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作者：Dong, M; Hirshleifer, D; Richardson, S; Teoh, SH
作者单位：York University - Canada; University System of Ohio; Ohio State University; University of Pennsylvania
摘要：This paper uses pre-offer market valuations to evaluate the misvaluation and Q theories of takeovers. Bidder and target valuations (price-to-book, or price-to-residual-income-model-value) are related to means of payment, mode of acquisition, premia, target hostility, offer success, and bidder and target announcement-period returns. The evidence is broadly consistent with both hypotheses. The evidence for the Q hypothesis is stronger in the pre-1990 period than in the 1990-2000 period, whereas ...
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作者：Graham, John R.; Kumar, Alok
作者单位：Duke University; University of Notre Dame
摘要：We study stock holdings and trading behavior of more than 60,000 households and find evidence consistent with dividend clienteles. Retail investor stock holdings indicate a preference for dividend yield that increases with age and decreases with income, consistent with age and tax clienteles, respectively. Trading patterns reinforce this evidence: Older, low-income investors disproportionally purchase stocks before the exdividend day. Furthermore, among small stocks, the ex-day price drop decr...
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作者：Haruvy, Ernan; Noussair, Charles N.
作者单位：University of Texas System; University of Texas Dallas; Emory University
摘要：A series of experiments illustrate that relaxing short-selling constraints lowers prices in experimental asset markets, but does not induce prices to track fundamentals. We argue that prices in experimental asset markets are influenced by restrictions on short-selling capacity and limits on the cash available for purchases. Restrictions on short sales in the form of cash reserve requirements and quantity limits on short positions behave in a similar manner. A simulation model, based on DeLong ...
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作者：Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal
作者单位：Imperial College London; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
摘要：We apply a new bootstrap statistical technique to examine the performance of the US. open-end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk-taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a siz...
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作者：Ang, A; Hodrick, RJ; Xing, YH; Zhang, XY
作者单位：Columbia University; National Bureau of Economic Research; Rice University; Cornell University
摘要：We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, ...
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作者：Ljungqvist, A; Marston, F; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Virginia; University of Oxford
摘要：We investigate whether analyst behavior influenced banks' likelihood of winning underwriting mandates for a sample of 16,625 U.S. debt and equity offerings in 1993-2002. We control for the strength of the issuer's investment banking relationships with potential competitors for the mandate, prior lending relationships, and the endogeneity of analyst behavior and the bank's decision to provide analyst coverage. Although analyst behavior was influenced by economic incentives, we find no evidence ...
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作者：Noe, Thomas H.; Rebello, Michael J.; Wang, Jun
作者单位：Tulane University; Louisiana State University System; Louisiana State University
摘要：We consider a competitive and perfect financial market in which agents have heterogeneous cash flow valuations. Instead of assuming that agents are endowed with rational expectations, we model their behavior as the product of adaptive learning. Our results demonstrate that adaptive learning affects security design profoundly, with securities mispriced even in the long run and optimal designs trading off underpricing against intrinsic value maximization. The evolutionary dominant security desig...
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作者：Chang, Xin; Dasgupta, Sudipto; Hilary, Gilles
作者单位：University of Melbourne; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We provide evidence that analyst coverage affects security issuance. First, firms covered by fewer analysts are less likely to issue equity as opposed to debt. They issue equity less frequently, but when they do so, it is in larger amounts. Moreover, these firms depend more on favorable market conditions for their equity issuance decisions. Finally, debt ratios of less covered firms are more affected by Baker and Wurgler's (2002) external finance-weighted average market-to-book ratio. These re...
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作者：Daniel, Kent; Titman, Sheridan
作者单位：Northwestern University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：The book-to-market effect is often interpreted as evidence of high expected returns on stocks of distressed firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the intangible return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good pro...
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作者：La Porta, R; Lopez-De-Silanes, F; Shleifer, A
作者单位：Dartmouth College; University of Amsterdam; Harvard University
摘要：We examine the effect of securities laws on stock market development in 49 countries. We find little evidence that public enforcement benefits stock markets, but strong evidence that laws mandating disclosure and facilitating private enforcement through liability rules benefit stock markets.
