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Does joining the S&P 500 index hurt firms?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
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Piecewise continuous cumulative prospect theory and behavioral financial engineering
Gürtler, Marc; Stolpe, Julia - 2011 - Last revised: February 01, 2012
We extend the continuous Cumulative Prospect Theory (CPT) by considering piecewise con-tinuous distributions with a … Theory (PT), CPT, and expected utility theory to a set of different real-life certificates with piecewise continuous and … discrete distributions in order to analyze whether there are any significant differences between the theories, and which theory …
Persistent link: https://www.econbiz.de/10009487573
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A corporate financing-based asset pricing model
Steri, Roberto - 2018
I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...
Persistent link: https://www.econbiz.de/10011900221
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Do analysts' preferences affect corporate policies?
Degeorge, François; Derrien, François; Kecskés, Ambrus; … - 2013
Equity research analysts tend to cover firms about which they have favorable views. We exploit this tendency to infer analysts' preferences for corporate policies from their coverage decisions. We then use exogenous analyst disappearances to examine the effect of these preferences on corporate...
Persistent link: https://www.econbiz.de/10009750620
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Does Greater Public Scrutiny Hurt a Firm's Performance?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2023
Public attention to a firm may provide valuable monitoring, but it may also have a dark side by constraining management’s decisions and distracting it. We use inclusion in the S&P 500 index as a positive shock to public attention. Media coverage, Google searches, SEC downloads, SEC comment...
Persistent link: https://www.econbiz.de/10014254992
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Corporate policies with permanent and transitory shocks
Décamps, Jean-Paul; Gryglewicz, Sebastian; Morellec, Erwan - 2016
We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. We show that permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate policies and use the model to...
Persistent link: https://www.econbiz.de/10011519080
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Transitory versus permanent shocks : explaining corporate savings and investment
Gryglewicz, Sebastian; Mancini, Loriano; Morellec, Erwan; … - 2018
Theory has recently shown that corporate policies should depend on firms' exposure to short- and long-lived cash flow … by theory, we find that the estimated parameters are strongly related to corporate liquidity and financing choices, that …
Persistent link: https://www.econbiz.de/10011877652
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Modeling Managers As EPS Maximizers
Ben-David, Itzhak; Chinco, Alex - 2023
Textbook theory assumes that firm managers maximize the net present value of future cash flows. But when you ask them …
Persistent link: https://www.econbiz.de/10014351328
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Keeping up with the Joneses and the real effects of S&P 500 inclusion
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2021
Firms added to the S&P 500 index join a prestigious and exclusive club. They want to fit in the club, which creates a “keeping up with the Joneses” effect. Firms pay more attention to their index peers after inclusion and their investment, external financing, and payouts comove more with...
Persistent link: https://www.econbiz.de/10012584272
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Asset prices and liquidity with market power and non-Gaussian payoffs
Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2020
We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...
Persistent link: https://www.econbiz.de/10012419350