Econometric Modeling: Corporate Finance & Governance eJournal最新文献

{"title":"Addendum to Micro-CG","authors":"Henry Wurts","doi":"10.2139/ssrn.3511584","DOIUrl":"https://doi.org/10.2139/ssrn.3511584","url":null,"abstract":"This paper is merely an addendum to Henry C. Wurts, \"On the corporate governance (CG) of model validation (MV): a micro-CG illustration of ROEg, Put-Call Parity (PCP), and Yule-Simpson Paradox (YSP) as archetypal models of financial risk evaluation and valuation subject to MV,\" (December 31, 2019). Available at SSRN: <a href=\"https://ssrn.com/abstract=3511582\"> https://ssrn.com/abstract=3511582</a>.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"32 1 Pt 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125707929","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 Mixed Ownership Affects Decision Making in Turbulent Times: Evidence From the Digital Revolution in Telecommunications","authors":"David Wehrheim, Hakki Dogan Dalay, Andrea Fosfuri, C. Helmers","doi":"10.2139/ssrn.3517715","DOIUrl":"https://doi.org/10.2139/ssrn.3517715","url":null,"abstract":"This study examines how the ownership structure of corporations shapes their responses to discontinuous technological change. We analyze whether mixed ownership, a situation where following privatization a company's shares are held both privately and by the government, is associated with less innovation in response to discontinuous technological change. We argue that mixed ownership is associated with governance conflicts that affect a company's ability to respond to the challenges posed by discontinuous technological change. Our empirical analysis uses data on European telecommunications operators for the period 2000–2016 when they faced sweeping technological change due to the advent of Internet-based communication services. Our baseline result suggests that operators with mixed ownership file around 70% fewer patents in relevant digital technologies than companies that are fully private or where the government owns a majority of shares. We find that mixed ownership also affects negatively the acquisition of externally developed technology.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127261142","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":"Capital Budgeting and Idiosyncratic Risk","authors":"Paul H. Décaire","doi":"10.2139/ssrn.3480884","DOIUrl":"https://doi.org/10.2139/ssrn.3480884","url":null,"abstract":"Using an NPV-based revealed-preference strategy, I find that idiosyncratic risk materially affects the discount rate that firms use in their capital budgeting decisions. I exploit quasi-exogenous within-region variation in project-specific idiosyncratic risk and find that, on average, firms inflate their discount rate by 5 percentage points (pp) in response to an 18 pp increase in idiosyncratic risk. Moreover, these discount rate adjustments are negatively associated with various measures of firm profitability. I then explore how proxies for costly external financing and agency frictions relate to discount rate adjustments. I find that firms appear to adjust their discount rate upward as a form of risk management when facing costly external financing frictions. Also, I provide evidence that firms partially insure managers against project-specific underperformance to mitigate discount rate adjustments due to agency frictions.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133906927","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":"Flirting with Disasters: Do Firms Financially Plan Ahead for Disasters?","authors":"Balbinder Singh Gill","doi":"10.2139/ssrn.3525065","DOIUrl":"https://doi.org/10.2139/ssrn.3525065","url":null,"abstract":"There are two types of disasters: natural (Acts of God) and technological (human-caused) disasters. I investigate whether and under which conditions firms are hoarding precautionary cash holdings to address natural disaster risk, technological disaster risk or both. The empirical analysis requires me to introduce a novel multidimensional risk measure for each type of disaster as early warning sign for possible future disaster strikes. Using these measures, I provide evidence that firms do not trade-off between these two types of disasters in determining their cash policy. Firms prioritize the preparedness of possible natural disaster strikes above possible technological accidents. The natural disaster related precautionary cash holdings hoarding policy is a long-term policy option that is funded by using external financing and focused on a few disaster types such as wildfires and landslides. Firms address only technological disaster risk by precautionary hoarding cash holdings when they are less internal financially constrained or in smaller countries by surface area.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125160038","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":"Strategic Switching of Governance Mechanisms","authors":"Masanori Orihara","doi":"10.2139/ssrn.3511420","DOIUrl":"https://doi.org/10.2139/ssrn.3511420","url":null,"abstract":"We find that firms appoint outside directors when the time of extending takeover defense measures at annual shareholders’ meetings arrives. In contrast, firms do not change their board structures when they need not extend defense measures. We observe this strategic switching among firms whose largest shareholder is an institutional investor after the introduction of the Japanese stewardship code. Our findings suggest that codes affect corporate governance, but they do not improve or impair the quality of governance.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133490252","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 Intangible Assets Affect the Corporate Financial Performances and How It Varies from Sector–to–Sector?","authors":"Geoffrey VanderPal","doi":"10.33423/jaf.v19i8.2624","DOIUrl":"https://doi.org/10.33423/jaf.v19i8.2624","url":null,"abstract":"To explore the varied perspectives of intangible assets and corporate financial performance nexus, this study employs various measures, i.e. Generalized Method of Moments (GMM). Analysis reveals significant variances in different asset classes and in different sectors. The findings provide insights in risk-return paradigm of intangible investments and the successive returns besides helping the policymakers to settle the priority sector to get the expected result in line with the country’s investment policy.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124555477","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":"Measuring Marginal q","authors":"V. Gala","doi":"10.2139/ssrn.3559046","DOIUrl":"https://doi.org/10.2139/ssrn.3559046","url":null,"abstract":"Using asset prices I estimate the marginal value of capital in a dynamic stochastic economy under general assumptions about technology and preferences. The state-space measure of marginal q relies on the joint measurability of the value function, i.e. firm market value, and its underlying firm state variables. Unlike existing methodologies, the state-space marginal q requires only general restrictions on the stochastic discount factor and the firm investment technology, and it uses simple linear estimation methods. Consistently with a large class of neoclassical investment models, I construct the state-space marginal q using the firm capital stock and profitability shocks. I show that this new measure of real investment opportunities is substantially different from the conventional Tobin’s Q, it yields more plausible and robust estimates of capital adjustment costs, it increases the correlation with investment and the sensitivity of investment to fundamentals. ∗Visiting Associate Professor of Finance. The Wharton School, University of Pennsylvania. vgala@wharton.upenn.edu. I thank Andrew Abel, Hengjie Ai, Frederico Belo, Patrick Bolton, Maria Cecilia Bustamante (discussant), John Cochrane, Janice Eberly (discussant), Bob Goldstein, Francisco Gomes, Joao Gomes, Urban Jermann, Ralph Koijen, Boris Nikolov (discussant), Stavros Panageas, Nick Souleles, Martin Szydlowski, Neng Wang, Toni Whited, Amir Yaron, and seminar participants at The Wharton School, Columbia Business School, University of Minnesota, London Business School, Federal Reserve Board of Governors, EPFL Lausanne, HEC Lausanne, CAPR Workshop 2013, CEPR ESSFM 2013, UBC Summer Finance Conference 2013, EFA Meetings 2014, and AFA Meetings 2015 for valuable comments and suggestions. Tobin’s Q-theory of investment emphasizes a fundamental connection between financial markets and the real economy: marginal q i.e. marginal value of capital is a suffi cient statistic to describe investment behavior (Hayashi, 1982). As any other shadow value in economics, however, the marginal value of capital is not directly observable. To overcome such empirical limitation, researchers have thus mainly used the “observable” (average) Tobin’s Q i.e. ratio of market value of capital to its replacement cost in empirical studies. Such common practice, however, relies on a set of very restrictive underlying assumptions under which marginal q is equal or proportional to (average) Tobin’s Q.1 Despite the long-standing consensus that the restrictive underlying assumptions of perfect competition and homogeneity are misspecified, particularly at the firm level, the use of (average) Tobin’s Q remains still predominant in the empirical literature, primarily for lack of model-free and easy-to-compute alternatives.2 In this paper, I provide a new measure of marginal q to fill this gap. I propose a new methodology to measure marginal q under general assumptions regarding the nature of technology, markets, and preferences. This","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"303 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121699677","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":"More Frequent Disclosure and Capital Structure","authors":"Benedikt Downar, J. Ernstberger, C. Fritz","doi":"10.2139/ssrn.3511628","DOIUrl":"https://doi.org/10.2139/ssrn.3511628","url":null,"abstract":"This paper examines the effect of more frequent disclosure on firms’ capital structure. We argue that more frequent disclosure enables firms to raise equity at more favorable conditions because shareholders are more willing to invest due to improved transparency and better monitoring of managers. By contrast, debt investors are less affected by more frequent disclosure because of access to private information and mitigation of agency conflicts through financial covenants. We exploit the staggered implementation of a directive that harmonized the reporting frequency requirements across and within European countries. Using a difference-in-differences approach for a matched sample of firms, we find that more frequent disclosure is associated with lower financial leverage. In additional analyses, we find that this effect is stronger for firms with higher demands for external financing, weaker information environments, and higher ex-ante agency costs. We also provide evidence that the reporting frequency-induced reduction in leverage is attributable to a higher amount of equity issuance by firms and not to a change in debt issuance.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123881981","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":"Understanding the Nexus of R&D Expenditures and Intangible Assets in Different Asset Types: A Quantile Regression Approach","authors":"Geoffrey VanderPal","doi":"10.33423/jsis.v14i6.2612","DOIUrl":"https://doi.org/10.33423/jsis.v14i6.2612","url":null,"abstract":"The financial outcomes of research and development (R&amp;D) expenditures and intangible assets are not instantaneous and straightforward. To explore the varied perspectives of these relationships, quantile regression technique is used to understand whether and how such relationships vary for the firms with different financial strength. The findings provide insights in risk-return paradigm of R&amp;D investment and the successive return, besides helping the policy makers to settle the priority sector, to get the expected result in line with country’s investment policy.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121573755","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":"The Relationship Among Media Exposure, Taxes Aggressiveness, and Corporate Governance on CSR Disclosure","authors":"A. Palupi","doi":"10.35609/afr.2019.4.4(1)","DOIUrl":"https://doi.org/10.35609/afr.2019.4.4(1)","url":null,"abstract":"Objective – Corporate social responsibility disclosure (CSRD) is an interesting issue, which has an influence on the decision of an investor when deciding whether to invest in a company. This study examines the empirical evidence about the factors which influence CSRD. The factors include media exposure, taxes aggressiveness, and corporate governance.\u0000Methodology/Technique – This study uses companies listed in the non-financial sector on the Indonesian Stock Exchange between 2014-2016. There are 64 companies that meet these criteria using a purposive sampling method.\u0000Findings – The results show that media exposure, taxes aggressiveness, institutional ownership, independent commissioner, and firm size have an influence on corporate social responsibility disclosure. Firm age, leverage, profitability, liquidity, and managerial ownership have no influence toward corporate social responsibility disclosure.\u0000Type of Paper: Empirical\u0000Keywords: Corporate Social Responsibility; Media Exposure; Taxes Aggressiveness; Firm Age; Leverage; Profitability; Liquidity; Institutional Ownership; Managerial Ownership; Independent Commissioner.\u0000\u0000Reference to this paper should be made as follows: Palupi, A; 2019. The Relationship among Media Exposure, Taxes Aggressiveness, and Corporate Governance on CSR Disclosure, Acc. Fin. Review 4 (4): 96 – 105 https://doi.org/10.35609/afr.2019.4.4(1)\u0000JEL Classification: M14, M19, M41.","PeriodicalId":416026,"journal":{"name":"Econometric Modeling: Corporate Finance & Governance eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127599660","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}