude with the signing of an engagement letter, typically the first quarter of the year under audit. Yet investors do not learn the audit fee paid until disclosed...","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123553765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Managed Distribution Policies in Closed-End Funds and Shareholder Activism","authors":"M. Cherkes, Jacob S. Sagi, Z. Wang","doi":"10.2139/ssrn.2170094","DOIUrl":"https://doi.org/10.2139/ssrn.2170094","url":null,"abstract":"A Managed Distribution Policy (MDP), where investments might be partially liquidated to increase investors' cash flows, can lower the value of manager's claim on asset payoffs. This is a direct transfer of wealth from the management to the shareholders, and might be adopted by managers to deter attacks from activist shareholders. Our empirical tests on a panel of 236 closed-end funds provide strong evidence that managers respond to the presence of activists using MDPs, that this indeed constitutes an effective wealth transfer to shareholders, and that economic fundamentals (asset liquidity, share liquidity, managerial compensation) are key to understanding these effects.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114723866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Research Note on Representing Part-Whole Relations in Conceptual Modeling","authors":"G. Allen, S. March","doi":"10.2307/41703488","DOIUrl":"https://doi.org/10.2307/41703488","url":null,"abstract":"Empirical research is an important methodology for the study of conceptual modeling practices. The recently published article \"Representing Part-Whole Relations in Conceptual Modeling: An Empirical Evaluation\" (Shanks et al. 2008) uses the lens of ontology to study a relatively sophisticated aspect of conceptual modeling practice, the representation of aggregation and composition. It contends that some analysts argue that a composite should be represented as a relationship while others argue that a composite should be represented as an entity. We find no evidence of such a dispute in the data modeling literature. We observe that composites are objects. By definition, all object-types should be represented as entities. Therefore, using the relationship construct to represent composites should not be seen as a viable alternative. Additionally, we found significant conceptual and methodological issues within the study that call its conclusions into question. As a way to offer insight into the requisite methodological procedures for research in this area, we conducted two experiments that both explicate and address the issues raised. Our results call into question the utility of using ontology as a foundation for conceptual modeling practice. Furthermore, they suggest a contrary but at least equally plausible explanation for the results reported by Shanks et al. In conducting this work we hope to encourage dialogue that will be beneficial for future endeavors aimed at identifying, developing, and evaluating appropriate foundations for the discipline of conceptual modeling.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130804573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Merger Waves Following Industry Deregulation","authors":"A. Ovtchinnikov","doi":"10.2139/ssrn.1565650","DOIUrl":"https://doi.org/10.2139/ssrn.1565650","url":null,"abstract":"Deregulation is endogenous. It is preceded by poor industry performance and is predictable with performance variables. These results imply that merger activity following deregulation should be systematically related to poor pre-deregulation industry performance. Consistent with this hypothesis, I find that post-deregulation mergers serve a contractionary role. Bidders and targets in post-deregulation mergers are poor performers prior to the merger and operate with significant excess capacity. Consistent with the hypothesis that post-deregulation mergers represent a form of exit, the frequency of cash and bankruptcy mergers is significantly higher following deregulation and the offer premium is significantly lower.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121972576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Impact of Limited Retail Shelf Space on Category Management","authors":"Mumin Kurtulus, L. B. Toktay","doi":"10.2139/ssrn.1153130","DOIUrl":"https://doi.org/10.2139/ssrn.1153130","url":null,"abstract":"Shelf space scarcity is a predominant aspect of the consumer goods industry. This paper analyzes its implications for category management. We consider two category management mechanisms: retailer category management, where the retailer determines product prices, and category captainship, where a manufacturer in the category is responsible for retail pricing. We develop a game-theoretic model of two competing manufacturers selling through the same retailer. The retailer behaves strategically and determines the category shelf space based on the profit potential of the category and on the opportunity cost of retail shelf space. Our analysis reveals that irrespective of the form of category management, the retailer can use category shelf space strategically to control the intensity of competition between manufacturers to his benefit. We find that shelf space scarcity significantly affects conditions under which category captainship would naturally emerge by benefiting the retailer and the category captain. Category captainship has been criticized for disadvantaging non-captain manufacturers. While we provide support for this claim, we also find that category captainship may benefit non-captain manufacturers when implemented by a powerful retailer in categories with sufficiently differentiated products.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"14 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132025272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution","authors":"V. Pool, Nicolas P. B. Bollen","doi":"10.2139/ssrn.1018663","DOIUrl":"https://doi.org/10.2139/ssrn.1018663","url":null,"abstract":"We find a significant discontinuity in the pooled distribution of monthly hedge fund returns: The number of small gains far exceeds the number of small losses. The discontinuity is present in live and defunct funds, and funds of all ages, suggesting that it is not caused by database biases. The discontinuity is absent in the 3 months culminating in an audit, suggesting it is not attributable to skillful loss avoidance. The discontinuity disappears when using bimonthly returns, indicating a reversal in fund performance following small gains. This result suggests that the discontinuity is caused at least in part by temporarily overstated returns. Copyright (c) 2009 the American Finance Association.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133539575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Market Microstructure of the Pink Sheets","authors":"William G. Christie, Nicolas P. B. Bollen","doi":"10.2139/ssrn.963460","DOIUrl":"https://doi.org/10.2139/ssrn.963460","url":null,"abstract":"We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent tick sizes for different stocks. Clustering intensity varies across stocks as a function of proxies for information availability. Similarly, the bid-ask spread varies as a function of volatility and liquidity. These results suggest (1) microstructure research has established robust predictions of market attributes and (2) unstructured markets are able to develop at least some effective behavioral norms endogenously.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"170 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121144267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"On the Timing Ability of Mutual Fund Managers","authors":"Jeffrey A. Busse, Nicolas P. B. Bollen","doi":"10.2139/ssrn.245790","DOIUrl":"https://doi.org/10.2139/ssrn.245790","url":null,"abstract":"Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124934703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Why Do Firms Pollute (and Reduce) Toxic Emissions?","authors":"M. Cohen, Shameek Konar","doi":"10.2139/ssrn.922491","DOIUrl":"https://doi.org/10.2139/ssrn.922491","url":null,"abstract":"There is a growing trend in both the U.S. and abroad for firms to reduce emission levels beyond the legally required mandate. One of the most publicized examples of this phenomenon in the U.S. is the release of toxic chemicals. These emissions have come under increasing scrutiny since passage of the \"Right-to-Know\" law mandating the public availability of toxic release inventory (TRI) information beginning in 1989. In response to this new information, some firms have dramatically reduced toxic chemical emissions. This paper explores the factors that both explain differences across firms in their initial toxic emission levels and in the reductions beyond any legally required levels subsequent to the availability of public information on TRI. The underlying theory is that firm-level pollution varies because of firm-specific factors that affect both the \"ability\" and \"incentive\" for firms to reduce pollution. In comparing emission levels between 1989 and 1992, we find that the largest firms are most likely to reduce emissions subsequent to this new information being made public. We also find that financial ability plays an important role in emission levels. On the other hand, we were unable to find any evidence that firms who advertise more heavily to consumers or had significant negative media attention concerning their emission levels reduced their emissions more than average after controlling for firm size.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"415 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124819944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}