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作者：Grullon, G; Michaely, R
作者单位：Rice University; Cornell University
摘要：We show that repurchases have not only became an important form of payout for U.S. corporations, but also that firms finance their share repurchases with funds that otherwise would have been used to increase dividends. We find that young firms have a higher propensity to pay cash through repurchases than they did in the past and that repurchases have become the preferred form of initiating a cash payout. Although large, established firms have generally not cut their dividends, they also show a...
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作者：Lowry, M; Schwert, GW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester
摘要：Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company's eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive...
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作者：Hertzel, M; Lemmon, M; Linck, JS; Rees, L
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; University System of Georgia; University of Georgia; Texas A&M University System; Texas A&M University College Station
摘要：Public firms that place equity privately experience positive announcements effects, with negative post-announcement stock-price performance. This finding is inconsistent with the underreaction hypothesis. Instead, it suggests that investors are overoptimistic about the prospects of firms issuing equity, regardless of the method of issuance. Further, in contrast to public offerings, private issues follow periods of relatively poor operating performance. Thus, investor overoptimism at the time o...
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作者：Easley, D; Hvidkjaer, S; O'Hara, M
作者单位：Cornell University; University System of Maryland; University of Maryland College Park; Cornell University
摘要：We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that infor...
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作者：Li, HT; Xu, YW
作者单位：Cornell University
摘要：Previous authors have raised the concern that there could be serious survival bias in the observed U.S. equity premium. Contrary to conventional wisdom, we argue that the survival bias in the U.S. data is unlikely to be significant. To reach this conclusion, we introduce a general framework for modeling survival and derive a mathematical relationship between the ex ante survival probability and the average survival bias. This relationship reveals the fundamental difficulty facing the survival ...
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作者：Aggarwal, R; Prabhala, NR; Puri, M
作者单位：Georgetown University; University System of Maryland; University of Maryland College Park; Stanford University; National Bureau of Economic Research
摘要：We analyze institutional allocation in initial public offerings (IPOs) using a new data set of U.S. offerings between 1997 and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly explained by the practice of giving institutions more shares in IPOs with strong premarket demand, consistent with book-building theories. However, institutional allocation also contains private information about first-day IPO returns not reflected in prem...
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作者：Brennan, MJ; Xia, YH
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania
摘要：We develop a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio, When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bo...
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作者：Mitchell, M; Pulvino, T; Stafford, E
作者单位：Harvard University; Northwestern University
摘要：We examine 82 situations where the market value of a company is less than its subsidiary, These situations imply arbitrage opportunities, providing an ideal setting to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. For 30 percent of the sample, the link between the parent and its subsidiary is severed before the relative value discrepancy is corrected. Furthermore, returns to a specialized arbitrageur would be 50 percent la...
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作者：Christie, WG; Corwin, SA; Harris, JH
作者单位：Vanderbilt University; University of Notre Dame; University of Delaware
摘要：We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following halts and volatility increases to more than nine times normal levels. In contrast, halts that reopen the following day with a longer 90-minute quotation period are associated with insignificant spread eff...
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作者：Baker, M; Wurgler, J
作者单位：Harvard University; New York University
摘要：It is well known that firms are more likely to issue equity when their market values are high, relative to book and past market values, and to repurchase equity when their market values are low. We document that the resulting effects on capital structure are very persistent. As a consequence, current capital structure is strongly related to historical market values. The results suggest the theory that capital structure is the cumulative outcome of past attempts to time the equity market.
