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on Corporate Finance |
| By: | A.Dian Prima; S. Stevenson |
| Abstract: | This study aims to investigate the impact of investor protection on Asian REITs valuation and performance. The relationship between investor protection and corporate governance mechanisms, namely board independence, concentrated ownership by outside blockholders and sponsors are also examined in this study. The sample consists of 317 firm year observations from 57 REITs across Japan, Singapore, Hong Kong and Malaysia with 10 years period between 2002 and 2012. The findings show that REIT with stronger investor protection is associated with higher firm valuation. Investor protection, however, is found to have only a weak positive effect on REIT performance. The results further reveal that investor protection can be a substitute to a weak level of board independence, but not vice versa. The results also suggest that investor protection serves as a complement to the monitoring of outside blockholder. More importantly, there is no evidence that REIT sponsors expropriate unitholders' wealth when there is a weak investor protection in place. Overall, the findings show that Asian REIT unitholders are generally protected, with an average score of 14 out of 18. However, there is still room for improvement to foster an investor confidence to facilitate the development of the Asian REIT market in the future. |
| Keywords: | Asian Markets; Corporate Governance; REITs |
| JEL: | R3 |
| Date: | 2015–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:arz:wpaper:eres2015_70&r=all |
| By: | Masanori Orihara (Policy Research Institute, Ministry of Finance,Japan) |
| Abstract: | Recent literature argues that agency conflicts between shareholders and managers reduce corporate tax aggressiveness. Although stock market listing is a fundamental source of the agency costs, a dearth of widely available data prevents researchers from investigating how monitoring from stock markets affects tax aggressiveness. We use unique panel data that cover both publicly-traded (listed) companies and privately-held (unlisted) companies in Japan. To mitigate endogeneity concerns about the choice to list stocks on public equity markets, we use legal reforms in squeeze out as a quasi-natural experiment. We provide evidence that stock market listing decreases tax aggressiveness among companies whose ownership is concentrated. This result suggests that minority shareholdersf option to sell stocks in public markets reduces managersf incentives to be tax aggressive. Our findings link a function of capital markets with public finance by demonstrating that financial developments can contribute to the effective collection of tax revenues. |
| Keywords: | tax aggressiveness, stock market listing, ownership structure, squeeze out |
| JEL: | G30 G38 H25 H26 |
| URL: | http://d.repec.org/n?u=RePEc:mof:wpaper:ron270&r=all |
| By: | Andrew B. Abel |
| Abstract: | In this paper I analyze the relationships among investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. After analyzing the impact of changes in the distribution of the marginal operating profit of capital, I extend the model to include measurement error and analyze the cash-flow coefficient in regressions of investment on q and cash flow. In empirical studies, the estimated cash-flow coefficient is generally positive and larger for rapidly growing firms. Such findings are typically interpreted as evidence of financial frictions facing firms. I derive closed-form expressions for the cash-flow coefficient that are positive and larger for faster growing firms, yet there are no financial frictions in the model. |
| JEL: | D21 E22 G31 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21549&r=all |
| By: | Dragan Ilić; Sonja Pisarov; Peter S. Schmidt (University of Basel) |
| Abstract: | Relative performance evaluation (RPE) is, at least on paper, enjoying widespread popularity in determining the level of executive compensation. Yet existing empirical evidence of RPE is decidedly mixed. Two principal explanations are held responsible for this discord. A constructional challenge arises from intricacies of identifying the correct peers. And on a simpler note, corporate commitments to RPE could be mere exercises in empty rhetoric. We address both issues and test the use of RPE in a new sample of large international non-U.S. banks. Taken as a whole, the banks in our sample show moderate evidence consistent with RPE. We report stronger evidence once we investigate the subsample of banks that disclose the use of peers in their compensation schemes. This finding lends support to the credibility and thus informational value of RPE commitments. Digging deeper, we find that RPE usage is driven by firm size and growth options. |
| Keywords: | Relative Performance Evaluation, Executive Compensation, Peers, Banks, Disclosure |
| JEL: | J33 D86 G3 G21 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:bsl:wpaper:2015/10&r=all |
| By: | Ravi Jagannathan; Binying Liu |
| Abstract: | We develop a model for dividend dynamics and allow investors to learn about model parameters over time. The model predicts 31.3% of the variation in annual dividend growth rates during 1976-2013. When investors' beliefs about the persistence of dividend growth rates increase, dividend-to-price ratios increase, and short-horizon expected returns decrease after controlling for dividend-to-price ratios. These findings are consistent with investors' preferences for early resolution of uncertainty. We embed learning about dividend dynamics in an equilibrium asset pricing model. The model predicts 22.8% of the variation in annual stock index returns. Learning accounts for forty-percent of that 22.8%. |
| JEL: | G10 G11 G12 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21557&r=all |
| By: | Viola Angelini (University of Groningen and Netspar?); Danilo Cavapozzi (Department of Economics, Ca’ Foscari University of Venice) |
| Abstract: | This paper analyses the relationship between dispositional optimism and stock investments. Data are drawn from the second wave of the Survey of Health, Ageing and Retirement in Europe. Dispositional optimism is found to be a relevant predictor of the ownership of stocks as well as of the share of gross financial wealth invested in this asset. The role of dispositional optimism is found to be stronger for risk tolerant agents and its relationship with the share of wealth invested in stocks varies with agents’ trust. |
| Keywords: | Dispositional Optimism, Household finance, Saving behaviour |
| JEL: | D14 G02 G11 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ven:wpaper:2015:25&r=all |
| By: | Philippe DESBRIERES (IAE DIJON - Université de Bourgogne (CREGO)) |
| Abstract: | (VF) La pratique de la syndication est notablement développée dans le métier du capital-investissement, quel que soit le stade de développement, le secteur d’activité et la nationalité de l’entreprise financée. La syndication s’explique autant par des arguments financiers (partage des risques entre capital-investisseurs ; gouvernance du management de l’entreprise financée...) que par la nécessité d’une part, d’accéder à des ressources (informations, compétences) en matière de sélection et de surveillance des investissements et, d’autre part, de partager, voire créer, des connaissances. L’objectif de cette synthèse de la littérature est d’étudier dans quelle mesure cette pratique favorise ou contraint l’innovation et son financement dans les firmes entrepreneuriales. (VA) Syndication is a highly developed practice in the venture capital industry, whatever are the stage of development, the industry sector and the nationality of the financed company. It can be explained by financial arguments (sharing of risks between venture capitalists; governance of managemers of the financed firm) as well as by the necessity, on the one hand, to reach resources (information, skills) regarding selection and control of the investments and, on the other hand, to share or create knowledge. The objective of this survey is to study to what extent this practice favor or limit innovation and its financing within entrepreneurial firms. |
| Keywords: | capital-investissement, syndication, innovation, financement;Venture Capital, Syndication, Innovation, Financing |
| JEL: | G24 L26 O31 |
| Date: | 2015–05 |
| URL: | http://d.repec.org/n?u=RePEc:dij:wpfarg:1150501&r=all |
| By: | Raphaël Janssen; Romuald Morhs |
| Abstract: | The primary aim of this work is to study the sensitivity of Luxembourg bond funds to interest rate movements. For this purpose, the dataset compiled at the Banque centrale du Luxembourg (BCL) since December 2008 is used to analyse the balance sheet composition of Luxembourg bond funds and to measure the interest rate exposure of their bond portfolio. An econometric model with time-varying parameters is then estimated on monthly data over the sample 2008:1-2014:6 to analyse the evolution of the interest rate sensitivity of the Net Asset Value (NAV) of Luxembourg bond funds. The main findings of the study are the following. At the end of the period under review, Luxembourg bond funds have lengthened the residual maturity and the duration of their portfolio, which have returned to a similar level as the one observed in December 2008. This evolution, which points toward a search-for-yield behaviour in a low interest rate environment, suggests that Luxembourg bond funds have recently become more sensitive to fixedincome market developments. According to the level of the parameter estimate obtained with the Kalman filter at the end of the sample, a 100 basis points rise in long term interest rates on the sovereign bond markets associated with an additional 100 basis points rise in the risk premium on the high-yield bond markets would materialise approximately into a 10% decrease in the NAV of Luxembourg bond funds. |
| Keywords: | Bond funds, risk analysis, security-by-security reporting, Kalman filter |
| JEL: | C32 C81 F30 G11 G23 |
| Date: | 2015–08 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:bclwp098&r=all |
| By: | Roman, Raluca (Federal Reserve Bank of Kansas City) |
| Abstract: | This paper conducts the first assessment of shareholder activism in banking and its effects on risk and performance. The focus is on the conflicts among bank shareholders, managers, and creditors (e.g., regulators, deposit insurer, taxpayers, depositors). This paper finds activism may generally be a destabilizing force, increasing bank risk-taking, but creating market value for shareholders, and leaving operating returns unchanged, consistent with the empirical dominance of the Shareholder-Creditor Conflict. However, during financial crises, the increase in risk disappears, suggesting activism risk incentives may be muted. From a public perspective, creditors (including the government) may lose during normal times, but not during financial crises. |
| Keywords: | Banking; Financial crises; Financial stability; Shareholder activism |
| JEL: | G01 G21 G28 G38 |
| Date: | 2015–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp15-09&r=all |
| By: | Tetsuya Shinkai (School of Economics, Kwansei Gakuin University); Takao Ohkawa (Faculty of Economics Ritsumeikan University); Makoto Okamura (Faculty of Economics, Hiroshima University); Kozo Harimaya (Faculty of Business Administration Ritsumeikan University) |
| Abstract: | We examine an effect of strategic delegation on the competition behavior of indebted firms and welfare in a Cournot duopoly with demand uncertainty. We establish that the owners of each firm delegate their tasks and decisions to a manager when the demand is sufficiently large but one firm chooses no delegation and the other chooses delegation when the demand is small. This result is consistent with the duopoly competition example between the Mitsui Gomei Kaisya and Suzuki & Co. from the late Meiji era to Taisho era in Japan. |
| Keywords: | indebted firms, delegation, managerial incentives, and Cournot duopoly |
| JEL: | G32 L13 L12 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:kgu:wpaper:135&r=all |