Econometric Modeling: Corporate Finance & Governance eJournal最新文献

Do Employees Cheer for Private Equity? The Heterogeneous Effects of Buyouts on Job Quality 员工为私募股权喝彩吗?买断对工作质量的异质性影响

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-10-27 DOI: 10.2139/ssrn.3912230

W. Gornall, Oleg R. Gredil, Sabrina T. Howell, Xing Liu, Jason Sockin

引用次数: 3

The Effect of Mortgage Regulation on Entrepreneurship 抵押贷款监管对企业家精神的影响

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-10-27 DOI: 10.2139/ssrn.3021306

Stephanie Johnson

引用次数: 1

ESG Confusion and Stock Returns: Tackling the Problem of Noise ESG混乱与股票回报:解决噪音问题

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-10-12 DOI: 10.2139/ssrn.3941514

Florian Berg, Julian F. Kölbel, A. Pavlova, R. Rigobón

{"title":"ESG Confusion and Stock Returns: Tackling the Problem of Noise","authors":"Florian Berg, Julian F. Kölbel, A. Pavlova, R. Rigobón","doi":"10.2139/ssrn.3941514","DOIUrl":"https://doi.org/10.2139/ssrn.3941514","url":null,"abstract":"How strongly does ESG (environmental, social and governance) performance affect stock returns? Answering this question is difficult because existing measures of performance, ESG ratings, are noisy. To tackle the bias, we propose a noise-correction procedure, in which we instrument ESG ratings with ratings of other ESG rating agencies, as in the classical errors-in-variables problem. The corrected estimates demonstrate that the effect of ESG performance on stock returns is stronger than previously estimated; the standard regression estimates of ESG ratings' impact on stock returns are biased downward by about 60%. Our dataset includes scores of eight ESG rating agencies for firms located in North America, Europe, and Japan. We determine which agencies’ scores are valid instruments (not all of them are) and estimate the noise-to-signal ratio for each ESG rating agency (some of which are very large). Overall, our results suggest that it is advantageous to rely on several complementary ratings. In our sample, stocks with higher ESG performance have higher expected returns. Our model provides several explanations for this finding.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115523311","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: 41

Does Size Matter? The Real Effects of Subsidizing Small Firms 尺寸重要吗?补贴小企业的实际效果

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-09-24 DOI: 10.2139/ssrn.3451424

M. Denes, R. Duchin, John Hackney

引用次数: 3

The Epidemiology of Financial Constraints 金融约束的流行病学

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-09-17 DOI: 10.2139/ssrn.3904480

William Grieser, Ioannis Spyridopoulos, Morad Zekhnini

引用次数: 0

Share Repurchases, Undervaluation, and Corporate Social Responsibility 股票回购、价值低估与企业社会责任

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-09-09 DOI: 10.2139/ssrn.3754283

Nils Bobenhausen, Andreas Knetsch, A. Salzmann

{"title":"Share Repurchases, Undervaluation, and Corporate Social Responsibility","authors":"Nils Bobenhausen, Andreas Knetsch, A. Salzmann","doi":"10.2139/ssrn.3754283","DOIUrl":"https://doi.org/10.2139/ssrn.3754283","url":null,"abstract":"Share repurchases have experienced growing popularity in recent years. The wealth transfer between shareholders associated with share repurchases has however been widely neglected in the literature, yet. Since managers are free to time repurchases so that ongoing shareholders profit at the expense of selling shareholders or vice versa, we investigate how the wealth transfer from share repurchases relates to a firm’s priorities regarding its stakeholder orienta-tion. Based on the idea that firms with higher corporate social responsibility (CSR) engage-ment take the interests of all stakeholders into more equal consideration, we posit that their managers are less inclined to take advantage of the wealth transfer from selling to ongoing shareholders, which occurs if the firm is undervalued. Consistent with this notion, our results show that firms with higher CSR engagement announce their repurchases in periods of ceteris paribus lower undervaluation. We find the same effect when using other proxies of a firm’s stakeholder orientation than CSR engagement. Overall, our results contribute to the under-standing of how stakeholder orientation and CSR engagement affect financial decision mak-ing and provide insights into the motives behind share repurchases.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121216592","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

Horizontal Mergers, Investments and Industry Evolution 横向兼并、投资与产业演进

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-09-08 DOI: 10.2139/ssrn.3919298

Dongxu Li

引用次数: 0

Competition and Mergers with Strategic Data Intermediaries 战略数据中介机构的竞争与合并

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3918829

D. Bounie, Antoine Dubus, P. Waelbroeck

引用次数: 1

Predicting Status of Pre and Post M&A Deals Using Machine Learning and Deep Learning Techniques 利用机器学习和深度学习技术预测并购交易前后的状态

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3923065

T. Karatas, Ali Hirsa

{"title":"Predicting Status of Pre and Post M&A Deals Using Machine Learning and Deep Learning Techniques","authors":"T. Karatas, Ali Hirsa","doi":"10.2139/ssrn.3923065","DOIUrl":"https://doi.org/10.2139/ssrn.3923065","url":null,"abstract":"Risk arbitrage or merger arbitrage is a well-known investment strategy that speculates on the success of M&A deals. Prediction of the deal status in advance is of great importance for risk arbitrageurs. If a deal is mistakenly classified as a completed deal, then enormous cost can be incurred as a result of investing in target company shares. On the contrary, risk arbitrageurs may lose the opportunity of making profit. In this paper, we present an ML and DL based methodology for takeover success prediction problem. We initially apply various ML techniques for data preprocessing such as kNN for data imputation, PCA for lower dimensional representation of numerical variables, MCA for categorical variables, and LSTM autoencoder for sentiment scores. We experiment with different cost functions, different evaluation metrics, and oversampling techniques to address class imbalance in our dataset. We then implement feedforward neural networks to predict the success of the deal status. Our preliminary results indicate that our methodology outperforms the benchmark models such as logit and weighted logit models. We also integrate sentiment scores into our methodology using different model architectures, but our preliminary results show that the performance is not changing much compared to the simple FFNN framework. We will explore different architectures and employ a thorough hyperparameter tuning for sentiment scores as a future work.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130674342","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

Uncovering latent clusters in cross-border M&A completion data: The role of institutional and economic factors 跨国并购完成数据中的潜在集群:制度和经济因素的作用

Econometric Modeling: Corporate Finance & Governance eJournal Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3928601

M. Wiedemann, J. Niederreiter

引用次数: 1