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作者：Kutsuna, Kenji; Smith, Janet Kiholm; Smith, Richard L.
作者单位：Kobe University; Claremont Colleges; Claremont Graduate University; Claremont McKenna College; University of California System; University of California Riverside; Claremont Colleges; Claremont Graduate University
摘要：The price formation process of JASDAQ IPOs is more transparent than in the United States. The transparency facilitates analysis of important issues in the IPO literature-why offer prices only partially adjust to public information and adjust more fully to negative information, and why adjustments are related to initial returns. The evidence indicates that early price information conveys the underwriter's commitment to compensate investors for acquiring and/or disclosing information. Offer pric...
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作者：Baker, Malcolm; Greenwood, Robin; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low-price firms, managers respond by supplying shares at lower price levels, and vice versa. We confirm these predictions in time-series and firm-level data using several measures of time-varying catering incentives. More generally, the results provide unusually clean evidence that catering influences corporate decisions, because the process of targeting nominal sha...
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作者：Aguerrevere, Felipe L.
作者单位：University of Alberta
摘要：We study how competition in the product market affects the link between firms' real investment decisions and their asset return dynamics. In our model, assets in place and growth options have different sensitivities to market wide uncertainty. The strategic behavior of market participants influences the relative importance of these components of firm value. We show that the relationship between the degree of competition and assets' expected rates of return varies with product market demand. Wh...
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作者：Dumas, Bernard; Kurshev, Alexander; Uppal, Raman
作者单位：Swiss Finance Institute (SFI); University of Lausanne; University of London; London Business School
摘要：Our objective is to identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment fluctuations. We construct a general equilibrium difference-of-opinion model of sentiment in which there are two classes of agents, one of which is overconfident about a public signal, while still optimizing intertemporally. Overconfident investors overreact to the signal and introduce an additional risk factor causing stock prices to be excessively...
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作者：Grinblatt, Mark; Keloharju, Matti
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Aalto University
摘要：This study analyzes the role that two psychological attributes-sensation seeking and overconfidence-play in the tendency of investors to trade stocks. Equity trading data from Finland are combined with data from investor tax filings, driving records, and mandatory psychological profiles. We use these data, obtained from a large population, to construct measures of overconfidence and sensation seeking tendencies. Controlling for a host of variables, including wealth, income, age, number of stoc...
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作者：Li, C. Wei; Xue, Hui
作者单位：Louisiana State University System; Louisiana State University; Kansas State University
摘要：The acceleration of the U.S. productivity growth in the late 1990s suggests a significant advance in technological innovation, making the perceived probability of entering a new economy ever increasing. Based on macroeconomic data, we identify a Bayesian investor's belief evolution when facing a possible structural break in the economy. We show that such belief evolution plays a significant role in explaining both the stock market boom and crash during 1998 to 2001. We conclude that a rational...
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作者：Jorion, Philippe; Zhang, Gaiyan
作者单位：University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
摘要：Standard credit risk models cannot explain the observed clustering of default, sometimes described as credit contagion. This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential ad...
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作者：Juergens, Jennifer L.; Lindsey, Laura
作者单位：University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe
摘要：This paper examines trading volume for Nasdaq market makers around analyst recommendation changes issued by an analyst at the same firm. Using Nasdaq Post-Data, we find a disproportionate increase in market making volume associated with the firm's recommendation changes and evidence of elevated sell volume at the recommending analyst's firm in the 2 days preceding a downgrade. The implications are that the information source matters in determining the placement of trades and that the issuing a...
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作者：Riddick, Leigh A.; Whited, Toni M.
作者单位：American University; University of Rochester
摘要：Why do corporations accumulate liquid assets ? We show theoretically that intertemporal trade-offs between interest income taxation and the cost of external finance determine optimal savings. Intriguingly, we find that, controlling for Tobin's q, saving and cash flow are negatively related because firms lower cash reserves to invest after receiving positive cash-flow shocks, and vice versa. Consistent with theory, we estimate negative propensities to save out of cash flow. We also find that in...
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作者：Sarkar, Asani; Schwartz, Robert A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the number of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one-sided before merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and macro annou...
