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CORPORATE FINANCE Handbook of corporate finance empirical corporate finance.pdf
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目录：
CONTENTS OF VOLUME 1
Introduction to the Series v
Contents of the Handbook vii
Preface: Empirical Corporate Finance ix
PART 1: ECONOMETRIC ISSUES AND METHODOLOGICAL TRENDS
Chapter 1
Econometrics of Event Studies
S.P. KOTHARI and JEROLD B. WARNER 3
Abstract 4
Keywords 4
1. Introduction and background 5
2. The event study literature: basic facts 6
2.1. The stock and flow of event studies 6
2.2. Changes in event study methods: the big picture 8
3. Characterizing event study methods 8
3.1. An event study: the model 8
3.2. Statistical and economic hypotheses 9
3.3. Sampling distributions of test statistics 10
3.4. Criteria for “reliable” event study tests 12
3.5. Determining specification and power 12
3.6. A quick summary of our knowledge 14
3.7. Cross-sectional tests 19
4. Long-horizon event studies 20
4.1. Background 20
4.2. Risk adjustment and expected returns 21
4.3. Approaches to abnormal performance measurement 23
4.4. Significance tests for BHAR and Jensen-alpha measures 26
References 32
Chapter 2
Self-Selection Models in Corporate Finance
KAI LI and NAGPURNANAND R. PRABHALA 37
Abstract 39
Keywords 39
xix
xx Contents of Volume 1
Introduction 40
I. MODELING SELF-SELECTION 41
1. Self-selection: The statistical issue 42
2. The baseline Heckman selection model 42
2.1. The econometric model 42
2.2. Self-selection and private information 43
2.3. Specification issues 45
3. Extensions 47
3.1. Switching regressions 47
3.2. Simultaneity in self-selection models 49
4. Matching models and self-selection 51
4.1. Treatment effects 52
4.2. Treatment effects from selection models 52
4.3. Treatment effects from matching models 53
5. Panel data with fixed effects 56
6. Bayesian self-selection models 57
6.1. Bayesian methods 57
6.2. Bayesian methods for selection models 58
II. EMPIRICAL APPLICATIONS 59
7. Event studies 59
7.1. Conditional announcement effects: Acharya (1988) 59
7.2. Two announcements on the same date: Nayak and Prabhala (2001) 60
7.3. Takeovers: Eckbo, Maksimovic and Williams (1990) 62
7.4. Takeover deterrence: Eckbo (1992) 63
8. The pricing of public debt offerings 64
8.1. Bank underwritings and the Glass–Steagall Act: Puri (1996) 64
8.2. Underwriting syndicate structure: Song (2004) 65
8.3. Underwriter reputation: Fang (2005) 67
8.4. Debt covenants: Goyal (2005) 67
8.5. Discussion 68
9. Other investment banking applications 68
9.1. Underwriter compensation in IPOs: Dunbar (1995) 68
9.2. Analyst coverage: Ljungqvist, Marston and Wilhelm (2006) 70
10. Diversification discount 71
10.1. Unobservables and the diversification discount: Campa and Kedia (2002) 71
10.2. Observables and the discount: Villalonga (2004) 73
10.3. Refocusing and the discount: Çolak and Whited (2005) 74
10.4. Discussion 75
11. Other applications of selection models 75
11.1. Accounting for R&D: Shehata (1991) 75
11.2. Bankruptcy costs: Bris, Welch and Zhu (2006) 76
11.3. Family ownership and value: Villalonga and Amit (2006) 77
12. Other applications of matching methods 78
Contents of Volume 1 xxi
12.1. Bank debt versus bonds: Bharath (2004) 78
12.2. Matching and long-run performance: Cheng (2003), Li and Zhao (2006) 79
13. Bayesian methods 80
13.1. Matching: Sørensen (2005) 80
13.2. Switching regressions: Li and McNally (2004), Scruggs (2006) 81
14. Conclusions 83
References 83
Chapter 3
Auctions in Corporate Finance
SUDIPTO DASGUPTA and ROBERT G. HANSEN 87
Abstract 88
Keywords 88
1. Introduction 89
2. The most basic theory: Independent private values 90
2.1. Initial assumptions 90
2.2. First-price sealed-bid auctions 91
2.3. Open and second-price sealed-bid auctions 94
2.4. Revenue equivalence 96
2.5. Reserve prices 97
2.6. Optimal selling mechanisms 99
2.7. Interpreting the optimal auction: The marginal revenue view 102
3. Common-value auctions 103
3.1. Common value assumptions 103
3.2. Optimal bidding with a common value 104
3.3. Milgrom and Weber’s (1982a, 1982b) generalized model 104
3.4. Limitations of the common-value and general symmetric auctions 108
4. Applications of auction theory to corporate finance 109
4.1. Introduction 109
4.2. Applications to the market for corporate control 109
4.3. Means-of-payment 118
4.4. Toeholds 119
4.5. Bidder heterogeneity and discrimination in takeover auctions 123
4.6. Merger waves 126
4.7. Auctions in bankruptcy 129
4.8. Share repurchases 131
4.9. Auction aspects of initial public offerings (IPOs) 132
4.10. The spectrum auctions and the role of debt in auctions 136
4.11. Advanced econometrics of auction data 137
5. Conclusion 138
References 140
xxii Contents of Volume 1
Chapter 4
Behavioral Corporate Finance
MALCOLM BAKER, RICHARD S. RUBACK and JEFFREY WURGLER 145
Abstract 146
Keywords 146
1. Introduction 147
2. The irrational investors approach 148
2.1. Theoretical framework 149
2.2. Empirical challenges 153
2.3. Investment policy 155
2.4. Financial policy 158
2.5. Other corporate decisions 164
3. The irrational managers approach 168
3.1. Theoretical framework 169
3.2. Empirical challenges 171
3.3. Investment policy 172
3.4. Financial policy 174
3.5. Other behavioral patterns 175
4. Conclusion 177
References 178
PART 2: BANKING, PUBLIC OFFERINGS, AND PRIVATE SOURCES OF
CAPITAL
Chapter 5
Banks in Capital Markets
STEVEN DRUCKER and MANJU PURI 189
Abstract 190
Keywords 190
1. Introduction 191
2. Commercial banks as underwriters: Theoretical literature 192
3. Empirical evidence on conflicts of interest 195
3.1. Before the 1933 Glass–Steagall Act 196
3.2. The late 1980s and beyond 200
3.3. Mitigating conflicts of interest: Organizational structure and syndicates 203
3.4. Conflicts of interest from equity holdings: Evidence from venture capital 205
4. Empirical evidence on competition between commercial and investment banks 207
4.1. Underwriting fees 207
4.2. Underwriter selection 209
4.3. Can investment banks survive? 210
5. International evidence 211
5.1. Japan 212
5.2. Canada 213
Contents of Volume 1 xxiii
5.3. Israel 214
6. The indirect role of commercial banks on capital markets 214
6.1. Market reaction to loan announcements, renewals, and sales 216
6.2. Non underwriter-bank loans and public security pricing 220
7. Extensions 221
7.1. Banks as equity holders 221
7.2. Beyond screening and monitoring 223
7.3. Loan sales 223
7.4. Bank organizational form 225
7.5. Bank-based vs. market-based economies 226
8. Concluding remarks 226
References 227
Chapter 6
Security Offerings
B. ESPEN ECKBO, RONALD W. MASULIS and ØYVIND NORLI 233
Abstract 235
Keywords 235
1. Introduction 236
2. The security offering process 238
2.1. U.S. securities regulations 239
2.2. Alternative flotation methods 243
2.3. Aggregate issuance activity, U.S. 1980–2003 251
3. Flotation costs 261
3.1. Total flotation costs 262
3.2. Underwriter compensation 265
3.3. Underpricing of SEOs 272
3.4. Dependence between underpricing and underwriter spreads 279
3.5. Offering delays and withdrawals 282
3.6. Underwriter competition 282
3.7. Rights and standby offerings 286
3.8. Shelf registered offerings 286
3.9. Over-allotment options, warrants and other direct expenses 287
3.10. Market microstructure effects 289
3.11. Miscellaneous offerings 292
3.12. Conflicts of interest in the security offering process 296
4. The flotation method choice 298
4.1. The paradoxical decline in the use of rights 298
4.2. Adverse selection and current shareholder takeup 304
4.3. Predicting the market reaction to issue announcements 308
4.4. Evidence on issue announcement returns 314
4.5. Implications of the announcement-return evidence 324
4.6. Signaling and the rights offer discount 328
xxiv Contents of Volume 1
5. Security offerings and market timing 330
5.1. Timing theories with rational market pricing 330
5.2. Timing theories with non-rational market pricing 336
5.3. Evidence on long-run post-issue stock returns 339
5.4. Robustness issues 350
6. Conclusions and issues for future research 355
References 361
Chapter 7
IPO Underpricing
ALEXANDER LJUNGQVIST 375
Abstract 376
Keywords 377
1. Introduction 378
2. Evidence of underpricing 381
3. Asymmetric information models 384
3.1. The winner’s curse 384
3.2. Information revelation theories 389
3.3. Principal-agent models 396
3.4. Underpricing as a signal of firm quality 400
4. Institutional explanations 402
4.1. Legal liability 402
4.2. Price stabilization 405
4.3. Tax arguments 408
5. Ownership and control 408
5.1. Underpricing as a means to retain control 409
5.2. Underpricing as a means to reduce agency costs 411
6. Behavioral explanations 412
6.1. Cascades 412
6.2. Investor sentiment 414
6.3. Prospect theory and mental accounting 416
7. Concluding remarks 417
References 418
Chapter 8
Conglomerate Firms and Internal Capital Markets
VOJISLAV MAKSIMOVIC and GORDON PHILLIPS 423
Abstract 424
Keywords 424
1. Introduction 425
2. The conglomerate discount 426
2.1. Documenting the discount: Early research 426
2.2. Initial caveats: The data 430
Contents of Volume 1 xxv
2.3. Self-selection and the endogeneity of the decision to become a conglomerate 433
3. Theory explaining the conglomerate discount and organizational form 436
3.1. Efficient internal capital markets 438
3.2. Conglomerates and organizational competencies 439
3.3. Diversification and the failure of corporate governance 439
3.4. Diversification and the power within the firm 441
3.5. Neoclassical modelof conglomerates and resource allocation 443
4. Investment decisions of conglomerate firms 450
4.1. Investment–cash flow sensitivity 450
4.2. Industry studies 454
4.3. Efficient internal capital markets 456
4.4. Bargaining power within the firm and differential investment opportunities 458
4.5. Investment under a profit—maximizing neoclassical model 461
4.6. Mergers and acquisitions, divestitures and spinoffs 466
5. Conclusions: What have we learned? 471
A.1. Shocks and growth in a single industry 472
A.2. Cross-segment effects and the growth of conglomerates 475
References 477
Chapter 9
Venture Capital
PAUL GOMPERS 481
Abstract 482
Keywords 482
1. Introduction 483
2. The development of the venture capital industry 484
3. The venture capital investment process 490
3.1. Exiting venture capital investments 499
4. Venture investing and innovation 503
5. What we don’t know about venture capital 505
5.1. Understanding risk and return 505
5.2. The internationalization of venture capital 506
References 507
Author Index 511
Subject Index 527
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