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作者：Shivdasani, A; Yermack, D
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University
摘要：We study whether CEO involvement in the selection of new directors influences the nature of appointments to the board. When the CEO serves on the nominating committee or no nominating committee exists, firms appoint fewer independent outside directors and more gray outsiders with conflicts of interest; Stock price reactions to independent director appointments are significantly lower when the CEO is involved in director selection. Our evidence may illuminate a mechanism used by CEOs to reduce ...
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作者：Ahn, DH; Boudoukh, J; Richardson, M; Whitelaw, RF
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University; National Bureau of Economic Research
摘要：This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value-at-Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired ...
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作者：Hasbrouck, J
作者单位：New York University
摘要：This paper presents an empirical microstructure model of bid and ask quotes that features discreteness, random costs of market making, and ARCH volatility effects. Applied to intraday quotes at 15-minute intervals for Alcoa (a randomly chosen Dow stock), the results show that quote exposure costs contain stochastic components that are persistent and large relative to the deterministic intraday U components. Analysis of the filtered estimates of the system suggest that bid and ask costs contain...
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作者：Morck, R; Nakamura, M
作者单位：University of Alberta; University of British Columbia
摘要：Using a large sample of Japanese firm level data, we find that Japanese banks act primarily in the short term interests of creditors when dealing with firms outside bank groups. Corporate control mechanisms other than bank oversight appear necessary in these firms. When dealing with firms in bank groups, banks may act in the broader interests of a range of stakeholders, including shareholders. However, our findings are also consistent with banks propping up troubled bank group firms. We conclu...
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作者：Helwege, J; Turner, CM
作者单位：University System of Ohio; Ohio State University
摘要：Many theoretical bond pricing models predict that the credit yield curve facing risky bond issuers is downward-sloping. Previous empirical research (Sarig and Warga (1989), Fons (1994)) supports these models. Our study examines sets of bonds issued by the same firm with equal priority in the liability structure, but with different maturities, thus holding credit quality constant. We find, counter to prior research, that risky bonds typically have upward-sloping credit yield curves. Moreover, w...
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作者：Lee, CLMC; Myers, J; Swaminathan, B
作者单位：Cornell University; University of Washington; University of Washington Seattle
摘要：We model the time-series relation between price and intrinsic Value as a cointegrated system, so that price and Value are long-term convergent. In this framework, we compare the performance of alternative estimates of intrinsic Value for the Dow 30 stocks. During 1963-1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income Valuation model, has statistically reliable predictive power. Further a...
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作者：Jones, DM
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return departs significantly from the pricing model's prediction. Uncertainty about which pricing model to use is less important, on average, than within-model parameter uncertainty. In the absence of misprici...
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作者：Hong, H; Stein, JC
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We model a market populated by two groups of boundedly rational agents: news-watchers and momentum traders. Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trend-chasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrag...
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作者：Barclay, MJ; Christie, WG; Harris, JH; Kandel, E; Schultz, PH
作者单位：University of Rochester; Vanderbilt University; University of Notre Dame; University System of Ohio; Ohio State University; Hebrew University of Jerusalem
摘要：The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measure...
