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The Brain Gain of Corporate Boards: Evidence from China 公司董事会的人才增益:来自中国的证据
Pub Date : 2013-12-01 DOI: 10.2139/ssrn.1966996
Mariassunta Giannetti, Guanmin Liao, Xiaoyun Yu
type="main"> We study the impact of directors with foreign experience on firm performance in emerging markets. Using a unique data set from China, we exploit the introduction of policies to attract talented emigrants and increase the supply of individuals with foreign experience in different provinces at different times. We document that performance increases after firms hire directors with foreign experience and identify the channels through which the emigration of talent may lead to a brain gain. Our findings provide evidence on how directors transmit knowledge about management practices and corporate governance to firms in emerging markets.
我们研究具有外国经验的董事对新兴市场公司绩效的影响。利用来自中国的独特数据集,我们利用政策的引入来吸引有才华的移民,并在不同的省份在不同的时间增加具有国外经验的个人的供应。我们的研究表明,在公司聘用具有外国经验的董事并确定人才移民可能带来人才收益的渠道后,业绩会有所提高。我们的研究结果为董事如何向新兴市场公司传播管理实践和公司治理知识提供了证据。
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引用次数: 173
Order Flows and Stock Returns: Compensation for Market Makers with Inventory Concerns 订单流和库存回报:对有库存问题的做市商的补偿
Pub Date : 2013-11-30 DOI: 10.2139/ssrn.1787760
Moonsoo Kang, Bong‐Soo Lee
We investigate whether market makers with inventory concerns are compensated with subsequent monthly returns in the cross-section. We find a significant negative relation between order flows and monthly returns, “the order flow effect,” suggesting that market makers lower prices for stocks with sell order flows and demand a reward in the form of higher expected returns. Further, the order flow effect is stronger for high-volatility or high-volume stocks for which market makers have serious inventory concerns. Funding liquidity of market makers also affects the order flow effect. Finally, our finding is independent of existing regularities and robust to the decimalization.
我们调查是否有库存问题的做市商补偿与随后的月度回报在横截面。我们发现订单流量与月回报之间存在显著的负相关关系,即“订单流量效应”,这表明做市商通过卖出订单流降低股票价格,并要求以更高预期回报的形式获得回报。此外,对于做市商严重关注库存的高波动性或大批量库存,订单流效应更强。做市商的资金流动性也会影响订单流效应。最后,我们的发现是独立于现有的规律和稳健的十进制。
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引用次数: 1
Underwriter Reputation and the Quality of Certification: Evidence from High-Yield Bonds 承销商声誉与认证质量:来自高收益债券的证据
Pub Date : 2013-10-31 DOI: 10.2139/ssrn.2024570
C. Andres, A. Betzer, P. Limbach
This paper provides primary evidence of whether certification via reputable underwriters is beneficial to investors in the corporate bond market. We focus on the high-yield bond market, in which certification of issuer quality is most valuable to investors owing to low liquidity and issuing firms’ high opacity and default risk. We find bonds underwritten by the most reputable underwriters to be associated with significantly higher downgrade and default risk. Investors seem to be aware of this relation, as we further find the private information conveyed via the issuer-reputable underwriter match to have a significantly positive effect on at-issue yield spreads. Our results are consistent with the market-power hypothesis, and contradict the traditional certification hypothesis and underlying reputation mechanism.
本文提供了通过信誉良好的承销商进行认证是否有利于公司债券市场投资者的初步证据。我们关注的是高收益债券市场,在这个市场中,由于低流动性和发行公司的高不透明度和违约风险,发行人质量认证对投资者来说是最有价值的。我们发现,由最有信誉的承销商承销的债券,其降级和违约风险明显更高。投资者似乎意识到了这种关系,因为我们进一步发现,通过发行人-信誉良好的承销商匹配传递的私人信息对发行收益率息差有显著的积极影响。我们的研究结果与市场力量假说一致,而与传统的认证假说和潜在的声誉机制相矛盾。
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引用次数: 35
Earnings Management or Measurement Error? The Effect of External Financing on Unexpected Accruals 盈余管理还是计量错误?外部融资对未计应计项目的影响
Pub Date : 2013-10-14 DOI: 10.2139/ssrn.1572164
Yaowen Shan, Stephen L Taylor, T. Walter
We demonstrate that managers’ “normal” operating decisions associated with large (positive or negative) net external financing activities are likely to lead to significant measurement errors in unexpected accruals. The problem occurs pervasively in samples drawn from different time periods, samples that reflect a wide variety of alleged earnings management stimuli, as well as random samples. Simulation tests show that even at modest levels of net external financing changes, rejection frequencies for the null hypothesis of no earnings management rise dramatically. These results are robust to controls for performance and firm growth. Further analysis suggests that net debt financing is more likely to induce measurement error than equity financing. We find that the use of a matched-firm approach using industry and external financing matches is generally appropriate. These findings highlight the importance of controlling for the effect of external financing on unexpected accruals measures, and also have implications for research testing earnings management and financial reporting quality.
我们证明,管理者的“正常”经营决策与大型(正或负)净外部融资活动相关,可能导致意外应计项目的重大计量误差。这个问题普遍存在于从不同时期抽取的样本中,这些样本反映了各种各样的所谓盈余管理刺激因素,以及随机样本。模拟测试表明,即使在外部融资净额变化不大的情况下,拒绝无盈余管理零假设的频率也会急剧上升。这些结果对业绩和公司增长的控制是稳健的。进一步分析表明,净债务融资比股权融资更容易产生计量误差。我们发现,利用行业和外部融资匹配的匹配公司方法通常是合适的。这些发现强调了控制外部融资对意外应计项目措施的影响的重要性,也对盈余管理和财务报告质量的研究测试具有启示意义。
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引用次数: 11
Fit, Style, and the Portability of Managerial Talent 管理人才的适合性、风格和可移植性
Pub Date : 2013-09-19 DOI: 10.2139/ssrn.1960559
Yuk Ying Chang, S. Dasgupta, J. Gan
How portable are top management skills? Should (and do) firms care about firm-manager fit when they hire new managers? How is fit related to managerial 'style'? We hypothesize that if firms and managers are matched with each other on the basis of fit on multiple dimensions, then firms that employ the same manager at adjacent points of time should have similar characteristics. We find strong evidence that firms that employ the same manager sort on a number of characteristics. Our empirical design ensures that these results are not explained by managerial style, or by moves among firms of similar size, or within the same industry. We construct a measure for the quality of fit. We find that a worse fit leads to less positive stock price reaction to the announcement of managerial appointments, lower managerial pay, and shorter tenure for the manager, suggesting that management skills do not necessarily transfer from one firm environment to another. We also find evidence that when the firm and the manager do not fit well, managers influence several firm-specific variables, consistent with managerial style.
高层管理技能的可移植性如何?公司在招聘新经理时是否应该考虑公司与经理的契合度?适合度与管理“风格”有何关系?我们假设,如果企业和管理者在多维度上相互匹配,那么在相邻时间点雇用同一管理者的企业应该具有相似的特征。我们发现强有力的证据表明,雇用同一位经理的公司在许多方面都有不同的特点。我们的实证设计确保这些结果不能用管理风格、规模相似的公司之间的变动或同一行业内的变动来解释。我们构建了一个测量拟合质量的方法。我们发现,较差的契合度导致股价对管理层任命公告的反应不积极,管理层薪酬较低,经理任期较短,这表明管理技能不一定会从一个公司环境转移到另一个公司环境。我们还发现,当企业和管理者不太契合时,管理者会影响一些企业特有的变量,这与管理风格是一致的。
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引用次数: 6
Can Investor-Paid Credit Rating Agencies Improve the Information Quality of Issuer-Paid Rating Agencies? 投资者付费信用评级机构能否提高发行人付费评级机构的信息质量?
Pub Date : 2013-09-16 DOI: 10.2139/ssrn.1981516
Han Xia
This paper examines how the information quality of ratings from an issuer-paid rating agency (Standard and Poor's) responds to the entry of an investor-paid rating agency, the Egan-Jones Rating Company (EJR). By comparing S&P's ratings quality before and after EJR initiates coverage of each firm, I find a significant improvement in S&P's ratings quality following EJR's coverage initiation. S&P's ratings become more responsive to credit risk and its rating changes incorporate higher information content. These results differ from the existing literature documenting a deterioration in the incumbents' ratings quality following the entry of a third issuer-paid agency. I further show that the issuer-paid agency seems to improve the ratings quality because EJR's coverage has elevated its reputational concerns.
本文考察了发行人付费评级机构(标准普尔)的评级信息质量对投资者付费评级机构伊根-琼斯评级公司(EJR)的进入的反应。通过比较EJR开始覆盖每家公司之前和之后的标准普尔评级质量,我发现在EJR开始覆盖之后,标准普尔的评级质量有了显著改善。标准普尔的评级对信用风险的反应更加灵敏,其评级变化纳入了更多的信息内容。这些结果不同于现有文献中记录的第三家发行人付费机构进入后现有评级机构评级质量恶化的情况。我进一步表明,发行人付费的机构似乎提高了评级质量,因为EJR的报道提高了其声誉问题。
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引用次数: 190
Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings 政府债券基金经理的择时能力:来自投资组合的证据
Pub Date : 2013-09-01 DOI: 10.2139/ssrn.1297403
Jing Huang, Y. Wang
This study examines the ability of government bond fund managers to time the bond market, based on their monthly or quarterly holdings of Treasury securities during the 1997--2006 period. We find that, on average, government bond funds exhibit significantly positive timing ability at the one-month horizon under an unconditional holdings-based timing measure. However, our results indicate that managers' actions based on public information can explain the documented positive timing ability---namely, the average government bond fund has neutral or even slightly negative conditional market timing ability once public information is controlled for. Nonetheless, we find evidence that fund managers specializing in Treasury securities can better interpret public information than general government bond fund managers do. This paper was accepted by Wei Xiong, finance.
本研究以1997- 2006年期间政府债券基金经理每月或每季度持有的美国国债为基础,考察其把握债券市场时机的能力。我们发现,平均而言,在无条件持有的时间尺度下,政府债券基金在一个月的时间尺度上表现出显著的正择时能力。然而,我们的研究结果表明,管理者基于公开信息的行为可以解释文献记载的正择时能力,即在控制了公开信息后,平均政府债券基金的有条件市场择时能力为中性甚至略负。尽管如此,我们发现有证据表明,专门从事国债的基金经理比一般的政府债券基金经理能更好地解释公共信息。本文被财经魏雄录用。
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引用次数: 25
The Long-Run Role of the Media: Evidence from Initial Public Offerings 媒体的长期作用:来自首次公开募股的证据
Pub Date : 2013-09-01 DOI: 10.2139/ssrn.1737544
L. Liu, Ann E. Sherman, Yong Zhang
The unique characteristics of the U.S. initial public offering IPO process, particularly the strict quiet period regulations, allow us to explore the effects of media coverage when the coverage does not contain genuine news i.e., hard information that was previously unknown. We show that a simple, objective measure of pre-IPO media coverage is positively related to the stock's long-term value, liquidity, analyst coverage, and institutional investor ownership. Our results are robust to additional controls for size, to using abnormal or excess media, and to an instrumental variable approach. We also find that pre-IPO media coverage is negatively related to future expected returns, measured by the implied cost of capital. In all, we find a long-term role for media coverage, consistent with Merton's attention or investor recognition hypothesis. This paper was accepted by Brad Barber, finance.
美国首次公开募股(IPO)过程的独特特点,特别是严格的静默期规定,使我们能够探索媒体报道在不包含真正新闻(即以前不知道的硬信息)时的效果。我们表明,一个简单、客观的衡量ipo前媒体报道的指标与股票的长期价值、流动性、分析师报道和机构投资者所有权呈正相关。我们的结果对于额外的大小控制,使用异常或过量的介质以及工具变量方法都是稳健的。我们还发现,以隐含资本成本衡量,ipo前媒体报道与未来预期回报呈负相关。总之,我们发现媒体报道具有长期作用,这与默顿的注意力或投资者认可假说相一致。这篇论文被财经的布拉德·巴伯接受了。
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引用次数: 166
The Disciplinary Effects of Non-Debt Liabilities: Evidence from Asbestos Litigation 非债务责任的惩戒效应:来自石棉诉讼的证据
Pub Date : 2013-08-15 DOI: 10.2139/ssrn.1571885
Jérôme P. Taillard
I study firms with past asbestos ties that suffer from significant increases in legal liabilities after a U.S. Supreme Court ruling in 1999. This event provides a natural experiment setting to estimate the indirect effects of financial distress on real activities. While direct litigation and bankruptcy costs are significant, value computations and clinical evidence at the operational level show that defendant firms suffer only minor indirect costs of financial distress. Furthermore, these firms actively restructure and refocus on core operations during distress. Overall, my results provide support for potentially significant disciplinary effects of non-debt liabilities.
我研究的是在1999年美国最高法院的一项裁决后,过去与石棉有关联的公司的法律责任大幅增加。这一事件提供了一个自然的实验环境来估计财务困境对实际活动的间接影响。虽然直接诉讼和破产成本是显著的,但在运营层面的价值计算和临床证据表明,被告公司只遭受轻微的财务困境的间接成本。此外,这些公司在困境中积极重组并重新关注核心业务。总的来说,我的研究结果为非债务负债的潜在重大纪律效应提供了支持。
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引用次数: 5
Common Errors: How to (and Not to) Control for Unobserved Heterogeneity 常见错误:如何(或不)控制未观察到的异质性
Pub Date : 2013-08-03 DOI: 10.2139/ssrn.2023868
Todd A. Gormley, David A. Matsa
Controlling for unobserved heterogeneity (or "common errors"), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., "industry-adjusting") and adding the mean of the group's dependent variable as a control. We show that these methods produce inconsistent estimates and can distort inference. In contrast, the fixed effects estimator is consistent and should be used instead. We also explain how to estimate the fixed effects model when traditional methods are computationally infeasible.
控制未观察到的异质性(或“常见错误”),如特定行业的冲击,是实证研究的基本挑战。本文讨论了在公司融资和资产定价研究中广泛使用的两种方法的局限性:相对于组(例如,“行业调整”)贬低因变量,并添加组的因变量的平均值作为控制。我们发现这些方法会产生不一致的估计,并且会扭曲推理。相反,固定效应估计器是一致的,应该使用它来代替。我们还解释了当传统方法在计算上不可行时如何估计固定效应模型。
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引用次数: 852
期刊
American Finance Association Meetings (AFA)
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