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Corporate Finance: Valuation最新文献

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Forecasting Earnings with Predicted, Conditional Probability Density Functions 用预测的条件概率密度函数预测收益
Corporate Finance: Valuation Pub Date : 2021-08-08 DOI: 10.2139/ssrn.3901386
Mario Hendriock
{"title":"Forecasting Earnings with Predicted, Conditional Probability Density Functions","authors":"Mario Hendriock","doi":"10.2139/ssrn.3901386","DOIUrl":"https://doi.org/10.2139/ssrn.3901386","url":null,"abstract":"This study provides empirical evidence for the efficacy of deriving firms' earnings forecasts from predictions of the complete, conditional probability density function (pdf). Relative to cross-sectional earnings forecasts based on OLS regressions, improvements of accuracy, bias and measures for the validity as an expectation's proxy amount to approximately two fifths, when conditional pdfs are obtained via quantile regressions. In turn, another fifth is gained substituting quantile regressions by artificial neural networks. Cross-sectional analyses are consistent with improvements deriving from taking into consideration pdfs of firms which are particular peculiar. Furthermore, also recent point estimation methods fall behind the pdf-based approach.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129875300","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}
引用次数: 2
Utility Tokens Financing, Investment Incentives, and Regulation 公用事业代币融资，投资激励和监管
Corporate Finance: Valuation Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3784358
E. Baranes, U. Hege, Jin‐Hyuk Kim
{"title":"Utility Tokens Financing, Investment Incentives, and Regulation","authors":"E. Baranes, U. Hege, Jin‐Hyuk Kim","doi":"10.2139/ssrn.3784358","DOIUrl":"https://doi.org/10.2139/ssrn.3784358","url":null,"abstract":"We analyze real economic consequences of financing with (mispriced) utility tokens that give access to consumption utility and are traded on a secondary market. Projects can be financed by equity or by selling tokens. In a baseline analysis, efficient projects prefer equity, while inefficient projects prefer token financing; however, when there are frictions that block the financing of efficient projects, token financing can improve efficiency. We extend the model to include moral hazard about actual capital expenditure and tokens withheld for secondary market sales. If investors do not anticipate entrepreneurial moral hazard, then the issuer can sometimes sell the entire token supply and invest nothing. If they have rational expectations, then the equilibrium investment level improves, but can still be inefficient and justify regulatory policies such as a minimum requirement on the issuer's token holdings.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114928289","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}
引用次数: 1
Financial Constraints, Sectoral Heterogeneity, and the Cyclicality of Investment 金融约束、行业异质性和投资的周期性
Corporate Finance: Valuation Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3915113
Cooper Howes
{"title":"Financial Constraints, Sectoral Heterogeneity, and the Cyclicality of Investment","authors":"Cooper Howes","doi":"10.2139/ssrn.3915113","DOIUrl":"https://doi.org/10.2139/ssrn.3915113","url":null,"abstract":"\u0000 While investment in most sectors declines in response to a contractionary monetary policy shock, investment in the manufacturing sector increases. Using manually digitized aggregate income and balance sheet data for the universe of US manufacturing firms, I show this increase is driven by the types of firms which are least likely to be financially constrained. A two-sector New Keynesian model with financial frictions can match these facts; unconstrained firms take advantage of the decline in the user cost of capital caused by the monetary contraction, while constrained firms are forced to cut back. Removing firm financial constraints in the model dampens the response of manufacturing output to monetary shocks by about 25%.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114274056","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}
引用次数: 4
From Micro to Macro: Aggregate Accruals, Mergers, and Returns. A Discussion of Heater, Nallareddy and Venkatachalam (2021) 从微观到宏观:累计应计收益、合并和回报。热、纳拉雷迪和文卡塔查拉姆讨论(2021)
Corporate Finance: Valuation Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3899688
A. Chen, M. Ogneva
{"title":"From Micro to Macro: Aggregate Accruals, Mergers, and Returns. A Discussion of Heater, Nallareddy and Venkatachalam (2021)","authors":"A. Chen, M. Ogneva","doi":"10.2139/ssrn.3899688","DOIUrl":"https://doi.org/10.2139/ssrn.3899688","url":null,"abstract":"Abstract Heater, Nallareddy, and Venkatachalam (2021), hereafter HNV, find that aggregate merger and acquisition (M&A) activity explains the ability of aggregate accruals to predict market-wide returns. In this discussion, we delineate HNV’s contribution to accounting literature and provide a review of the emerging stream of micro-to-macro accounting research. We also discuss HNV’s findings in relation to research beyond accounting, including the literature on aggregate return prediction and mergers and acquisitions. Our discussion draws parallels between HNV’s results and prior empirical evidence pertaining to aggregate investment and merger waves and identifies several puzzling inconsistencies. These inconsistencies highlight the lack of a clearly specified mechanism behind the return-predictive ability of aggregate M&A accruals. Finally, we point out the challenges posed by the small sample size and noisy measures of M&A accruals that may affect HNV’s inferences. We conclude by suggesting several directions for future research.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127733246","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}
引用次数: 0
Share Repurchases, Risk, and Underpricing 股票回购、风险和低估
Corporate Finance: Valuation Pub Date : 2021-07-23 DOI: 10.2139/ssrn.3892063
Philip Valta, S. Jakob
{"title":"Share Repurchases, Risk, and Underpricing","authors":"Philip Valta, S. Jakob","doi":"10.2139/ssrn.3892063","DOIUrl":"https://doi.org/10.2139/ssrn.3892063","url":null,"abstract":"This paper analyzes changes in firms' cash flows and discount rates around share repurchase announcements. Both cash flow and discount rate volatility decrease significantly after repurchase announcements. The decrease in volatility is smallest for firms that are likely to be underpriced and that experience the highest initial market reactions and long-term returns after the announcement. Firms with the largest decrease in volatility do not experience significantly positive long-term returns. Moreover, the level of the discount rate decreases from one quarter before until up to three years after the repurchase announcement for firms that are likely to be underpriced. The findings suggest that financial market participants learn about firms' systematic risk when firms announce share repurchases.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130623778","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}
引用次数: 0
Social Media Management: Evidence on Seasoned Equity Offerings 社交媒体管理:经验丰富的股票发行的证据
Corporate Finance: Valuation Pub Date : 2021-07-22 DOI: 10.2139/ssrn.3891354
Henry Leung, Ruiqi Mao, Buhui Qiu
{"title":"Social Media Management: Evidence on Seasoned Equity Offerings","authors":"Henry Leung, Ruiqi Mao, Buhui Qiu","doi":"10.2139/ssrn.3891354","DOIUrl":"https://doi.org/10.2139/ssrn.3891354","url":null,"abstract":"We find that firms undergoing Seasoned Equity Offerings (SEOs) receive more favorable messages on financial social media platform, StockTwits, from 62 to 10 trading days prior their offerings and from 10 trading days following offerings to the expiration of lockup agreements, compared to matched non-SEO control firms. On average, SEO firms ranking in the top quartile of abnormal pre-SEO social media bullishness reduce their underpricing by 1.12%. After lockup expirations, stocks of these firms exhibit long-run return reversal and underperformance. Moreover, insiders of these firms exhibit higher net sales in the 90 days following lockup expirations. Overall, our findings suggest that SEO firms have strong incentives to actively manage their social media coverage to reduce underpricing and increase SEO proceeds.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121439862","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}
引用次数: 0
Optimal Investment, Tobin's q, and Cash Flow: Does Unobserved Productivity Matter? 最优投资、托宾q和现金流:未观察到的生产率重要吗?
Corporate Finance: Valuation Pub Date : 2021-07-22 DOI: 10.2139/ssrn.3891745
Kyoo il Kim, Suyong Song, Jiawei Wang
{"title":"Optimal Investment, Tobin's q, and Cash Flow: Does Unobserved Productivity Matter?","authors":"Kyoo il Kim, Suyong Song, Jiawei Wang","doi":"10.2139/ssrn.3891745","DOIUrl":"https://doi.org/10.2139/ssrn.3891745","url":null,"abstract":"Abstract We study the classical relationship between a firm’s investment and Tobin’s q for which unobserved productivity is another factor of a firm’s decision. Besides the potential measurement problem of Tobin’s q, controlling unobserved productivity is a new challenge. We develop an econometric method that tackles both issues given timing and information set assumptions. Using 15,079 unique public firms in the U.S. for the period of 1975 to 2017, we find that cash flow remains a significant factor of investment even after controlling for the productivity and that investment becomes less sensitive to q and more sensitive to cash flow.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121948791","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}
引用次数: 0
The environmental and financial performance of green energy investments: European evidence 绿色能源投资的环境和财务绩效:欧洲证据
Corporate Finance: Valuation Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3889683
Nuno Miguel Andrade, M. C. Cortez, F. Silva
{"title":"The environmental and financial performance of green energy investments: European evidence","authors":"Nuno Miguel Andrade, M. C. Cortez, F. Silva","doi":"10.2139/ssrn.3889683","DOIUrl":"https://doi.org/10.2139/ssrn.3889683","url":null,"abstract":"This paper investigates the environmental and financial performance of investments in energy firms. For this purpose, we analyze portfolios of green energy European stocks compared to their non-green counterparts from January 2008 to November 2020. Within firms with environmental ratings, those that are green perform better in environmental terms than their non-green counterparts, although the difference has narrowed in recent years. Regarding financial performance, our results show that, in general, the green energy portfolio outperforms the market but compared to the non-green portfolio, the difference is only statistically significant when an energy stock index is used as the market factor. Furthermore, we find that the outperformance of the green portfolio is mainly due to a performance improvement in most recent years. Overall, our results show that over this period investments in green energy firms perform at least as well as their non-green energy counterparts.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"249 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115233169","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}
引用次数: 10
Fair Value of Earnouts: Valuation Uncertainty or Cookie Jar Reserve? 盈利能力的公允价值:估值不确定性还是饼干罐储备?
Corporate Finance: Valuation Pub Date : 2021-07-12 DOI: 10.2139/ssrn.3884775
Andrew Ferguson, Wei-Yin Hu, P. Lam
{"title":"Fair Value of Earnouts: Valuation Uncertainty or Cookie Jar Reserve?","authors":"Andrew Ferguson, Wei-Yin Hu, P. Lam","doi":"10.2139/ssrn.3884775","DOIUrl":"https://doi.org/10.2139/ssrn.3884775","url":null,"abstract":"This study investigates the economic consequences of fair valuing earnouts required by IFRS 3 (2008). Due to the counterintuitive income statement effects of fair value accounting for changes in financial liabilities, acquirers are motivated to overstate earnout liabilities, with a subsequent reversal of unpaid earnout liabilities recorded as income. Using a sample of acquisitions by Australian firms over 2001–2017, we find evidence of managerial opportunism in earnout accounting. We show that IFRS 3 (2008) leads to a significant increase in both the frequency and magnitude of earnouts in public acquirers’ transactions. In addition, firms with ex-ante higher leverage, greater operating cash flow, and lower profitability are more likely to overstate earnout liabilities, while high-quality auditors help curtail such reporting discretion. Further, investors are able to assess overstated earnout liabilities and related goodwill. Overall, we highlight the unintended consequences of fair value accounting on earnout contracting and acquirers’ financial reporting.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115804421","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}
引用次数: 0
On the Mechanics of Sustainability: ESG Rating and Company Performance 论可持续性机制:ESG评级与公司绩效
Corporate Finance: Valuation Pub Date : 2021-07-10 DOI: 10.2139/ssrn.3899898
Haifangming Yu
{"title":"On the Mechanics of Sustainability: ESG Rating and Company Performance","authors":"Haifangming Yu","doi":"10.2139/ssrn.3899898","DOIUrl":"https://doi.org/10.2139/ssrn.3899898","url":null,"abstract":"ESG is the core concept in the field of green finance that has attracted much attention in recent years. Based on traditional financial indicators, ESG aims to integrate environmental, social, and governance factors. By examining the potential for long-term and sustainable value growth of the company, it can effectively help prevent and control downside risks, obtain long-term returns, and discover economic growth. However, there are currently many international ESG rating systems, lacking a unified framework, transparency of their rating methodologies, data sources, and a consensus on how to evaluate the ESG related risk profiles. This research intends to find how ESG Rating is constructed from company performance. In the study, we mainly did the review and illustration of MSCI & RepRisk ESG Rating. We can identify limited mechanisms that could hinder us to simulate ESG rating under various circumstances. For RepRisk, we could only identify the formula in the last step of generating RepRisk Rating: Scale RRR = 0.5 𑁦 (country sector av+|||||| peak RRI). For MSCI, we could only identify the rating construction methodologies based on various factors. However, we believe that the blockchain is supportive of eliminating these limitations, and we aim to explore the possibility of constructing an ESG rating system for blockchain for our next step.","PeriodicalId":127551,"journal":{"name":"Corporate Finance: Valuation","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125371994","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}
引用次数: 0
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