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Monitoring and corporate disclosure: Evidence from a natural experiment

Irani, Rustom M.; Oesch, David - In: Journal of Financial Economics 109 (2013) 2, pp. 398-418

Using an experimental design that exploits exogenous reductions in coverage resulting from brokerage house mergers, we find that a reduction in coverage causes a deterioration in financial reporting quality. The effect of coverage on disclosure is more pronounced for firms with weak shareholder...

Persistent link: https://www.econbiz.de/10010678708

Trading rules, competition for order flow and market fragmentation

Kwan, Amy; Masulis, Ronald; McInish, Thomas H. - In: Journal of Financial Economics 115 (2015) 2, pp. 330-348

We investigate competition between traditional stock exchanges and new dark trading venues using an important difference in regulatory treatment. Securities and Exchange Commission required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools...

Persistent link: https://www.econbiz.de/10011189257

Counterparty credit risk and the credit default swap market

Arora, Navneet; Gandhi, Priyank; Longstaff, Francis A. - In: Journal of Financial Economics 103 (2012) 2, pp. 280-293

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS...

Persistent link: https://www.econbiz.de/10010571649

A five-factor asset pricing model

Fama, Eugene F.; French, Kenneth R. - In: Journal of Financial Economics 116 (2015) 1, pp. 1-22

A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock … low profitability. The model׳s performance is not sensitive to the way its factors are defined. With the addition of … profitability and investment factors, the value factor of the FF three-factor model becomes redundant for describing average returns …

Persistent link: https://www.econbiz.de/10011263123

Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis

Aharoni, Gil; Grundy, Bruce; Zeng, Qi - In: Journal of Financial Economics 110 (2013) 2, pp. 347-357

Fama and French (2006) use the dividend-discount model to develop the role of expected profitability, expected …

Persistent link: https://www.econbiz.de/10010702366

The other side of value: The gross profitability premium

Novy-Marx, Robert - In: Journal of Financial Economics 108 (2013) 1, pp. 1-28

Profitability, measured by gross profits-to-assets, has roughly the same power as book-to-market predicting the cross … significantly higher valuation ratios. Controlling for profitability also dramatically increases the performance of value strategies … leverage. Controlling for gross profitability explains most earnings related anomalies and a wide range of seemingly unrelated …

Persistent link: https://www.econbiz.de/10010635952

The effect of repatriation tax costs on U.S. multinational investment

Hanlon, Michelle; Lester, Rebecca; Verdi, Rodrigo - In: Journal of Financial Economics 116 (2015) 1, pp. 179-196

This paper investigates whether the U.S. repatriation tax for U.S. multinational corporations affects foreign investment. Our results show that the locked-out cash due to repatriation tax costs is associated with a higher likelihood of foreign (but not domestic) acquisitions. We also find a...

Persistent link: https://www.econbiz.de/10011263120

The disintermediation of financial markets: Direct investing in private equity

Fang, Lily; Ivashina, Victoria; Lerner, Josh - In: Journal of Financial Economics 116 (2015) 1, pp. 160-178

We examine 20 years of direct private equity investments by seven large institutions. These direct investments perform better than public market indices, especially buyout investments and those made in the 1990s. Outperformance by the direct investments, however, relative to the corresponding...

Persistent link: https://www.econbiz.de/10011263122

Structured debt ratings: Evidence on conflicts of interest

Efing, Matthias; Hau, Harald - In: Journal of Financial Economics 116 (2015) 1, pp. 46-60

We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers...

Persistent link: https://www.econbiz.de/10011263124

The JOBS Act and IPO volume: Evidence that disclosure costs affect the IPO decision

Dambra, Michael; Field, Laura Casares; Gustafson, Matthew T. - In: Journal of Financial Economics 116 (2015) 1, pp. 121-143

In April 2012, the Jumpstart Our Business Startups Act (JOBS Act) was enacted to help revitalize the initial public offering (IPO) market, especially for small firms. During the year ending March 2014, IPO volume and the proportion of small firm issuers was the largest since 2000. Controlling...

Persistent link: https://www.econbiz.de/10011263128