{"title":"Accounting for Human Capital When Labor Mobility is Restricted","authors":"E. Amir, G. Livne","doi":"10.2139/ssrn.202328","DOIUrl":"https://doi.org/10.2139/ssrn.202328","url":null,"abstract":"Is human capital an asset? We empirically address this question using the accounting concept of assets - costs should be capitalized as assets if they are expected to generate future measurable benefits with reasonable certainty. Also, holding the investment opportunity set constant, disposal of these assets should lead to a reduction in future benefits. The analysis concentrates on the UK football industry, as it represents a case where human capital is highly significant, data on investment in human capital is available, and where investment in human capital is significant due to restrictions on labor mobility. Using a sample of 58 football clubs during 1990-2000, we examine the relation between measures of benefits that accrue to the firm on one hand and current and lagged transfer fees paid for new players and transfer fees received from selling players on the other hand. Results suggest that certain measures of future benefits are positively (negatively) associated with current and lagged transfer fees paid (received). That is, investing in human capital is capable of increasing future benefits and selling it may reduce them. Also, regression analysis demonstrates that the explanatory power of old investments is lower than that of more recent ones, consistent with the notion of amortization. Additional tests demonstrate the reliability of future sales but indicate uncertainty of other future benefits. Market values are positively (negatively) associated with transfer fees paid (received), suggesting that equity investors, on average, associate investments in players' contracts with future benefits.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"326 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133988513","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":"Testing the Pecking Order Theory of Capital Structure","authors":"Murray Z. Frank, V. Goyal","doi":"10.2139/ssrn.243138","DOIUrl":"https://doi.org/10.2139/ssrn.243138","url":null,"abstract":"The pecking order theory of corporate leverage is tested against the static tradeoff theory of corporate leverage, using a broad cross-section of US firms over the period 1980-1998. A derivation of the conditional target adjustment framework is provided as a better empirical test of mean reversion. None of the predictions of the pecking order theory hold in the data. As predicted by the static tradeoff theory, robust evidence of mean reversion in leverage is found. This is true both unconditionally and conditionally on financial factors. Leverage is more persistent at lower levels than at higher levels. When debt matures, it is not replaced dollar for dollar by new debt and so leverage declines. Large firms increase their debt in order to support the payment of dividends. By contrast, small firms reduce their debt while they pay dividends.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121254701","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":"How Do Dealers in Government Bond Markets Manage Their Spot Risk with Derivatives? Evidence from London","authors":"Narayan Naik, P. Yadav","doi":"10.2139/ssrn.214609","DOIUrl":"https://doi.org/10.2139/ssrn.214609","url":null,"abstract":"Using a comprehensive data-set from the Bank of England containing the close-of-business positions of individual UK government bond dealers in each bond issue and in all related futures contracts, we examine how the dealers use futures markets to manage the risk of their spot portfolio. We find that the size of dealers' positions in futures contracts is comparable in magnitude to their positions in the spot market, and that the dealers take on significant directional risks often by holding futures that are in the same direction as the spot. Although, in general, the dealers do not seem to use futures to reduce the level of their spot risk, we so find that they actively use futures to offset the changes in the levels of their spot risk. However, this offset is partial in most cases. They use futures to offset changes in their spot exposure to a greater extent when the bonds they hold in their portfolio are more efficiently hedgeable with futures contracts, and on days when the cost of offsetting (as measured by the predictable change in futures mispricing) is lower. They also offset more when the level of their spot risk is high and when recent changes in the spot risk are in a direction that exacerbates their spot risk exposure (i.e., when the potential costs of regulatory distress are high). Finally, we observe that dealers offset changes in their spot exposure to a greater extent immediately prior to important macroeconomic announcements and to a lesser extent immediately thereafter.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"466 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114570351","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":"Acquisition of Information in Loan Markets and Bank Market Power - an Empirical Investigation","authors":"Karl-Hermann Fischer","doi":"10.2139/ssrn.240921","DOIUrl":"https://doi.org/10.2139/ssrn.240921","url":null,"abstract":"Do commercial banks invest less in information gathering activity when they compete more aggressively with each other? Does intensifying competitive pressure in bank loan markets affect the quality of informational ties that bind borrowers and lending banks? This paper contributes to this discussion by providing an empirical analysis of banks' information acquisition within a loan application situation. Using survey data from German manufacturing firms, we are able to measure information flows from loan applicants to banks. We find that firms located in more concentrated banking markets have to transfer more project-specific information to their lending banks. Furthermore we find that banks that systematically acquire more information about their loan customers are able to provide liquidity without inducing additional costly transfer of information. Third, we find credit to be more readily available in more concentrated banking markets. This confirms recent US findings. However, our analysis of banks' information acquisition offers an alternative explanation of why credit availability systematically varies with bank market structure.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132113393","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":"Stock Return Predictability: A Bayesian Model Selection Perspective","authors":"M. Cremers","doi":"10.2139/ssrn.251279","DOIUrl":"https://doi.org/10.2139/ssrn.251279","url":null,"abstract":"Attempts to characterize stock return predictability have resulted in little consensus on the important conditioning variables, giving rise to model uncertainty and data snooping fears. We introduce a new methodology that explicitly incorporates model uncertainty by comparing all possible models simultaneously and in which the priors are calibrated to reflect economically meaningful information. Our approach minimizes data snooping given the information set and the priors. We compare the prior views of a skeptic and a confident investor. The data imply posterior probabilities that are in general more supportive of stock return predictability than the priors for both types of investors. Copyright 2002, Oxford University Press.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124239086","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":"Utility Based Option Evaluation with Proportional Transaction Costs","authors":"A. Damgaard","doi":"10.2139/ssrn.233539","DOIUrl":"https://doi.org/10.2139/ssrn.233539","url":null,"abstract":"We examine the problem of finding investors' reservation prices of European contingent claims in a continuous time finite horizon economy with proportional transaction costs. We derive analytically numerous properties of reservation prices reflecting their dependency on the size of the option position, the risk aversion, and the initial wealth. For the special case of HARA utility functions, we consider the so-called marginal reservation prices, i.e. unit reservation prices of infinitesimal positions of the contingent claim, and prove that these are independent of the initial wealth and the parameters of the utility function, except for the exponent. Furthermore, we present numerical examples suggesting that the marginal reservation prices are, for reasonable parameter values, insensitive to the drift of the underlying security and the exponent of the HARA utility function.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128806408","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":"Reorganization Law and Dilution Threats in Different Financial Systems","authors":"U. Hege, Pierre Mella-Barral","doi":"10.2139/ssrn.218492","DOIUrl":"https://doi.org/10.2139/ssrn.218492","url":null,"abstract":"In a market-based financial system, credit is held by dispersed creditors, and out-of-court renegotiation of debt is more likely to fail because of hold-out problems; in a bank-based system, out-of-court renegotiation stands good chances to succeed. Since out-of-court renegotiation is a substitute for court-supervised reorganization, the design of a reorganization law cannot abstract from the financial system. Chapter 11-style renegotiation is shown to benefit public debt firms and to be harmful for private debt firms; the overall effect depends on the financial system, but is likely to be positive only in a market-based system. The case for a reorganization law is weakened if dilution threats like exit consents are taken into account: such a law is then in most cases undesirable. Legislation, however, which jointly introduces a reorganization law while facilitating the use of dilution threats will improve welfare in a market-based system, but reduce welfare in a bank-based system. Thus, the paper indentifies a new determinant in the debate over optimal bankruptcy codes, which is how easily dilution threats can be deployed.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115212276","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":"Risk Premia and Premption in R&D Ventures","authors":"Lorenzo Garlappi","doi":"10.2139/ssrn.243671","DOIUrl":"https://doi.org/10.2139/ssrn.243671","url":null,"abstract":"I analyze the impact of competition on the risk premia of R&D ventures engaged in a multiple-stage patent race with technical and market uncertainty. After solving in closed-form for the case of a two-stage race in continuous-time, I show that a firm's risk premium decreases as a consequence of technical progress and increases when a rival pulls ahead in the race. Compared to the case where firms collude, R&D competition (i) erodes the option value to mothball a project (ii) reduces the completion time and the failure rate of R&D and (iii) causes higher and more volatile in risk premia. Numerical simulations reveal that competition can generate risk premia up to 500 annual basis point higher and up to three times more volatile than in a collusive industry.","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115179061","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 Longitudinal Analysis of Corporate Payout Policies","authors":"O. Sarig","doi":"10.2139/ssrn.190808","DOIUrl":"https://doi.org/10.2139/ssrn.190808","url":null,"abstract":"In this paper, I conduct a longitudinal analysis of corporate payout policies that accounts for the dynamic nature of these decisions and for the interaction among investment decisions and payout policies. The estimation is done with a VAR model of investment opportunities, profitability, total payout-dividends plus share repurchases, and the split of the total payout between dividends and share repurchases. I control for changes in the legal treatment of share repurchase in 1982 and for changes in the relative taxation of dividends and of capital gains. I find that * An increase in the taxation of capital gains relative to dividends causes a shift in the split of the total corporate payout away from share repurchases and towards dividends * Corporate investment decisions determine payout policies and not the other way around * Unexpected increases in corporate payout are associated with long-term subsequent increases in profitability * The information content of an unexpected increase in dividends is stronger than an equal-size unexpected increase in share repurchases * Earnings better measure firm profitability than cash flows in the determination of corporate payout policies","PeriodicalId":192327,"journal":{"name":"EFA 2000 London Meetings (Archive)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122026016","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}
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