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作者：Almeida, H; Campello, M; Weisbach, MS
作者单位：New York University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We model a firm's demand for liquidity to develop a new test of the effect of financial constraints on corporate policies. The effect of financial constraints is captured by the firm's propensity to save cash out of cash flows (the cash flow sensitivity of cash). We hypothesize that constrained firms should have a positive cash flow sensitivity of cash, while unconstrained firms' cash savings should not be systematically related to cash flows. We empirically estimate the cash flow sensitivity ...
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作者：Chen, HH; Noronha, G; Singal, V
作者单位：State University System of Florida; University of Central Florida; Arizona State University; Arizona State University-Tempe; Virginia Polytechnic Institute & State University
摘要：We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the t...
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作者：Hong, H; Kubik, JD; Stein, JC
作者单位：Princeton University; Syracuse University; Harvard University
摘要：We propose that stock-market participation is influenced by social interaction. In our model, any given social investor finds the market more attractive when more of his peers participate. We test this theory using data from the Health and Retirement Study, and find that social households-those who interact with their neighbors, or attend church-are substantially more likely to invest in the market than non-social households, controlling for wealth, race, education, and risk tolerance. Moreove...
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作者：Brandt, MW; Kavajecz, KA
作者单位：Duke University; University of Wisconsin System; University of Wisconsin Madison
摘要：We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day-to-day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery in unders...
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作者：Eberhart, AC; Maxwell, WF; Siddique, AR
作者单位：Georgetown University; University of Arizona
摘要：We examine a sample of 8,313 cases, between 1951 and 2001, where firms unexpectedly increase their research and development (R&D) expenditures by a significant amount. We find consistent evidence of a misreaction, as manifested in the significantly positive abnormal stock returns that our sample firms' shareholders experience following these increases. We also find consistent evidence that our sample firms experience significantly positive long-term abnormal operating performance following the...
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作者：Rhodes-Kropf, M; Viswanathan, S
作者单位：Columbia University; Duke University
摘要：Does valuation affect mergers? Data suggest that periods of stock merger activity are correlated with high market valuations. The naive explanation that over-valued bidders wish to use stock is incomplete because targets should not be eager to accept stock. However, we show that potential market value deviations from fundamental values on both sides of the transaction can rationally lead to a correlation between stock merger activity and market valuation. Merger waves and waves of cash and sto...
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作者：George, TJ; Hwang, CY
作者单位：University of Houston System; University of Houston; Hong Kong University of Science & Technology
摘要：When coupled with a stock's current price, a readily available piece of information-the 52-week high price-explains a large portion of the profits from momentum investing. Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run. These results indicate that short-term momentum and long-term reversals are largely separate ...
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作者：Eisfeldt, AL
作者单位：Northwestern University
摘要：This paper analyzes a model in which long-term risky assets are illiquid due to adverse selection. The degree of adverse selection and hence the liquidity of these assets is determined endogenously by the amount of trade for reasons other than private information. I find that higher productivity leads to increased liquidity. Moreover, liquidity magnifies the effects of changes in productivity on investment and volume. High productivity implies that investors initiate larger scale risky project...
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作者：Johannes, M
作者单位：Columbia University
摘要：This paper analyzes the role of jumps in continuous-time short rate models. I first develop a test to detect jump-induced misspecification and, using Treasury bill rates, find evidence for the presence of jumps. Second, I specify and estimate a nonparametric jump-diffusion model. Results indicate that jumps play an important statistical role. Estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps. Finally, I investigate the pricing implicatio...
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作者：Feng, L; Seasholes, MS
作者单位：McKinsey & Company; University of California System; University of California Berkeley
摘要：This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our result...
