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Abstract:
This article uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by controlling managers is unrelated to firm value, consistent with generally prevailing U.S. and international evidence.

G32, G34, G35

Abstract:
This paper uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by controlling managers is unrelated to firm value, consistent with generally prevailing U.S. and international evidence.

cash holdings, agency problems, corporate governance

Abstract:
This paper uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by controlling managers is unrelated to firm value, consistent with generally prevailing U.S. and international evidence.

cash holdings, agency problems, corporate governance

Abstract:
Microstructure noise in security prices biases the results of empirical asset pricing specifications, particularly when security-level explanatory variables are cross-sectionally correlated with the amount of noise. We focus on tests of whether measures of illiquidity, which are likely to be correlated with the noise, are priced in the cross-section of stock returns, and document a significant upward bias in estimated return premia for an array of illiquidity measures in CRSP monthly return data. The upward bias is larger when illiquid securities are included in the sample, but persists even for NYSE/AMEX stocks after decimalization. We introduce a methodological correction to eliminate the biases that simply involves WLS rather than OLS estimation, and find evidence of smaller, but still significant, return premia for illiquidity after implementing the correction.

Bid-Ask Spreads, Liquidity, Asset Pricing, Beta Estimation

Abstract:
Chen and Singal (2003a) contend that short-sellers create pervasive temporary price pressure and are responsible for the weekend effect. We do not find support for this hypothesis on the Stock Exchange of Hong Kong (SEHK). On the SEHK, short-selling was prohibited before 1994 and was allowed only for some stocks after 1994. We find strong weekend effect for the pre-1994 period. For the post-1994 period, strong weekend effects are present for both the stocks that were allowed to short-sell and those that were not. Moreover, the difference in the weekend effects between the two groups is statistically insignificant.

weekend effect, short-sell, international finance