Author: Jaehoon Hahn Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
Theories of capital market imperfections have strong cross-sectional implications not only for corporate investment, but also for asset prices. Motivated by these theories, we develop a hypothesis about a differential effect of debt capacity on stock returns across financially constrained and unconstrained firms, based on a model of corporate investment under collateral constraints. The findings strongly support the hypothesis. Debt capacity is positively associated with stock returns in the cross section of financially constrained firms, after controlling for theoretical and empirical risk proxies such as beta, size, book-to-market, and momentum. The positive marginal impact of debt capacity is also economically significant. In contrast, debt capacity has no systematic relation with the cross section of financially unconstrained firms' stock returns. The results are robust to the way in which firms are classified into constrained and unconstrained groups and to the way in which debt capacity is measured. The findings suggest that cross-sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing firms.
Author: Dmitry Livdan Publisher: ISBN: Category : Languages : en Pages : 48
Book Description
More financially constrained firms are riskier and earn higher expected returns than less financially constrained firms, although this effect can be subsumed by size and book-to-market. Further, because the stochastic discount factor makes capital investment more procyclical, financial constraints are more binding in economic booms. These insights arise from two dynamic models. In Model 1, firms face dividend nonnegativity constraints without any access to external funds. In Model 2, firms can retain earnings, raise debt and equity, but face collateral constraints on debt capacity. Despite their diverse structures, the two models share largely similar predictions.
Author: Rui Zeng Publisher: ISBN: Category : Languages : en Pages : 29
Book Description
This paper documents a robust new fact about the cross section of stock returns: stocks of companies with higher past production efficiency earn significantly higher average returns in the future. The return difference between the high production efficiency and the low production efficiency portfolio is 25.7% annually, after adjusted for exposures to the market return, size, value and momentum factor. The production efficiency retains its forecasting capability even on large capitalization stocks, and the abnormal return associated with the production efficiency is the strongest within small capitalization stocks. The predicting power of the production efficiency is more persistent for large capitalization stocks than for small capitalization stocks. The empirical finding casts doubt on the measures that use the firm's productivity as one of the determinants to assess the firm's financial constraint.
Author: A. Dixit Publisher: Routledge ISBN: 1317973720 Category : Business & Economics Languages : en Pages : 96
Book Description
This book aims to widen the understanding of stochastic dynamic choice and equilibrium models. It offers a simplified and heuristic exposition of the theory of Brownian motion and its control or regulation, rendering such methods more accessible to economists who do not require a detailed, mathematical treatment of the subject. The main mathematical ideas are presented in a context which with which economists will be familiar. Using a binomial approach to Brownian motion, the mathematics is reduced to simple algebra, progressing to some equally simple limits. The starting point of the calculus of Brownian motion - 'Ito's Lemma' - emerges by analogy with the economics of risk-aversion. Conditions for the optimal regulation of Brownian motion, including the important, but often mysterious, 'smooth pasting' condition, are derived in a similar way. Each theoretical derivation is illustrated by developing a significant economic application, drawn mainly from recent research in macroeconomics and international economics.
Author: Melvyn Fuss Publisher: Elsevier ISBN: 148325903X Category : Business & Economics Languages : en Pages : 361
Book Description
Contributions to Economic Analysis: Production Economics: A Dual Approach to Theory and Applications, Volume 2 focuses on the theory of production from the standpoint of the "dual", the relationships between economic observables which are dual to physical technology. The selection first ponders on duality, intermediate inputs and value-added, Hicks' aggregation theorem and the existence of a real value-added function, and homotheticity and real value-added in Canadian manufacturing. Discussions focus on real value-added and the production structure, estimation of the production structure, double deflation and real value-added, measurement of total productivity, and duality between direct and conditional indirect utility functions. The book then examines the estimation techniques for the elasticity of substitution and other production parameters and measurement of the elasticity of factor substitution and bias of technical change. The publication takes a look at the identification of technical change in the electricity generating industry, factor substitution in electricity generation, and the effectiveness of rate-of-return regulation. Topics include statistical tests of regulatory effectiveness, profit function for a regulated firm, tests of the structure of technology, identification problems in the measurement of technical change, and measurement of disembodied technical change. The selection is a valuable source of information for economists and researchers interested in production economics.
Author: Rui Zeng Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
I present empirical evidence that the TED spread is a priced risk factor in the cross sectional stock returns. Stocks with higher exposure to the change in the TED spread require higher returns, and the return difference between the high sensitivity portfolio and the low sensitivity portfolio is a significant 6.6% annually. Individual stocks within the two extreme TED beta portfolios are more likely to be financially distressed, which is consistent with the documented hump-shaped relationship between expected return and default probability in Garlappi, Tao, and Yan (2008). The TED factor shows enhanced forecasting ability within non-crisis periods, and the size effect shows up only within the group of most distressed firms. This paper uncovers a systematic channel to reconcile the positive risk premium and negative risk premium found within the financially distressed stocks, and provide strong empirical evidence for the effect of credit supplying activities on corporate financing behaviors and stock performances.
Author: Turan G. Bali Publisher: John Wiley & Sons ISBN: 1118589475 Category : Business & Economics Languages : en Pages : 512
Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Author: Kose John Publisher: Emerald Group Publishing ISBN: 0857249150 Category : Business & Economics Languages : en Pages : 210
Book Description
Presents research on corporate governance from a number of countries across the world, including the United States, Spain, Malaysia, Israel and others. This title examines many important corporate governance mechanisms, such as board characteristics, ownership structure, legal protection of shareholders, and annual general meetings.
Author: Mark Carey Publisher: University of Chicago Press ISBN: 0226092984 Category : Business & Economics Languages : en Pages : 669
Book Description
Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Author: Jaehoon Hahn
Author: Dmitry Livdan
Author: Rui Zeng
Author: A. Dixit
Author: Melvyn Fuss
Author: Rui Zeng
Author: Turan G. Bali
Author: 
Author: Kose John
Author: Mark Carey