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What's in a Name? The Valuation Effect of Directors' Sharing of Surnames 名字里有什么?董事姓氏共享的价值评估效应
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-09-11 DOI: 10.2139/ssrn.2943154
Tan Youchao, J. Xiao, C. Zeng, H. Zou
{"title":"What's in a Name? The Valuation Effect of Directors' Sharing of Surnames","authors":"Tan Youchao, J. Xiao, C. Zeng, H. Zou","doi":"10.2139/ssrn.2943154","DOIUrl":"https://doi.org/10.2139/ssrn.2943154","url":null,"abstract":"Abstract Using surname sharing as a novel measure of social ties, we examine the effect of directors’ surname sharing on firm value. We find that boards with greater surname homogeneity are associated with lower firm value. This finding is not driven by familial ties. The negative effect of surname sharing on firm value is more pronounced when directors share rare surnames and when firms operate in regions with stronger clan systems, but is attenuated by stronger corporate governance mechanisms. The market reacts positively to plausibly exogenous director resignations that reduce director surname sharing, and negatively to board appointments that increase director surname sharing. Director surname sharing lowers firm value by reducing director dissension, granting excess executive compensation, and increasing related-party transactions. Overall, our results suggest that directors’ surname sharing, an easy-to-trace but previously neglected social tie, can have significant economic consequences.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130297859","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
On the Theoretical Foundation of Corporate Finance 论公司财务的理论基础
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-08-26 DOI: 10.2139/ssrn.3681470
Jing Chen
{"title":"On the Theoretical Foundation of Corporate Finance","authors":"Jing Chen","doi":"10.2139/ssrn.3681470","DOIUrl":"https://doi.org/10.2139/ssrn.3681470","url":null,"abstract":"Abstract Modigliani and Miller theory forms the theoretical foundation of corporate finance. Yet Modigliani and Miller theory was derived from a very special case of cash flows. Weighted Average Cost of Capital (WACC), which is part of the Modigliani and Miller theory, plays a fundamental role in capital structure decision and asset valuation. Empirically, asset valuation calculated from cash flows discounted by WACC almost always differs from the sum of debt and equity values. We derive asset valuations for more general cashflows. Only when the debt equity ratio is constant over time, valuation by WACC is equal to the sum of debt and equity values.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128147774","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
Financial Integration and the Correlation between International Debt and Equity Flows 金融一体化与国际债务与权益流动的关系
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-08-19 DOI: 10.2139/ssrn.3677439
Hewei Shen
{"title":"Financial Integration and the Correlation between International Debt and Equity Flows","authors":"Hewei Shen","doi":"10.2139/ssrn.3677439","DOIUrl":"https://doi.org/10.2139/ssrn.3677439","url":null,"abstract":"This paper empirically documents a number of stylized facts of international debt and equity flows and theoretically investigates the roles of these two financial assets in international risk sharing. Using a data set of debt and equity flows since 1970 for a sample of 104 countries, I find that international debt and equity flows have become increasingly volatile in the past decades due to the increased world financial integration. In addition, there is a negative correlation between debt and equity flows and such negative correlation has become stronger over time. Using a simple two-country model with international capital flows, I show that negatively correlated debt and equity flows arise as two countries trade equity assets and bond to hedge against income uncertainties. The numerical analysis shows that the model can replicate the dynamics of the volatilities and correlation between debt and equity flows in the data as the financial integration progresses.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124186137","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
The 'Embodied Equity' Theory of Term Structure 期限结构的“具身公平”理论
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-07-22 DOI: 10.2139/ssrn.3658599
Thomas W. Downs
{"title":"The 'Embodied Equity' Theory of Term Structure","authors":"Thomas W. Downs","doi":"10.2139/ssrn.3658599","DOIUrl":"https://doi.org/10.2139/ssrn.3658599","url":null,"abstract":"This study analytically specifies the residual cash flow stream that real capital embodies. The specification separates debt cash flows from equity and obtains an equilibrium condition equating marginal physical product and real user cost of capital. Analysis of the user cost specification reveals that the equilibrium interest rate is an increasing function of the debt contract's loan-to-value ratio and average period of debt. The basic reason why the interest rate increases with average period is this: the equity financing rate exceeds the interest rate, a lengthening debt average period reduces to equity the discounted cost of debt, the financing rate increases to re-establish equilibrium. The “embodied equity” hypothesis advanced herein joins the expectations hypothesis, the liquidity preference hypothesis, and the market segmentation hypothesis as a fundamental explanation for the upward slope on the yield curve.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131743925","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
Debt Structure 债务结构
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-07-06 DOI: 10.2139/ssrn.3469712
Paolo Colla, Filippo Ippolito, Kai Li
{"title":"Debt Structure","authors":"Paolo Colla, Filippo Ippolito, Kai Li","doi":"10.2139/ssrn.3469712","DOIUrl":"https://doi.org/10.2139/ssrn.3469712","url":null,"abstract":"We review the literature on debt structure, which is a central element in a firm's capital structure. We first survey both theoretical and empirical research pertaining to debt characteristics—maturity and priority—and debt types—bank loans, corporate bonds, credit lines, commercial paper, and capital leases. We then present comprehensive empirical evidence on public US firms’ debt structure over the period 2002–2018, highlighting that more than three-quarters of US firms concentrate their borrowing in one debt type, and offer some suggestive explanations for the observed pattern. Finally, we discuss directions for future research, including a better understanding of debt structure choices by non-US firms and by private firms, the cross-sectional and temporal variations in debt structure, the corporate policy implications of firms’ debt structure choices, and the interaction between types of assets and debt structure.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125688744","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: 22
Collective Bargaining Power and Corporate Cash Policy 集体议价能力和公司现金政策
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-06-06 DOI: 10.2139/ssrn.3620788
Muhammad Farooq Ahmad, Oskar Kowalewski
{"title":"Collective Bargaining Power and Corporate Cash Policy","authors":"Muhammad Farooq Ahmad, Oskar Kowalewski","doi":"10.2139/ssrn.3620788","DOIUrl":"https://doi.org/10.2139/ssrn.3620788","url":null,"abstract":"Abstract This paper provides novel evidence on the role of labor unions in firms’ corporate cash policy. Examining the unionization rates of firms across 29 countries for the period 2004–2015, we show that firms respond to an increase in unionization rate by decreasing their corporate cash holdings. The reported effect is symmetric, in that firms respond to increases (decreases) in unionization rate by decreasing (increasing) their cash buffers. These results are consistent with the bargaining hypothesis, namely, that firms strategically decrease their cash level to counter the rise in employees’ bargaining power due to increased unionization. Additionally, we find that the negative effect of unionization on cash holdings is more pronounced in labor-intensive, large, high-growth, high profitability, and low labor productive firms. The countries’ quality of institutions intensifies the documented relationship, what is in line with the cost economies theory. Moreover, we exploit shocks to the economies and show that increase in the unionization following a banking crisis influence negatively firm's cash levels. These findings are robust to different unionization variable constructions, alternative dependent variable definitions, controlling for potentially correlated time-variant firm characteristics, saturation of a dense set of fixed effects, and endogeneity concerns.","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":"2020-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124326109","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
Machine Learning for Zombie Hunting. Firms' Failures and Financial Constraints 僵尸狩猎的机器学习。企业的失败和财务约束
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-04-28 DOI: 10.2139/ssrn.3588410
Falco J. Bargagli Stoffi, M. Riccaboni, Armando Rungi
{"title":"Machine Learning for Zombie Hunting. Firms' Failures and Financial Constraints","authors":"Falco J. Bargagli Stoffi, M. Riccaboni, Armando Rungi","doi":"10.2139/ssrn.3588410","DOIUrl":"https://doi.org/10.2139/ssrn.3588410","url":null,"abstract":"In this contribution, we exploit machine learning techniques to predict the risk of failure of firms. Then, we propose an empirical definition of zombies as firms that persist in a status of high risk, beyond the highest decile, after which we observe that the chances to transit to lower risk are minimal. We implement a Bayesian Additive Regression Tree with Missing Incorporated in Attributes (BART-MIA), which is specifically useful in our setting as we provide evidence that patterns of undisclosed accounts correlate with firms failures. After training our algorithm on 304,906 firms active in Italy in the period 2008-2017, we show how it outperforms proxy models like the Z-scores and the Distance-to-Default, traditional econometric methods, and other widely used machine learning techniques. We document that zombies are on average 21% less productive, 76% smaller, and they increased in times of financial crisis. In general, we argue that our application helps in the design of evidence-based policies in the presence of market failures, for example optimal bankruptcy laws. We believe our framework can help to inform the design of support programs for highly distressed firms after the recent pandemic crisis.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"231 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122031840","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
Firm Behaviour in Pension Funding – An Analysis of Corporate Debt Issuing 养老基金中的企业行为——对公司债券发行的分析
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-04-23 DOI: 10.2139/ssrn.3577824
M. Boddy
{"title":"Firm Behaviour in Pension Funding – An Analysis of Corporate Debt Issuing","authors":"M. Boddy","doi":"10.2139/ssrn.3577824","DOIUrl":"https://doi.org/10.2139/ssrn.3577824","url":null,"abstract":"This study investigates the commonality of United States firms using the issuance of corporate debt as a tool to fund their pension plans. The results suggest a prominence of firms in the sample utilizing debt issuances to transition their fund from underfunded to overfunded. These results are indicated through a statistically significant negative relationship between the cost of debt and an underfunded indicator when regressors are lagged by one year. Results also indicate that equity issuances may not be as utilized to fund pensions, due to an undervaluation of these firms in the market. Further research on this finding is recommended.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"176 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114080907","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
Effects of Economic Policy Uncertainty on Decisions to Raise Capital 经济政策不确定性对融资决策的影响
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-04-01 DOI: 10.2139/ssrn.3621719
Dawood Ashraf, M. Khawaja, Ishaq Bhatti
{"title":"Effects of Economic Policy Uncertainty on Decisions to Raise Capital","authors":"Dawood Ashraf, M. Khawaja, Ishaq Bhatti","doi":"10.2139/ssrn.3621719","DOIUrl":"https://doi.org/10.2139/ssrn.3621719","url":null,"abstract":"This paper investigates how economic policy uncertainty and ownership structure affect the decisions of US firms to raise capital. We use a three-step sequential framework involving the decisions to raise capital and, depending on the decision to raise capital, the choice of financing instrument, and the volume of capital. The simultaneous equation framework not only treats the three decisions sequentially but also removes endogenous selection bias. By using a sample of 45,635 firm-year records of publicly listed non-financial firms for the period starting from 2000 to the end of 2018, we find that during periods of higher economic policy uncertainty, firms engage in external financing more frequently with a preference toward debt-based instruments. In addition, ownership by institutional investors is associated with a tendency to raise capital through debt financing and in lower volumes, supporting ownership control hypothesis. Our results from economic policy uncertainty provide evidence of pecking order theory and market timing theory in raising capital.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130885246","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
Does Pecking Order Theory Hold Among Kenyan Firms? 啄序理论在肯尼亚企业中是否成立?
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic) Pub Date : 2020-03-13 DOI: 10.31014/aior.1992.03.01.205
Douglas M. Wanja, Peter W. Muriu
{"title":"Does Pecking Order Theory Hold Among Kenyan Firms?","authors":"Douglas M. Wanja, Peter W. Muriu","doi":"10.31014/aior.1992.03.01.205","DOIUrl":"https://doi.org/10.31014/aior.1992.03.01.205","url":null,"abstract":"This study examined the pecking order theory of capital structure through annual data of 37 firms listed at the Nairobi Securities Exchange for the period 2011-2016. Estimation results established a positive relationship between changes in debt and investments and a negative relationship between changes in debt and cash flows. Overall, the findings suggest that financial deficits determine net debt issues and hence a strong case for pecking order theory in Kenya in explaining capital structure decisions.","PeriodicalId":367100,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)","volume":"270 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127289127","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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