杂志The Financial Review（February 2007 - Vol. 42 Issue 1 Page 1-160）

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The Financial Review（February 2007 - Vol. 42 Issue 1 Page 1-160）

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1.Reconcilable Differences: Momentum Trading by Institutions by Richard W. Sias

A growing literature evaluates the relation between lag returns and demand by institutional investors. Given that lag returns and institutional ownership are directly observable, it is surprising that previous tests yield dramatically different conclusions. This study examines differences across studies and finds that four factors account for these discrepancies: (1) value-weighting versus equal-weighting across stocks, (2) averaging versus aggregating over managers, (3) disagreement in the signs of measures of institutional demand, and (4) correlation between current capitalization and both lag returns and measures of institutional demand. Controlling for these factors, the results across different methods are remarkably uniform.

2.The U.S. Share of Trading Volume in Cross-Listings: Evidence from Canadian Stocks by Sanjiv Sabherwal

I analyze the firm-specific determinants of the U.S. share of trading volume for 126 U.S.-listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States.

3.Climate for Scandal: Corporate Environments that Contribute to Accounting Fraud by Claire E. Crutchley, Marlin R. H. Jensen, Beverly B. Marshall

We examine the governance characteristics, earnings quality, growth rates, dividend policy, and compensation structure of 97 firms recently under investigation by the Securities and Exchange Commission (SEC) for accounting fraud. Our results show that the corporate environment most likely to lead to an accounting scandal manifests significant growth and accounting practices that are already pushing the envelope of earnings smoothing. Firms operating in this environment seem more likely to tip over the edge into fraud if there are fewer outsiders on the audit committee and outside directors appear overcommitted.

4.Market Underreaction to Free Cash Flows from IPOs by Steven X. Zheng

I examine the relation between initial public offering (IPO) long-run stock performance and the amount of cash raised by the firm in the offering. I find that IPOs raising more cash have poorer long-run performance. The result is robust to different measurement methods. The evidence suggests that the market underreacts to free cash flow related agency problems in IPOs. Consistent with this interpretation, I find that IPO long-run performance is more sensitive to the new cash raised in the offering if an IPO firm has lower capital expenditure or higher opening bid-ask spread.

5.CEO Cash and Stock-Based Compensation Changes, Layoff Decisions, and Shareholder Value by Jeffrey T. Brookman, Saeyoung Chang, Craig G. Rennie

The chief executive officers (CEOs) of firms announcing layoffs receive 22.8% more total pay in the subsequent year than other CEOs. The pay increases result almost entirely from increases in stock-based compensation and are found to persist. In addition, layoff announcements are accompanied by shareholder value increases averaging $40 million to $95 million. One-time labor cost savings from layoffs average $65 million. We conclude that CEOs receive pay increases following layoffs as rewards for past decisions and to motivate value-enhancing decisions in the future.

6.Repricing and Executive Turnover by Narayanan Subramanian, Atreya Chakraborty, Shahbaz Sheikh

We examine whether the threat of executive turnover faced by a firm affects its decision to reprice stock options held by its executives. We estimate a model of voluntary turnover among top executives and show that the predicted turnover from this model is positively inclusion of several known determinants of repricing. Our results are consistent with a model in which a tight labor market makes executives hard to replace, forcing firms to reprice stock options when they go underwater.

7.Equity with Warrants in Private Placements by Dalia Marciukaityte, Anita K. Pennathur

We examine private equity with warrant (unit) placements and compare them with private equity placements. Firms making unit placements are smaller, younger, riskier, and characterized by higher information asymmetry than equity-placing firms. Furthermore, unit-placing firms experience good pre-placement stock performance; however, their post-placement performance is poor and worse than that of equity-placing firms. We also find that very few of the placed warrants are in the money at expiration. Our results are consistent with the window of opportunity hypothesis and the theory that warrants are especially desirable to a clientele of overoptimistic investors.

140742.rar (708.68 KB, 需要: 8 个论坛币) 本附件包括：

• CEO Cash and Stock-Based Compensation Changes, Layoff Decisions, and Shareholder.pdf
• Repricing and Executive Turnover.pdf
• Equity with Warrants in Private Placements.pdf
• Reconcilable Differences Momentum Trading by Institutions.pdf
• The U.S. Share of Trading Volume in Cross-Listings Evidence from Canadian Stocks.pdf
• Climate for Scandal Corporate Environments that Contribute to Accounting Fraud.pdf
• Market Underreaction to Free Cash Flows from IPOs.pdf

2007-7-24 14:56:00 上传

杂志The Financial Review（February 2007 - Vol. 42 Issue 1 Page 1-160）
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