计量经济分析 = Econometric analysis

Handbook of the Economics of Finance

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets feature larger trading profits and higher return autocorrelation, highlights crucial limitations of weak and semi-strong form efficiency measures, and points to the importance of measuring informational aspects of efficiency. © The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.

Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

Pay Without Performance: The Unfulfilled Promise of Executive Compensation

https://faculty.fuqua.duke.edu/~vmohan/bio/files/rvFeb%202010.pdf

Financial reporting quality and idiosyncratic return volatility

This paper argues that, contrary to the conventional wisdom, stock return synchronicity (or R2) can increase when transparency improves. In a simple model, we show that, in more transparent environments, stock prices should be more informative about future events. Consequently, when the events actually happen in the future, there should be less “surprise” (i.e., less new information is impounded into the stock price). Thus a more informative stock price today means higher return synchronicity in the future. We find empirical support for our theoretical predictions in 3 settings: namely, firm age, seasoned equity offerings (SEOs), and listing of American Depositary Receipts (ADRs).

/pdf/transparency-price-informativeness-and-stock-return-1ro394313j.pdf

Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence

We investigate the impact of CEO networking on compensation arrangements. Unlike existing studies that are largely based on board interlocks, we use a unique measure that calculates the direct ties the CEO has created during her life. We show that a CEO’s compensation is significantly affected by her power in the managerial labour market. We find that the size of the CEO network is positively related to the level of CEO compensation and inversely related to its pay-performance sensitivity. We interpret our results as direct evidence that managerial power influences compensation. However, in firms where shareholders rights are well protected, the impact of the CEO network over pay arrangements diminishes. This implies that outrage cost and governance reduces managerial power in pay negotiation. Overall, our results are consistent with the predictions of the managerial power approach.

What are Friends for? CEO Networks, Pay and Corporate Governance

Corporate cash reserve has an adverse selection effect. Specifically, if investors know a company does not have to issue to invest, an attempt to do so sends a strong signal of overvaluation. This notion has not been explicitly studied in the extant empirical literature, despite its intuitiveness. Using a sample of acquisitions solely financed by stock to exclude the potential complications of free cash flow, I find that announcement returns are lower for a bidder with a higher excess cash reserve. This effect is stronger in hot equity market years or when a bidder’s standalone value is more difficult to evaluate. I also find evidence supporting the idea that targets request cash payment to remove “lemon” bidders in normal (non-hot equity market) years, but accept too many stock offers in hot equity market years. After acquisitions, high-excess-cash-reserve bidders operationally outperform low-excess-cash-reserve bidders. Further, they spend more funds on reducing debt but not more on investments, compared with low-excess-cash-reserve bidders. Combined, these results show that cash reserve can have information costs. Further, they highlight the importance of the two-sided information asymmetry framework of Rhodes-kropf and Viswanathan (2004) in describing merger outcomes without resorting to behavioral or agency explanations.

/pdf/the-adverse-selection-effect-of-corporate-cash-reserve-37i4i0xy50.pdf

The Adverse Selection Effect of Corporate Cash Reserve: Evidence from the Acquisitions Solely Financed by Stock

The adverse selection effect of corporate cash reserve: Evidence from acquisitions solely financed by stock☆

/pdf/what-are-friends-for-ceo-networks-pay-and-corporate-3znt9bfy2l.pdf

Ning Gao

Papers

Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence

What are Friends for? CEO Networks, Pay and Corporate Governance

The Adverse Selection Effect of Corporate Cash Reserve: Evidence from the Acquisitions Solely Financed by Stock

The adverse selection effect of corporate cash reserve: Evidence from acquisitions solely financed by stock☆

What are Friends for? CEO Networks, Pay and Corporate Governance