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作者：Alti, Aydogan
作者单位：University of Texas System; University of Texas Austin
摘要：This paper examines the capital structure implications of market timing. I isolate timing attempts in a single major financing event, the initial public offering, by identifying market timers as firms that go public in hot issue markets. I find that hot-market IPO firms issue substantially more equity, and lower their leverage ratios by more, than cold-market firms do. However, immediately after going public, hot-market firms increase their leverage ratios by issuing more debt and less equity ...
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作者：Pirinsky, Christo; Wang, Qinghai
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Wisconsin System; University of Wisconsin Milwaukee
摘要：We document strong comovement in the stock returns of firms headquartered in the same geographic area. Moreover, stocks of companies that change their headquarters location experience a decrease in their comovement with stocks from the old location and an increase in their comovement with stocks from the new location. The local comovement of stock returns is not explained by economic fundamentals and is stronger for smaller firms with more individual investors and in regions with less financia...
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作者：Brandt, Michael W.; Santa-Clara, Pedro
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider conditional portfolios, which invest in each asset an amount proportional to conditioning variables, and timing portfolios, which invest in each asset for a single period and in the risk-free asset for all other periods. The static choice ...
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作者：Boot, AWA; Gopalan, R; Thakor, AV
作者单位：University of Amsterdam; University of Michigan System; University of Michigan; Washington University (WUSTL)
摘要：We analyze an entrepreneur/manager's choice between private and public ownership. The manager needs decision-making autonomy to optimally manage the firm and thus trades off an endogenized control preference against the higher cost of capital accompanying greater managerial autonomy. Investors need liquid ownership stakes. Public capital markets provide liquidity, but stipulate corporate governance that imposes generic exogenous controls, so the manager may not attain the desired trade-off bet...
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作者：Boyer, BH; Kumagai, T; Yuan, K
作者单位：Brigham Young University; Wayne State University; University of Michigan System; University of Michigan
摘要：We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods,...
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作者：Anderson, CW; Garcia-Feijóo, L
作者单位：University of Kansas; Creighton University
摘要：Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the cross section of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment-growth options results in changes in both valuation and ex...
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作者：Fee, C. Edward; Hadlock, Charles J.; Thomas, Shawn
作者单位：Michigan State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We assemble a sample of over 10,000 customer-supplier relationships and determine whether the customer owns equity in the supplier. We find that factors related to both contractual incompleteness and financial market frictions are important in the decision of a customer firm to take an equity stake in their supplier. Evidence on the variation in the size of observed equity positions suggests that there are limits to the size of optimal ownership stakes in many relationships. Finally, we find t...
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作者：Zhang, XF
作者单位：Yale University
摘要：There is substantial evidence of short-term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross-sectional variations in stock returns. If short-term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, gr...
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作者：Frazzini, Andrea
作者单位：University of Chicago
摘要：This paper tests whether the disposition effect, that is the tendency of investors to ride losses and realize gains, induces underreaction to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post-announcement price drift is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced ...
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作者：Huberman, G; Jiang, W
摘要：Records of over half a million participants in more than 600 401(k) plans indicate that participants tend to allocate their contributions evenly across the funds they use, with the tendency weakening with the number of funds used. The number of funds used, typically between three and four, is not sensitive to the number of funds offered by the plans, which ranges from 4 to 59. A participant's propensity to allocate contributions to equity funds is not very sensitive to the fraction of equity f...
