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Creditor Rights, Debt Capacity and Securities Issuance: Evidence from Anti-recharacterization Laws
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The Value Uncertainty Premium
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The Disposition Effect in Boom and Bust Markets
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Financial Policies and Internal Governance with Heterogeneous Risk Preferences
1、Creditor Rights, Debt Capacityand Securities Issuance: Evidence from Anti-recharacterization Laws
Working paper
, issued in April 2019
Daniel Tut
,
York University
This paper examines the effects of improvement in creditors’ rights protection on firms’
financing choices and securities issuance. To address these issues, I exploit exogenous
variation in creditors’ rights protection induced by the staggered adoption of
anti-recharacterization laws by some U.S. states. The laws enhance the ability of creditors to
repossess collateral during bankruptcy. Using a difference-in-difference methodology to
estimate the causal impacts; I find that: [1] the laws are positively related to debt capacity
and debt maturity. Firms increase market leverage and substitute away from costly
short-term debt financing into long-term debt financing [2] the laws are positively related to
debt issuance [3] The laws are negatively related to equity issuance. My analysis further
demonstrates that proactive securities issuers are significantly more responsive to the
adoption of anti-recharacterization laws than passive securities issuers.
原文链接：
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=58
2、The Value Uncertainty Premium
Working paper
Turan G. Bali,
Georgetown University
Luca Del Viva,
ESADE Business School
Menatalla El Hefnawy,
ESADE Business School
Lenos Trigeorgis,
University of Cyprus,
King's College London and MIT
This paper investigates whether the time-series volatility of book-to-market (BM),
called value uncertainty (UNC), is priced in the cross-section of equity returns. A sizeadjusted value-weighted factor with a long (short) position in high-UNC (low-UNC)
stocks generates an annualized alpha of 6-8%. This value uncertainty premium is driven
by outperformance of high-UNC firms, and is not explained by established risk factors
or firm characteristics, such as price and earnings momentum, investment, profitability,
or BM itself. UNC is correlated with macroeconomic fundamentals and predicts future
market returns and market volatility. We provide a rational asset-pricing explanation
of the uncovered UNC premium.
原文链接：
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=64
3、 The Disposition Effect in Boom and Bust Markets
Working paper
SabineBernard,
University of Mannheim
Benjamin Loos,
University of Technology Sydney
Martin Weber,
University of Mannheim
Most papers investigating the disposition effect implicitly assume it to be constant over
time and use data that only cover boom periods. However, drivers of the disposition effect
(preferences and beliefs) are rather countercyclical. We use individual investor trading data
comprising several boom and bust periods (2001-2015). Our results show that the disposition
effect also moves countercyclical, i.e. is higher in bust than in boom periods. Our findings are
driven by individuals realizing more gains in bust periods. Investors are, in relative (absolute)
terms, 25 (4.6) percent more likely to realize a gain in bust than in boom periods.
原文链接：
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=67
4、Financial Policies and Internal Governance with Heterogeneous Risk Preferences
