nep-cfn New Economics Papers
on Corporate Finance
Issue of 2005‒04‒09
six papers chosen by
Zelia Serrasqueiro
Universidade da Beira Interior

  1. Shareholder value creators in the S&P 500: Year 2004 By Fernandez, Pablo; Villanueva, Alvaro
  2. Sorting in Risk-Aversion and Asset Price Volatility By Helios Herrera
  3. Contracts, Liability Restrictions and Costly Verification By Francesco Squintani
  4. Le programme SBIC : analyse et enseignements By Cécile Carpentier; Jean-Marc Suret
  5. Role and Effects of Credit Information Sharing By Tullio Jappelli; Marco Pagano
  6. Fear and Greed in Financial Markets: A Clinical Study of Day-Traders By Andrew W. Lo; Dmitry V. Repin; Brett N. Steenbarger

  1. By: Fernandez, Pablo (IESE Business School); Villanueva, Alvaro (IESE Business School)
    Abstract: During 2004, 64% of the companies in the S&P 500 created value, while in 2003 the figure was 87%. The market value of the 500 companies was $11.2 trillion in 2004, compared to $10.1 trillion in 2003. The top shareholder value creators in 2004 were Exxon, General Electric, Ebay, Johnson & Johnson and Qualcomm. We define created shareholder value and provide the ranking of created shareholder value for the 500 companies. We also calculate the created shareholder value of the 500 companies during the twelve-year period 1993-2004. General Electric was the top shareholder value creator and AT&T was the top shareholder value destroyer during the twelve-year period. On average, the small market capitalization companies of the S&P were more profitable. Between 1998 and 2004, the volatility of the S&P as a whole fell, but the volatility of its components increased on the average.
    Keywords: shareholder value creation; created shareholder value; equity market value; shareholder value added; shareholder return; required return to equity;
    JEL: G12 G31 M21
    Date: 2005–02–14
  2. By: Helios Herrera
    Date: 2005–04–05
  3. By: Francesco Squintani
    Date: 2005–04–06
  4. By: Cécile Carpentier; Jean-Marc Suret
    Abstract: We analyse the American Small Business Investment Companies (SBIC) program designed to help small and medium sized businesses find venture capital. SBICs are private entities that may be financed by the Small Business Administration under favourable conditions. The success of this program should inspire public policy makers in other countries. Indeed, SBICs have financed numerous traditional and high tech SMEs at a low or zero cost for the government. The rules of government intervention are very similar to those of private financing. The program rests on strong governance, clear rules and stakeholder accountability. The SBA is powerful and the SBICs are stringently governed. The private status of SBICs, their sizeable initial funding, the third party certifying the quality of the project and officers with proven management capacity may explain the success of the program. <P>Nous analysons le programme américain des Small Business Investment Companies (SBIC), destiné à aider les PME à trouver du capital de risque. Les SBICs sont des entités entièrement privées ayant la possibilité de se refinancer dans des conditions favorables auprès de la Small Business Administration (SBA). Ce programme peut être considéré comme un succès et devrait inspirer les décideurs d’autres pays. Les SBICs ont en effet permis des financements nombreux de petites et moyennes entreprises traditionnelles et de haute technologie, à un coût faible ou nul pour le Gouvernement. L’intervention se fait suivant des règles qui sont proches de celles qui prévalent sur le marché privé. Le programme repose sur un système de gouvernance solide, des règles claires et la responsabilisation des acteurs. Le pouvoir de la SBA est important, et la régie interne des SBICs est forte. Le caractère largement privé des SBICs associé à une capitalisation initiale relativement importante, à la présence d’une tierce partie certifiant la qualité du projet, et à la qualité de gestion des dirigeants contribuent également au succès de ce programme.
    Keywords: public policy, small business, financing, SBIC, governance, : politique publique, petites entreprises, financement, SBIC, gouvernance
    Date: 2005–03–01
  5. By: Tullio Jappelli (University of Salerno, CSEF and CEPR); Marco Pagano (Università di Napoli "Federico II", CSEF and CEPR)
    Abstract: Information sharing about borrowers’ characteristics and their indebtedness can have important effects on credit markets activity. First, it improves the banks’ knowledge of applicants’ characteristics and permits a more accurate prediction of their repayment probabilities. Second, it reduces the informational rents that banks could otherwise extract from their customers. Third, it can operate as a borrower discipline device. Finally, it eliminates borrowers’ incentive to become over-indebted by drawing credit simultaneously from many banks without any of them realizing. This chapter provides a brief account of models that capture these four effects of information sharing on credit market performance, as well as of the growing body of empirical studies that have attempted to investigate the various dimensions and effects of credit reporting activity. Understanding the effects of information sharing also helps to shed light on some key issues in the design of a credit information system, such as the relationship between public and private mechanisms, the dosage between black and white information sharing, and the “memory” of the system. Merging the insights from theoretical models with the lessons of experience, one can avoid serious pitfalls in the design of credit information systems.
    Keywords: information sharing, credit markets
    JEL: D82 G21 G28
    Date: 2005–04–01
  6. By: Andrew W. Lo; Dmitry V. Repin; Brett N. Steenbarger
    Abstract: We investigate several possible links between psychological factors and trading performance in a sample of 80 anonymous day-traders. Using daily emotional-state surveys over a five-week period as well as personality inventory surveys, we construct measures of personality traits and emotional states for each subject and correlate these measures with daily normalized profits-and-losses records. We find that subjects whose emotional reaction to monetary gains and losses was more intense on both the positive and negative side exhibited significantly worse trading performance. Psychological traits derived from a standardized personality inventory survey do not reveal any specific %u201Ctrader personality profile%u201D, raising the possibility that trading skills may not necessarily be innate, and that different personality types may be able to perform trading functions equally well after proper instruction and practice.
    JEL: G12
    Date: 2005–04

This nep-cfn issue is ©2005 by Zelia Serrasqueiro. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
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