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作者：Allen, JW; Phillips, GM
作者单位：Southern Methodist University; University System of Maryland; University of Maryland College Park
摘要：This paper examines long-term block ownership by corporations and performance changes in firms with corporate block owners. We also examine potential reasons for corporate ownership including benefits in product market relationships, alleviation of financing constraints, and board monitoring by corporate owners. We find the largest significant increases in targets' stock prices, investment, and operating profitability when ownership is combined with alliances, joint ventures, and other product...
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作者：Dufour, A; Engle, RF
作者单位：University of Reading; University of California System; University of California San Diego; New York University
摘要：We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade-related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when ...
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作者：Park, C
作者单位：Hong Kong University of Science & Technology
摘要：This paper presents a theory of optimal debt structure when the moral hazard problem is severe. The main idea is that the optimal debt contract delegates monitoring. to a single senior lender and that seniority allows the monitoring senior lender to appropriate the full return from his monitoring activities. The theory explains (i) why debt contracts are prioritized, (ii) why short-term debt is senior to long-term debt, and (iii) why financial intermediaries usually hold short-term senior debt...
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作者：Schwert, GW
作者单位：University of Rochester; National Bureau of Economic Research
摘要：This paper examines whether hostile takeovers can be distinguished from friendly takeovers, empirically, based on accounting and stock performance data. Much has been made of this distinction in both the popular and the academic literature, where gains from hostile takeovers result from replacing incumbent managers and gains from friendly takeovers result from strategic synergies. Alternatively, hostility could reflect strategic choices made by the bidder or the target. Empirical tests show th...
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作者：Weston, JP
作者单位：Rice University
摘要：This paper examines the effect of recent market reforms on the competitive structure of the Nasdaq. Our results show that changes in inventory and information costs cannot explain the post-reform decrease in bid-ask spreads. We interpret this as evidence that the reforms have reduced Nasdaq dealers' rents. Additionally, we find that the difference between NYSE and Nasdaq spreads have been greatly diminished with the new rules. Further, the reforms have resulted in an exit, ceteris paribus, fro...
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作者：Lamont, OA
作者单位：University of Chicago; National Bureau of Economic Research
摘要：When the discount rate falls, investment should rise. Thus with time-varying discount rates and instantly changing investment, investment should positively covary with current stock returns and negatively covary with future stock returns. Aggregate nonresidential U.S. investment contradicts both these implications, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, from a U.S. government survey of firms, are highly informative mea...
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作者：Kadapakkam, PR
作者单位：University of Texas System; University of Texas at San Antonio
摘要：Previous research documents positive ex-dividend day returns in excess of one percent in the unique institutional setting of Hong Kong, where neither dividends nor capital gains are taxed. Short-term arbitrage trades around the ex-day were hampered by physical settlement procedures. After the recent switch to an electronic settlement system, which enables such trades, ex-day abnormal returns have declined to an insignificant 0.17 percent. This drop is more pronounced fbr high-yield stocks, whi...
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作者：Lee, CMC; Swaminathan, B
作者单位：Cornell University
摘要：This study shows that past trading volume provides an important link between momentum and value strategics. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically price momentum effects reverse over the n...
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作者：Schultz, P
作者单位：University of Notre Dame
摘要：A traditional explanation for stock splits is that they increase the number of small shareholders who own the stock. A possible reason for the increase is that the minimum bid-ask spread is wider after a split and brokers have more incentive to promote a stock. I document a large number of small buy orders following Nasdaq and NYSE/AMEX splits during 1993 to 1994. I also find strong evidence that trading costs increase, and weak evidence that costs of market making decline following splits. Th...
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作者：Lo, AW; Mamaysky, H; Wang, J
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：Technical analysis, also known as charting, has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the: beholder. In this paper, we propose a systematic and automatic approach to techn...
