[内容介绍]：权威的金融刊物，摘自February 2007 - Vol. 62 Issue 1的文章共500多页，文章的题目和摘要列表如下。

[文章来源]：Journal of Finance

[文件数量]：15篇

[文件大小]：共4.38M

[文件格式]：PDF

文件题目列表：

A Theory of Friendly Boards(177kb)
RENE′ E B. ADAMS and DANIEL FERREIRA?

ABSTRACT
We analyze the consequences of the board’s dual role as advisor as well as monitor of
management. Given this dual role, the CEO faces a trade-off in disclosing information
to the board: If he reveals his information, he receives better advice; however, an
informed board will also monitor him more intensively. Since an independent board
is a tougher monitor, the CEO may be reluctant to share information with it. Thus,
management-friendly boards can be optimal. Using the insights from the model, we
analyze the differences between sole and dual board systems. We highlight several
policy implications of our analysis.

Common Failings: How Corporate Defaults Are Correlated(187kb)
SANJIV R. DAS, DARRELL DUFFIE, NIKUNJ KAPADIA, and LEANDRO SAITA∗

ABSTRACT
We test the doubly stochastic assumption under which firms’ default times are correlated
only as implied by the correlation of factors determining their default intensities.
Using data on U.S. corporations from 1979 to 2004, this assumption is violated
in the presence of contagion or “frailty” (unobservable explanatory variables that
are correlated across firms). Our tests do not depend on the time-series properties
of default intensities. The data do not support the joint hypothesis of well-specified
default intensities and the doubly stochastic assumption. We find some evidence of
default clustering exceeding that implied by the doubly stochastic model with the
given intensities.

Corporate Yield Spreads and Bond Liquidity(164kb)
LONG CHEN, DAVID A. LESMOND, and JASON WEI∗
ABSTRACT
We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity
measures covering over 4,000 corporate bonds and spanning both investment grade
and speculative categories, we find that more illiquid bonds earn higher yield spreads,
and an improvement in liquidity causes a significant reduction in yield spreads. These
results hold after controlling for common bond-specific, firm-specific, and macroeconomic
variables, and are robust to issuers’ fixed effect and potential endogeneity bias.
Our findings justify the concern in the default risk literature that neither the level
nor the dynamic of yield spreads can be fully explained by default risk determinants.

Information Cascades: Evidence from a Field Experiment with Financial Market Professionals(175kb)
JONATHAN E. ALEVY, MICHAEL S. HAIGH, and JOHN A. LIST∗
ABSTRACT
Previous empirical studies of information cascades use either naturally occurring data
or laboratory experiments.We combine attractive elements from each of these lines of
research by observing market professionals from the Chicago Board of Trade (CBOT)
in a controlled environment. Analysis of over 1,500 individual decisions suggests that
CBOT professionals behave differently from our student control group. For instance,
professionals are better able to discern the quality of public signals and their decisions
are not affected by the domain of earnings. These results have implications for market
efficiency and are important in both a positive and normative sense.

Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?(1.4M)
ROBERT JARROW, HAITAO LI, and FENG ZHAO∗
ABSTRACT
Using 3 years of interest rate caps price data, we provide a comprehensive documentation
of volatility smiles in the caps market. To capture the volatility smiles, we develop
a multifactor term structure model with stochastic volatility and jumps that yields a
closed-form formula for cap prices. We show that although a three-factor stochastic
volatility model can price at-the-money caps well, significant negative jumps in interest
rates are needed to capture the smile. The volatility smile contains information
that is not available using only at-the-money caps, and this information is important
for understanding term structure models.

Learning by Observing: Information Spillovers in the Execution and Valuation of Commercial Bank M&As(215kb)
GAYLE DELONG and ROBERT DEYOUNG∗
ABSTRACT
We offer a new explanation for why academic studies typically fail to find value creation
in bank mergers. Our conjectures are predicated on the idea that, until recently,
large bank acquisitions were a new phenomenon, with no best practices history to
inform bank managers or market investors. We hypothesize that merging banks, and
investors pricing bank mergers, learn by observing information that spills over from
previous bank mergers. We find evidence consistent with these conjectures for 216
M&As of large, publicly traded U.S. commercial banks between 1987 and 1999. Our
findings are consistent with semistrong stock market efficiency.

Lower Salaries and No Options? On the Optimal Structure of Executive Pay(245kb)
INGOLF DITTMANN and ERNST MAUG∗
ABSTRACT
We calibrate the standard principal–agent model with constant relative risk aversion
and lognormal stock prices to a sample of 598 U.S. CEOs.We show that this model predicts
that most CEOs should not hold any stock options. Instead, CEOs should have
lower base salaries and receive additional shares in their companies; many would be
required to purchase additional stock in their companies. These contracts would reduce
average compensation costs by 20% while providing the same incentives and the
same utility to CEOs. We conclude that the standard principal–agent model typically
used in the literature cannot rationalize observed contracts.

The Impact of Collateralization on Swap Rates(259kb)
MICHAEL JOHANNES and SURESH SUNDARESAN∗
ABSTRACT
Interest rate swap pricing theory traditionally views swaps as a portfolio of forward
contracts with net swap payments discounted at LIBOR rates. In practice, the use
of marking-to-market and collateralization questions this view as they introduce intermediate
cash flows and alter credit characteristics. We provide a swap valuation
theory under marking-to-market and costly collateral and examine the theory’s empirical
implications.We find evidence consistent with costly collateral using two different
approaches; the first uses single-factor models and Eurodollar futures prices, and the
second uses a formal term structure model and Treasury/swap data.

The Initial Public Offerings of Listed Firms(415kb)
FRANC¸ OIS DERRIEN and AMBRUS KECSKE´ S∗
ABSTRACT
A number of firms in the United Kingdom list without issuing equity and then issue
equity shortly thereafter. We argue that this two-stage offering strategy is less costly
than an initial public offering (IPO) because trading reduces the valuation uncertainty
of these firms before they issue equity. We find that initial returns are 10% to 30%
lower for these firms than for comparable IPOs, and we provide evidence that the
market in the firm’s shares lowers financing costs. We also show that these firms
time the market both when they list and when they issue equity.

The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts(194kb)
CARMELO GIACCOTTO, GERSON M. GOLDBERG,and SHANTARAM P. HEGDE∗
ABSTRACT
Under the common assumption of constant interest rates, we show that penalties for
early termination of a lease are often structured in such a way that the cancellation
option embedded in consumer automotive leases has little value. Furthermore, our
estimates drawn from a sample of three popular car models over 1990 to 2000 indicate
that the stand-alone value of the lease-end purchase option is, on average, about 16%
of the market value of underlying used vehicles, or about $1,462 per contract. Finally,
we examine the sensitivity of our option value estimates to model parameters and
default risk.

Whom You Know Matters: Venture Capital Networks and Investment Performance(340kb)
YAEL V. HOCHBERG, ALEXANDER LJUNGQVIST, and YANG LU∗
ABSTRACT
Many financial markets are characterized by strong relationships and networks,
rather than arm’s-length, spot market transactions.We examine the performance consequences
of this organizational structure in the context of relationships established
when VCs syndicate portfolio company investments. We find that better-networked
VC firms experience significantly better fund performance, as measured by the proportion
of investments that are successfully exited through an IPO or a sale to another
company. Similarly, the portfolio companies of better-networked VCs are significantly
more likely to survive to subsequent financing and eventual exit. We also provide
initial evidence on the evolution of VC networks.

Why Do Firms Issue Equity?(263kb)
AMY DITTMAR and ANJAN THAKOR∗
ABSTRACT
We develop and test a new theory of security issuance that is consistent with the
puzzling stylized fact that firms issue equity when their stock prices are high. The
theory also generates new predictions. Our theory predicts that managers use equity
to finance projects when they believe that investors’ views about project payoffs are
likely to be aligned with theirs, thus maximizing the likelihood of agreement with
investors. Otherwise, they use debt. We find strong empirical support for our theory
and document its incremental explanatory power over other security-issuance theories
such as market timing and time-varying adverse selection.

Why Is Long-Horizon Equity Less Risky?(286kb)
A Duration-Based Explanation
of the Value Premium
MARTIN LETTAU and JESSICA A. WACHTER∗
ABSTRACT
We propose a dynamic risk-based model that captures the value premium. Firms are
modeled as long-lived assets distinguished by the timing of cash flows. The stochastic
discount factor is specified so that shocks to aggregate dividends are priced, but shocks
to the discount rate are not. The model implies that growth firms covary more with the
discount rate than do value firms, which covary more with cash flows. When calibrated
to explain aggregate stock market behavior, the model accounts for the observed value
premium, the high Sharpe ratios on value firms, and the poor performance of the
CAPM.

[此贴子已经被作者于2007-8-23 10:56:53编辑过]