发布求助
文献互助 智能选刊 最新文献

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)最新文献

筛选
英文 中文
Information Asymmetry, Non-Learnable Payoff and the Cost of Capital 信息不对称、不可学收益与资金成本
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-06-29 DOI: 10.2139/ssrn.3876040
Zhigang Qiu, Weinan Zheng
{"title":"Information Asymmetry, Non-Learnable Payoff and the Cost of Capital","authors":"Zhigang Qiu, Weinan Zheng","doi":"10.2139/ssrn.3876040","DOIUrl":"https://doi.org/10.2139/ssrn.3876040","url":null,"abstract":"This paper examines the roles of information differences among informed investors (information asymmetry) in the determination of a firm's cost of capital and price informativeness when the risky asset payoff contains a non-learnable component. The existence of non-learnable payoff disproportionately decreases the information advantage of more informed traders, relative to less informed traders, leading asset prices to be affected by both the aggregate information precision and information asymmetry among investors. As a result, a higher level of information asymmetry decreases price informativeness and increases cost of capital. In an economy with multiple assets, information asymmetry from the market factor affects the costs of capital of all risky assets, but information asymmetry from the firm specific factor only affects the cost of capital of that particular firm.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130522520","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 Importance of Investor Heterogeneity: An Examination of the Corporate Bond Market 投资者异质性的重要性:对公司债券市场的考察
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-05-10 DOI: 10.2139/ssrn.3900261
Jian Li, Haiyue Yu
{"title":"The Importance of Investor Heterogeneity: An Examination of the Corporate Bond Market","authors":"Jian Li, Haiyue Yu","doi":"10.2139/ssrn.3900261","DOIUrl":"https://doi.org/10.2139/ssrn.3900261","url":null,"abstract":"Corporate bond market participants are increasingly worried about liquidity. However, bid-ask spreads and other standard measures indicate liquidity has not deteriorated significantly. This paper proposes a potential reconciliation. We show the sensitivity of credit yields to bid-ask spreads increased fourfold from 2005 to 2019. We then provide a model that connects this change to the rapid growth of mutual funds in the corporate bond market. The model features heterogeneous investors with different trading needs who choose between a risk-free asset and illiquid bonds. As the risk-free rate declines, more short-term investors reach for yield and enter the bond market. These short-term investors reduce the selling pressure in each sub-market and so the bid-ask spreads. However, their greater trading needs amplify the sensitivity of credit yields to the bid-ask spreads, leading to a larger liquidity component. We next test the model’s predictions using detailed data on investor holdings in the U.S. As predicted, we find investor turnover is associated with larger effects of illiquidity on credit yields. Bonds with more short-term investors are traded at lower bid-ask spreads, but their credit yields are more sensitive to the bid-ask spreads. Finally, we look across countries and show that, consistent with the model, larger declines in risk-free rates are associated with higher growth in mutual fund shares. These results highlight the key role that investor heterogeneity plays in determining how liquidity is priced into corporate bond yields and firms’ financing conditions.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"189 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116343712","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: 6
Measuring the Ex-Ante Incentive Effects of Creditor Control Rights During Bankruptcy Reorganization 破产重整过程中债权人控制权事前激励效应的测度
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-04-11 DOI: 10.2139/ssrn.3435653
Ashwini Agrawal, Juanita González-Uribe, Jimmy Martínez-Correa
{"title":"Measuring the Ex-Ante Incentive Effects of Creditor Control Rights During Bankruptcy Reorganization","authors":"Ashwini Agrawal, Juanita González-Uribe, Jimmy Martínez-Correa","doi":"10.2139/ssrn.3435653","DOIUrl":"https://doi.org/10.2139/ssrn.3435653","url":null,"abstract":"Abstract A large theoretical literature studies the effects of creditor control during bankruptcy proceedings on firm outcomes. Empirical work in this area mainly examines reforms to creditor control rights during liquidation. In this paper, we use administrative microdata and exploit a legal reform in Denmark to provide the first causal estimates of creditor empowerment in reorganization—the complementary bankruptcy procedure to liquidation. We find that the Danish reform led to a sharp decline in liquidations. Although few insolvent firms make use of the new reorganization procedures, we show that solvent firms improved their financial management and increased employment and investment. The findings illustrate the empirical importance of reorganization rules on the incentives of stakeholders outside of bankruptcy.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123952258","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
Show Me the Money! Dividend Policy in Countries with Weak Institutions 让我赚大钱!制度薄弱国家的股利政策
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-03-15 DOI: 10.2139/ssrn.3601931
Atif Ellahie, Zachary R. Kaplan
{"title":"Show Me the Money! Dividend Policy in Countries with Weak Institutions","authors":"Atif Ellahie, Zachary R. Kaplan","doi":"10.2139/ssrn.3601931","DOIUrl":"https://doi.org/10.2139/ssrn.3601931","url":null,"abstract":"We hypothesize that, in weak-institution countries, firms adjust the \"timing\" of dividend payments by committing to distribute a percentage of current earnings as dividends, revealing the extent of firm-level agency conflicts to future investors and facilitating the raising of external capital. Consistent with this hypothesis, we find that, on average, firms in weak-institution countries have a higher speed of adjustment (SOA) to their target payout ratio, pay dividends earlier in the lifecycle, and are more likely to disclose a dividend policy committing to pay a minimum percentage of earnings. Within-country tests show that, in weak-institution countries, the firms with the highest SOA dividend policies have fewer agency problems and an increased ability to raise external capital. Finally, returns tests around earnings announcements show that high-SOA dividend policies are associated with larger market reactions to earnings in weak-institution countries. Collectively, our findings suggest that dividend policy helps to alleviate agency conflicts in weak institution countries between firms and (future) investors.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114074817","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: 19
Accounting for Model, Policy and Downside Risk in the Economic Viability Assessment of Investments in Electricity Capacity: The Hurdle Rate Approach 电力容量投资经济可行性评估中的模型、政策和下行风险核算:门槛率法
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3792855
Kris Boudt
{"title":"Accounting for Model, Policy and Downside Risk in the Economic Viability Assessment of Investments in Electricity Capacity: The Hurdle Rate Approach","authors":"Kris Boudt","doi":"10.2139/ssrn.3792855","DOIUrl":"https://doi.org/10.2139/ssrn.3792855","url":null,"abstract":"Simulation methods are often used in a forward-looking evaluation of a country’s security of supply of electricity. The framework includes modelling the investors’ decision to invest in new or existing capacity. A realistic model needs to account for the large variability and non-normality of the inframarginal rents. This discussion paper first presents an overview of several potential investment rules. Based on this overview, we recommend modelling the investment decision using the simulation-based expected return and hurdle rates that are set equal to the cost of capital of a reference investor plus a hurdle premium. The latter serves as an important cushion to compensate for the predicted project risk under the base scenario, and the model and policy risk related to alternative scenario outcomes. The discussion paper also presents a baseline simulation setup and a proof of concept, including a tentative calibration of the hurdle rate under this simulation setup.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126176634","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
Determinants of Share Repurchases A Quantile Regression Approach 股票回购的决定因素:分位数回归方法
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-02-21 DOI: 10.17811/EBL.10.1.2021.27-36
I. Chasiotis, Andreas G. Georgantopoulos, N. Eriotis
{"title":"Determinants of Share Repurchases A Quantile Regression Approach","authors":"I. Chasiotis, Andreas G. Georgantopoulos, N. Eriotis","doi":"10.17811/EBL.10.1.2021.27-36","DOIUrl":"https://doi.org/10.17811/EBL.10.1.2021.27-36","url":null,"abstract":"This study utilizes quantile regressions to investigate the effect of the determinants of share repurchases on firms at different points of the share repurchases distribution.  Empirical results from a large panel of  NYSE repurchasing firms, document an asymmetric effect of several determinants on share repurchases in terms of size, significance and direction. Excess capital, stock options and growth opportunities are significant throughout the distribution and their impact increases at successive quantiles while ownership concentration and leverage exhibit sign reversals between lower and upper quantiles. These differing effects are attributed to highly heterogeneous firm characteristics across quantiles.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127528659","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
Insights, Trends and Frontiers: A Literature Review on Financial and Risk Modelling in the Information Age (2008-2019) 洞察、趋势与前沿:信息时代金融与风险建模的文献综述(2008-2019)
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2021-01-12 DOI: 10.2139/ssrn.3764570
Markus Vogl, P. Roetzel
{"title":"Insights, Trends and Frontiers: A Literature Review on Financial and Risk Modelling in the Information Age (2008-2019)","authors":"Markus Vogl, P. Roetzel","doi":"10.2139/ssrn.3764570","DOIUrl":"https://doi.org/10.2139/ssrn.3764570","url":null,"abstract":"This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main topics, agreements, disagreements and frontiers within the research community and highlight quantitative features such as implemented models, aggregated model-family combinations and algorithms. Moreover, we describe the data sets employed by researchers. Finally, we discuss insights, such as the main statement, namely the non-existence of a “single-best”-approach as well as the future prospects of our findings.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"7 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130454714","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: 3
Strategic Debt Restructuring and Asset Substitution 战略性债务重组与资产替代
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-11-29 DOI: 10.2139/ssrn.3739481
Daniel Giamouridis, Chara Prassa
{"title":"Strategic Debt Restructuring and Asset Substitution","authors":"Daniel Giamouridis, Chara Prassa","doi":"10.2139/ssrn.3739481","DOIUrl":"https://doi.org/10.2139/ssrn.3739481","url":null,"abstract":"This paper examines whether debt renegotiation mitigates the agency costs of asset substitution. Inspired by the studies of Mella-Barral and Perraudin (1997) and Leland (1998), we have developed an analytical continuous time model of a firm that has the option to switch to a higher risk activity and renegotiate the terms of the debt. Our model creates a trade-off between increasing firm volatility and decreasing growth rate which characterizes the potential for asset substitution. Our findings indicate that, in most cases, debt renegotiation substantially reduces agency costs of asset substitution, whereas non-renegotiable debt is optimal when equity holders have a weak bargaining position and the opportunity cost of their risk-taking incentives is high. Several testable empirical implications regarding the design of debt contracts are developed.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131190179","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
Firm-Level Economic Policy Uncertainty, Firms’ Investment and Financial Assets 企业层面经济政策不确定性、企业投资与金融资产
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-10-18 DOI: 10.2139/ssrn.3714229
H. Nie, Rui Ruan, Ji Shen
{"title":"Firm-Level Economic Policy Uncertainty, Firms’ Investment and Financial Assets","authors":"H. Nie, Rui Ruan, Ji Shen","doi":"10.2139/ssrn.3714229","DOIUrl":"https://doi.org/10.2139/ssrn.3714229","url":null,"abstract":"We use text mining tools to extract a measure of economic policy uncertainty perceived by individual Chinese listed firms from their annual report texts. We present this measure with some visualization techniques and it varies over time and across sectors in accordance with our intuitions. The dispersion of the perceived economic policy uncertainty measure rises significantly when the aggregate uncertainty goes high. The variation of this measure comes mainly from sector levels. Firms perceived economic policy uncertainties decrease corporate investment expenditures and increase holding financial assets. It is suggested that Chinese policy makers should increase process transparency when formulating economic policies, improve communication with firms and manage their expectations more effectively.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114236441","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: 5
Search with Wage Posting under Sticky Prices 搜索工资张贴在粘性价格
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-09-20 DOI: 10.2139/ssrn.2534565
Andrew T. Foerster, José Mustre-del-Ŕıo
{"title":"Search with Wage Posting under Sticky Prices","authors":"Andrew T. Foerster, José Mustre-del-Ŕıo","doi":"10.2139/ssrn.2534565","DOIUrl":"https://doi.org/10.2139/ssrn.2534565","url":null,"abstract":"We consider the macroeconomic implications of the interaction between nominal rigidities and labor market frictions in a framework where …rms jointly make pricing and hiring decisions. In our New Keynesian model, workers randomly search for jobs and are matched with …rms that post take-it-or-leave-it contracts and are subject to sticky prices. Relative to the typical model that separates search frictions and nominal frictions into wholesale and retail …rms, respectively, our model implies smoother wages because …rms can affect their marginal costs by adjusting prices. A consequence of smoother wages is that the vacancy-to-unemployment ratio responds much more than under the standard model.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115746817","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信