Agency theories predict that the value of corporate cash holdings is less in countries with poor investor protection because of the greater ability of controlling shareholders to extract private ...benefits from cash holdings in such countries. Using various specifications of the valuation regressions of Fama and French (1998), we find that the relation between cash holdings and firm value is much weaker in countries with poor investor protection than in other countries. In further support of the importance of agency theories, the relation between dividends and firm value is weaker in countries with stronger investor protection.
Market Liquidity and Trading Activity Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar
The Journal of finance (New York),
April 2001, Letnik:
56, Številka:
2
Journal Article
Recenzirano
Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an ...extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.
Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy ...orders less sell orders, on the New York Stock Exchange. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy
or sell orders, reduce liquidity. Market-wide returns are strongly affected by contemporaneous and lagged order imbalances. Market returns reverse themselves after high-negative-imbalance, large-negative-return days. Even after controlling for aggregate volume and liquidity, market returns are affected by order imbalance.
This article provides evidence that financial development impacts growth by reducing financing constraints that would otherwise distort efficient allocation of investment. The financing constraints ...are inferred from the investment Euler equation by assuming that the firm's stochastic discount factor is a function of the firm's financial position (specifically, the stock of liquid assets). The magnitude of the changes in the cost of capital is twice as large in a country with a low level of financial development as in a country with an average level of financial development. The size effect, business cycles, and legal environment effects are also considered.
We analyze short and long-term effects of worker displacement. Our sample consists of male workers displaced from Norwegian manufacturing plants. We find that displacement increases the probability ...of leaving the labor force by 31%. The drop-out rate from the labor force is particularly high in the first years following displacement. The average earnings effects for those who remain in the labor force are moderate, a 3% loss relative to non-displaced workers after seven years. Splitting displaced workers on within-and between-firm movers, we find that the estimated earnings loss is entirely driven by between-firm movers who experience a 3.6% loss. Transfers to other plants within multi-plant firms upon displacement are quite common. Our results support the view that human capital is partly firm specific and partly industry specific. We find no evidence suggesting that human capital is plant specific.
The Impact of Trades on Daily Volatility Avramov, Doron; Chordia, Tarun; Goyal, Amit
The Review of financial studies,
12/2006, Letnik:
19, Številka:
4
Journal Article
Recenzirano
This article proposes a trading-based explanation for the asymmetric effect in daily volatility of individual stock returns. Previous studies propose two major hypotheses for this phenomenon: ...leverage effect and time-varying expected returns. However, leverage has no impact on asymmetric volatility at the daily frequency and, moreover, we observe asymmetric volatility for stocks with no leverage. Also, expected returns may vary with the business cycle, that is, at a lower than daily frequency. Trading activity of contrarian and herding investors has a robust effect on the relationship between daily volatility and lagged return. Consistent with the predictions of the rational expectation models, the non-informational liquidity-driven (herding) trades increase volatility following stock price declines, and the informed (contrarian) trades reduce volatility following stock price increases. The results are robust to different measures of volatility and trading activity.
This paper provides new evidence that fiscal decentralization contributes to economic growth, in contrast to previous studies that have denied such a contribution. Our new state-level data for the ...United States enable us to estimate the effect of fiscal decentralization more objectively than previously, because the data set exhibits little cultural, historical, and institutional variation. We also provide the finding that the definition of fiscal decentralization is important in relation to the effect of fiscal decentralization on economic growth.
When Is Bad News Really Bad News? Conrad, Jennifer; Cornell, Bradford; Landsman, Wayne R.
The Journal of finance (New York),
December 2002, Letnik:
57, Številka:
6
Journal Article
Recenzirano
Odprti dostop
We examine whether the price response to bad and good earnings shocks changes as the relative level of the market changes. The study is based on a complete sample of annual earnings announcements ...during the period 1988 to 1998. The relative level of the market is based on the difference between the current market P/E and the average market P/E over the prior 12 months. We find that the stock price response to negative earnings surprises increases as the relative level of the market rises. Furthermore, the difference between bad news and good news earnings response coefficients rises with the market.
By using a sample of 793 inventors drawn from the PatVal-EU dataset, this paper explores three aspects of patent production at the individual inventor level: (1) the number of EPO patents that the ...inventors produce; (2) the average value of their inventions; (3) the production of the most valuable patents. By jointly estimating the three equations we find that the inventors’ level of education, employment in a large firm, and involvement in large-scale research projects positively correlate with
quantity. Yet, apart from the size of the research project, none of these factors
directly influence the expected
value of the inventions. They do, however, have an
indirect influence, as we find that the number of patents explains the probability of producing a technological hit (the maximum value). Also, there is no regression to the mean in the invention process at an individual level, as the number of inventions that an inventor produces is not correlated with the average value.
How Effective are Capital Controls? Edwards, Sebastian
The Journal of economic perspectives,
10/1999, Letnik:
13, Številka:
4
Journal Article
Recenzirano
Odprti dostop
A number of authors have recently argued that, in order to avoid financial instability, emerging countries should rely on capital controls. Two type of controls have been considered: controls on ...capital outflows, and controls on capital inflows. In this paper I review the historical evidence on the effectiveness of these two type of controls. I argue that controls on outflows have been ineffective. They are circumvented and breed corruption. I also analyze Chile's recent experience with controls on inflows, and I argue that their effectiveness has been exaggerated.
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