SLy2 - Sbif

-
ng, or about
te a t
Volume 62
CONTENTS for APRIL 2007
-=:L.._ -__
--_ No.2.
_- 7
.
/
ANNOUNCEMENT OF 2006 SMITH BREEDEN PRIZES AND
BMTTLE AWARDS ....................................................... v
ARTICLES
he exception
m or review,
in any form
right holder.
mted by the
.ante Center
lm), provided
ot extend to
hertising or
- information
ement in the
alerts with
uick links to
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p" for FREE
.bers wishing
lould contact
'inance Asso545 Student
yedu
Fund Manager Use of Public Information: New Evidence
on Managerial Skills
MARCIN
KACPERCZYK
and AMITS ERU .. ...................................485
Managerial Ability, Compensation, and the Closed-End Fund Discount
JONATHAN B. BERK and RICHARD STANTON
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed
Securities Market
XAVIERGABAIX,
ARVIND
KRISHNAMURTHY,
and OLMER VIGNERON . . . . . . . . . . 557
Banking Deregulation and Industry Structure: Evidence
- --.
from the French Banking Reforms of 1985
, SLy2R/LZRL~NNE BERTRAND, AYTOINETTE
SCHOAR, and DAVID THESAW..
. . . . . . . . 597 1 , < -.* ,:5>
'----Information Asymmetry and Financing Arrangements: Evidence
from Syndicated Loans
AMIRSUFI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629
.
Winners or Losers? The Effects of Banking Consolidation
on Corporate Borrowers
EMILIA
BONACCORSI DI PA~m1
and GIORGIO
GOBBI
. . . . . . . . . . . . . . . . . . . . . . . . . 669
Growth Opportunities and the Choice of Leverage, Debt Maturity,
and Covenants
MATTHEW T. BILLETT, TAO-HSIEN
DOLLY KING, and DAVID C. MAUER. . . . . . 697
Smart Institutions, Foolish Choices: The Limited Partner
Performance Puzzle
JOSH
LERNER, ANTOINETTE SCHOAR, and WAN WONGSUNWAI.. . . . . . . . . . . . . . 731
Financial Synergies and the Optimal Scope of the Firm:
Implications for Mergers, Spinoffs, and Structured Finance
HAYNE
E. LELX~VD
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 765
A Theory of Takeovers and Disinvestment
and STEWART
C. MYERS . . . . . . . . . . . . . . . . . . . . . . . . . . . . 809
BART M. LAMBRECHT
How Are Firms Sold?
AUDRA
L. BOONE and J. HAROLD MULHERIN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 847
On the Importance of Measuring Payout Yield: Implications
for Empirical Asset Pricing
JACOB BOUDOUKH, RONI MICHAELY,
MATTHEW RICHARDSON,
and MICHAEL R. ROBERTS .............................................. 877
-
Decoupling CEO Wealth and Firm Performance: The Case
of Acquiring CEOs
JARRAD
-FORD
and KAI LI ............................................ 917
Corporate Governance, Idiosyncratic Risk, and Information Flow
MIGUELA. FERREIRA and PAUL A. LUX..
................................ 951
MISCELLANEA.. ...................................................... 991
The Journal of FINANCE
1 meeting, or about
web site at
Volume 62
CONTENTS for JUNE 2007
No. 3
ANNOUNCEMENT O F THE FISCHER BLACK PRIZE.. ................... v
ARTICLES
With the exception
criticism or review,
mitted in any form
ie copyright holder.
:is granted by the
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ight.com), provided
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I for advertising or
ile. For information
cy statement in the
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t www.afajof.org or
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r members wishing
:lop, should contact
ican Finance Assoiness, 545 Student
-.rkeley.edu
Why Do Firms Become Widely Held? An Analysis
of the Dynamics of Corporate Ownership
JEAN HELWEGE, CHRISTO
PIRINSKY,
and R E NM.
~ STULZ................... 995
Efficiency and the Bear: Short Sales and Markets
Around the World
ARTURO
BRIS, WILLIAM N. GOETZ~WNN,
and NING ZHU .................. 1029
Global Growth Opportunities and Market Integration
GEERT BEKAERT,
CAMPBELL R. HARVEY, CHRISTIAN
LUNDBLAD,
and STEPHAN
S IEGEL .. ................................................ 1081
Giving Content to Investor Sentiment: The Role of Media
in the Stock Market
PAUL C. TETLOCK ...................................................... 1139
The Underwriter Persistence Phenomenon
GERARD HOBERG.
...................................................... 1169
Simple Forecasts and Paradigm Shifts
HARRISON HONG, JEREMY
C. STEIN, and JIALIN
YU ...................... 1207
Reputation Effects in Trading on the New York Stock Exchange
ROBERT B A ~ A L IA
ON,DREW ELLUL, and ROBERT JENNINGS
............... 1243
Participation Costs and the Sensitivity of Fund Flows
to Past Performance
JENNIFER HUANG,KELSEYD. WEI, and HONGY m . ...................... 1273
Financial Speculators' Underperformance: Learning,
Self-selection, and Endogenous Liquidity
REZA ILZVIANI and D m BERNHARDT.. ................................... 1313
Optimal Debt and Equity Values in the Presence
of Chapter 7 and Chapter 11
MARKBROADIE,
MIKHAILCHERNOV, and SURESH
SUNDARESAN
. . . . . . . . . . . . 1341
The Value of Corporate Risk Management
4PETER M~CKAY
and S m B. MOELLER .................................. 1379
Corporate Bond Market Transaction Costs and Transparency
Am K. EDWARDS, LAWRENCE
E. J ~ A R Rand
I S , MICHAEL S. PIWOWAR ...... 1421
e
Model Specification and Risk Premia: Evidence from
Futures Options
MARK BROADIE,
MIKHAIL
CHERNOV, and MICHAEL JOHANNES
.. . . . . . . . . . .. 1453
Stochastic Volatilities and Correlations of Bond Yields
B ~ N G - . . . . . . . ...................................................... 1491
MISCELLANEA... . . . . . . . . .. . . . ... . . . . . . . . . . . ... .. . . . . . . ... . . . . . . . . . .
1525
TheJournal of FINANCE
a1 meeting, or about
ir web site a t
Volume 62
CONTENTS for AUGUST 2007
No. 4
ARTICLES
L. With the exception
r criticism or review,
smitted in any form
the copyright holder.
se is granted by the
~t Clearance Center
night.com), provided
; does not extend to
)n for advertising or
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licy statement in the
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;s and quick links to
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'hone: 781.388.8532.
or members wishing
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rican Finance Assosiness, 545 Student
3erkeley.edu
Presidential Address: Issuers, Underwriter Syndicates,
and Aftermarket Transparency
RICHARD C. G REEN .. ................................................... 1529
Pay Me Later: Inside Debt and Its Role in Managerial Compensation
RANGARAJAN
K. SUNDARAM and DAVID L. YERMACK ...................... 1551
Working Orders in Limit Order Markets and Floor Exchanges
KERRY
BACK and SHMUEL B ARUCH.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1589
Lazy Investors, Discretionary Consumption, and the Cross-Section
of Stock Returns
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1623
RAVI J A G ~ A Tand
HA
YONG
N WXNG.
Equilibrium Exhaustible Resource Price Dynamics
. . . . . . . . . . 1663
MURRAY CARLSON,
ZEIGWIKHOKHER,
and SHERIDAN
TITAKV..
How Costly Is External Financing? Evidence from a Structural
Estimation
CHRISTOPHER A. HENNESSY and TONIM. WHITED . . . . . . . . . . . . . . . . . . . . . . . 1705
Do Tests of Capital Structure Theory Mean What They Say?
ILYA A. STREBULAEV.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1747
Corporate Governance and Firm Value: The Impact of the 2002
Governance Rules
VIDHI CHHAOCHHARW
and Y ~ v wG RINSTEIN .. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1789
The Takeover Deterrent Effect of Open Market Share Repurchases
MATTHEW
T. BILLETT
and HUIXUE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1827
Corporate Governance and Acquirer Returns
RONALD W. MASULIS, CONG WANG,and FEI XIE . . . . . . . . . . . . . . . . . . . . . . . . .1851
Incentive Effects of Stock and Option Holdings of Target
and Acquirer CEOs
JIE CAI and ~ A V DM. VIJH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1891
Executive Financial Incentives and Payout Policy: Firm Responses
to the 2003 Dividend Tax Cut
JEFFREY R. BROWN,
NELLIE LUNG,
and SCOTT W EISBENNER.. . . . . . . . . . . . . 1935
Sports Sentiment and Stock Returns
,
GARC~A,
and @WIND NORLI . . . . . . . . . . . . . . . . . . . . . . . 1967
ALEX E D ~ W SDIEGO
'oz OCT 2507
..
I
-
- * ,
I
Rational Inattention and Portfolio Selection
LIXINHUANG
and HONG
LIU ........................................... 1999
REPORTS OF THE AMERICAN FINANCE ASSOCIATION
Report of the Editor of The Journal of Finance for the Year 2006
CAMPBELL R. HARVEY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2041
Minutes of the Annual Membership Meeting
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2053
DAVID H. ME
Report of the Executive Secretary and Treasurer
DAVID H. PYLE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2055
MISCELLANEA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2057
Thejournalof FINANCE
meeting, or about
web site a t
Volume 62
CONTENTS for DECEMBER 2007
No. 6
ARTICLES
q i t h the exception
riticism or review,
litted in any form
e copyright holder.
is granted by the
Clearance Center
ght.com), provided
loes not extend to
for advertising or
le. For information
:y statement in the
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Sign-up" for FREE
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can Finance Assoiness, 545 Student
?rkeley.edu
The Risk-Adjusted Cost of Financial Distress
HEITOR
ALMEIDA
and THOMAS PHILIPPON ............................... 2557
Security Design with Investor Private Information
ULF AXELSON.. ........................................................ 2587
Strategic Actions and Credit Spreads: A n Empirical Investigation
SERGEI A. DAVYDENKO and ILYA A. STREBULAEV
. . . . . . . . . . . . . . . . . . . . . . . . . 2633
The U.S. Treasury Buyback Auctions: The Cost of Retiring
Illiquid Bonds
BING HAN,FRANCIS A. LONGSTAFF,
and CRUGM ERRILL.. . . . . . . . . . . . . . . . . 2673
Bidding into the Red: A Model of Post-Auction Bankruptcy
S IMON B OARD .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2695
.
How Smart Is Smart Money? A Two-Sided Matching Model
of Venture Capital
MORTEN
SQRENSEN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2725
U.S. Banking Deregulation, Small Businesses, and Interstate
Insurance of Personal Income
YULIYA
DEIVWANYK,
CHARLOTTE
OSTERGAARD,
and BENT E. SBRENSEN
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2763
How Laws and Institutions Shape Financial Contracts: The Case
of Bank Loans
JUN
Q u u and PHILIP E. S T R ~. .N
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2803
Adaptive Traders and the Design of Financial Markets
SEBASTIEN
POUGET . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2835
Long-Term Return Reversals: Overreaction or Taxes?
. . . . . . . . . . . . . . . . . . . . . . . . . . . 2865
THOMAS J. GEORGE and CHUAN-YXNG
HWANG
Vote Trading and Information Aggregation
Susm E.K. CHRISTOFFERSEN, CHRISTOPHER C. GECZY,
D.4m K. MUSTO,
and ADAMV. REED . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2897
Measuring Distress Risk: The Effect of R&D Intensity
LAUREL A. FRANZEN,
KIMBERLY J. RODGERS, and TIMOTHY T. S IMIN . ...... 2931
Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle
MARK CAREY and GREG NINI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2969
Habit Formation and Macroeconomic Models of the Term Structure
of Interest Rates
ANDREA BURASCHI
and ALEXEIJILTSOV... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3009
MISCELLANEA.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3065