Summer Term 2016

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  • Septem­ber 12th, 2016, 12:00-13:00, D4.0.039
    Fe­lix Meschke (Uni­versity of Kansas - School of Busi­ness)
    "In­ternal CEO Ap­proval and Ex­ternal Re­port­ing Qual­ity"
    (joint with Minjie, Huang Adi Masli, James P. Gu­thrie )

    Ab­stract: We pro­pose a meas­ure of CEO repu­ta­tion that is dis­tinct from me­dia pop­ular­ity.  Us­ing novel data on CEO ap­proval by their em­ploy­ees, we link CEO in­ternal repu­ta­tion to fin­an­cial re­port­ing qual­ity. Spe­cific­ally, we doc­u­ment that higher in­ternal CEO ap­proval rat­ings  are as­so­ci­ated with less earn­ings man­age­ment, lower pri­cing of audit ser­vices, less mod­i­fied go­ing con­cern opin­ions and lower like­li­hood of sub­sequent lit­ig­a­tion re­lated to ac­count­ing mal­prac­tices. While ex­ternal, me­di­a-­gen­er­ated CEO re­cog­ni­tion res­ults in more earn­ings man­age­ment, in­ternal, em­ploy­ee- gen­er­ated CEO ap­proval seems to sig­nal higher  fin­an­cial  re­port­ing  qual­ity.

  • Septem­ber 9th, 2016, 12:00-13:00, D4.0.039
    Eliezer Fich (Drexel Uni­versity - Le­Bow Col­lege of Busi­ness)
    "Ad­vert­ising, At­ten­tion, and Ac­quis­i­tion Re­turns"
    (joint with Laura T. Starks, Anh L. Tran)

    Ab­stract: We show that tar­gets with pre-­takeover ad­vert­ising ob­tain higher premi­ums while their ac­quirers ex­per­i­ence lower mer­ger an­nounce­ment re­turns. These eco­nom­ic­ally sig­ni­fic­ant ef­fects are con­sist­ent with the hy­po­thesis that ad­vert­ising al­lows tar­get man­age­ment to in­crease the firm’s pro­file and ne­go­ti­at­ing power. The ef­fect is stronger where ex­pec­ted: for tar­gets in busi­ness-to- con­sumer in­dus­tries, with short-­sale con­straints, and with higher ma­na­gerial own­er­ship. Fur­ther, ad­vert­ising tar­gets are more likely to ini­ti­ate their own sale, be pur­sued by mul­tiple bid­ders, re­ceive re­vised in­creased bids, cap­ture more of the mer­ger sur­plus and in the event of a failed ac­quis­i­tion, ex­per­i­ence a per­man­ent re­valu­ation of about 1%.

  • August 30th, 2016, 12:00-13:00, D4.0.039
    David Brown (Uni­versity of Ari­zona - Eller, De­part­ment of Fin­ance)
    "The Price is Wrong: Mis­pri­cing and ETF Ar­bit­rage"

    Ab­stract: Many finance mod­els as­sume the ex­ist­ence of noise traders who push as­set prices away from funda-­mental val­ues. Yet em­pir­ic­ally, these “an­imal spir­its” are chal­len­ging to ob­serve be­cause fun­da­men-tal val­ues are in­her­ently un­ob­serv­able. We ex­am­ine a novel data­base of trades by ETF au­thor­ized par­ti­cipants who specifically trade to cor­rect vi­ol­a­tions of the law of one price. These trades al­low us to meas­ure ar­bit­rage activ­ity and confirm many the­or­ies of ar­bit­rage. We show that noise traders do not cancel each other out and ar­bit­rage activ­ity is as­so­ci­ated with pre­dict­able price dis­tor­tions. Our ana­lysis in­dic­ates that noise traders ex­ert a non-­fun­da­mental im­pact on mar­ket out­comes even when ar­bit­rageurs are act­ive. Thus, noise traders are not simply noise, they im­pact prices.

  • April 20th, 2016, 12:00-13:30, D4.4.008
    Chris­tian Laux (WU)
    "Pro­cyc­lic­al­ity of US Bank Lever­age" (joint with Tho­mas Rauter)

  • April 13th, 2016, 12:00-13:30, D4.4.008
    Toni Whited (Uni­versity of Michigan)
    "Cap­ital Struc­ture Mis­al­loc­a­tion" (joint with Jake Zhao)

    Ab­stract: We ask whether fin­an­cial as­sets are well-al­loc­ated in the cross-sec­tion of firms. Ex­tend­ing the frame­work of Hsieh and Klenow (2009) to the li­ab­il­it­ies side of the bal­ance sheet, we es­tim­ate the real losses that ac­crue from the cross-sec­tional mis­al­loc­a­tion of fin­an­cial li­ab­il­it­ies across firms. Us­ing U.S. and Chinese data on man­u­fac­tur­ing firms, we find sig­ni­fic­ant mis­al­loc­a­tion of debt and equity. Al­though fin­an­cial li­ab­il­it­ies ap­pear well-al­loc­ated in the United States, they are not in Ch­ina. If Ch­ina's debt and equity mar­kets were as developed as those in the United States, Ch­ina would real­ize gains of 70-100% in real firm value. We also back out the cost of debt and equity for each firm with our model, tak­ing into ac­count al­loc­a­tion dis­tor­tions. We find that lar­ger firms and firms located in more developed cit­ies face markedly lower costs.


  • March 9th, 2016, 12:00-13:30, D4.0.136
    Otto Randl (WU) / Georg Ce­jnek
    "Di­vidend Risk Premia"