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on Corporate Finance |
| By: | Fred Ramb; Markus Reitzig |
| Abstract: | We originally investigate the comparative usefulness of patent data as a source of investor information depending on the market cycle (bull/bear market). Based on comprehensive data for firms listed on German exchanges between 1997 and 2002, we demonstrate that patent data contain complementary explanatory power to accounting data irrespective of the standard used to prepare the financial statement (German GAAP, IAS and US GAAP). Moreover, we provide original evidence that only patent data are able to provide plausible investor information in both bull-market and bear-market periods, whereas accounting information overvalues intangible assets in bull markets and undervalues them in bears. |
| Keywords: | Investor information; market value; patents |
| JEL: | D82 G14 M41 K11 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:aal:abbswp:05-15&r=cfn |
| By: | Gérard Charreaux (Université de Bourgogne); Alain Schatt (Université de Strasbourg 3) |
| Abstract: | (VF)Cet article propose un panorama de la recherche en finance effectuée par les gestionnaires français. Il met en évidence, d’une part, les auteurs les plus productifs, d’autre part, les travaux les plus influents. Par ailleurs, il fournit des indications sur l’influence de certaines revues françaises publiant des articles de finance. Cette recherche est notamment fondée sur le recensement des articles publiés en finance dans les cinq revues académiques « majeures » de gestion françaises (Banque & Marchés;Finance;Finance Contrôle Stratégie;Revue Française de Gestion;Sciences de Gestion/Economies et Sociétés), au cours des dix dernières années (1994-2003), ainsi que sur les travaux qu’ils citent.(VA)This article draws a panorama of financial research carried out by French researchers in management science. It highlights, on the one hand, the most productive authors, on the other hand, the most influential work. In addition, it provides indications on the influence of the main French management reviews that publish articles in finance. This research is, in particular, based on the inventory of the scientific articles in finance published in the five French main academic reviews in management (Banque & Marchés ; Finance ; Finance Contrôle Stratégie ; Revue Française de Gestion ; Sciences de Gestion/Economies et Sociétés), over the ten last years (1994-2003), as on the academic references they use. |
| Keywords: | finance;recherche;publications;auteurs;research;authors |
| JEL: | G30 |
| Date: | 2005–09 |
| URL: | http://d.repec.org/n?u=RePEc:dij:wpfarg:1051001&r=cfn |
| By: | Heitor Almeida; Thomas Philippon |
| Abstract: | In this paper we argue that risk-adjustment matters for the valuation of financial distress costs, since financial distress is more likely to happen in bad times. Systematic distress risk implies that the risk-adjusted probability of financial distress is larger than the historical probability. Alternatively, the correct valuation of distress costs should use a discount rate that is lower than the risk free rate. We derive a formula for the valuation of distress costs, and propose two strategies to implement it. The first strategy uses corporate bond spreads to derive risk-adjusted probabilities of financial distress. The second strategy estimates the risk adjustment directly from historical data on distress probabilities, using several established asset pricing models. In both cases, we find that exposure to systematic risk increases the NPV of financial distress costs. In addition, the magnitude of the risk-adjustment can be very large, suggesting that a valuation of distress costs that ignores systematic risk significantly underestimates their true present value. Finally, we show that marginal distress costs computed using our new formula can be large enough to balance the marginal tax benefits of debt derived by Graham (2000), and we conclude that systematic distress risk can help explain why firms appear rather conservative in their use of debt. |
| JEL: | G31 |
| Date: | 2005–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11685&r=cfn |
| By: | Alan J. Auerbach |
| Abstract: | This paper reviews what we know from economic theory and evidence about who bears the burden of the corporate income tax. Among the lessons from the recent literature are: 1. For a variety of reasons, shareholders may bear a certain portion of the corporate tax burden. In the short run, they may be unable to shift taxes on corporate capital. Even in the long run, they may be unable to shift taxes attributable to a discount on "old" capital, taxes on rents, or taxes that simply reduce the advantages of corporate ownership. Thus, the distribution of share ownership remains empirically quite relevant to corporate tax incidence analysis, though attributing ownership is itself a challenging exercise. 2. One-dimensional incidence analysis -- distributing the corporate tax burden over a representative cross-section of the population -- can be relatively uninformative about who bears the corporate tax burden, because it misses the element timing. 3. It is more meaningful to analyze the incidence of corporate tax changes than of the corporate tax in its entirety, because different components of the tax have different incidence and incidence relates to the path of the economy over time, not just in a single year. |
| JEL: | H22 H25 |
| Date: | 2005–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11686&r=cfn |
| By: | Yoshiro Miwa (Faculty of Economics, University of Tokyo); J. Mark Ramseyer (Harvard University) |
| Abstract: | Firms in modern developed economies can choose to borrow from banks or from trade partners. Using first-difference and difference-in-differences regressions on Japanese manufacturing data, we explore the way they make that choice. Whether small or large, they do borrow from their trade partners heavily, and apparently at implicit rates that track the explicit rates banks would charge them. Nonetheless, they do not treat bank loans and trade credit interchangeably. Disproportionately, they borrow from banks when they anticipate needing money for relatively long periods, and turn to trade partners when they face short-term exigencies they did not expect. This contrast in the term structures of bank loans and trade credit follows from the fundamentally different way bankers and trade partners reduce the default risks they face. Because bankers seldom know their borrowers' industries first-hand, they rely on guarantees and security interests. Because trade partners know those industries well, they instead monitor their borrowers closely. Because the costs to creating security interests are heavily front-loaded, bankers focus on long-term debt. Because the costs of monitoring debtors are on-going, trade creditors do not. Despite the enormous theoretical literature on bank monitoring, banks apparently monitor very little. |
| Date: | 2005–09 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2005cf381&r=cfn |
| By: | DÉCAMPS, Jean-Paul; VILLENEUVE, Stéphane |
| JEL: | G11 C61 G35 |
| Date: | 2005–06 |
| URL: | http://d.repec.org/n?u=RePEc:ide:wpaper:4748&r=cfn |
| By: | Prasad Bidarkota (Department of Economics, Florida International University); J. Huston McCulloch (Department of Economics, Ohio State University) |
| Abstract: | We develop a framework in which information about firm value is noisily observed. Investors are then faced with a signal extraction problem. Solving this would enable them to probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the innovations driving the fundamental value of the firm and the noise that obscures this fundamental value in observed data come from non-Gaussian thick-tailed probability distributions, then the implied stock returns could exhibit volatility clustering. We demonstrate the validity of this effect with a simulation study. |
| Keywords: | stock returns, volatility clusters, GARCH processes, signal extraction, thick-tailed distributions, simulations |
| JEL: | C22 E31 C53 |
| Date: | 2003–11 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:0304&r=cfn |
| By: | Prasad Bidarkota (Department of Economics, Florida International University) |
| Abstract: | We investigate the economic importance of modeling non-linearities in the dynamics of exogenous processes on the implied moments of endogenous variables in the context of the consumption-based asset pricing model. For this purpose, we model the endowment process alternatively as a linear autoregression and as a non-linear threshold autoregression. The asset pricing model with non-linear endowment is solved using quadrature techniques. A comparison of the moments of the model-implied rates of return in the two cases suggests that the economic impact of modeling non-linearities is less than 0.01 percent per annum. |
| Keywords: | asset pricing, rates of return, non-linearities, threshold autoregressions, numerical solutions |
| JEL: | G12 C22 C52 C63 |
| Date: | 2003–11 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:0305&r=cfn |