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作者：Teoh, SH; Welch, I; Wong, TJ
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Los Angeles; Hong Kong University of Science & Technology
摘要：Issuers of initial public offerings (IPOs) can report earnings in excess of cash flows by taking positive accruals. This paper provides evidence that issuers with unusually high accruals in the IPO year experience poor stock return performance in the three years thereafter. IPO issuers in the most aggressive quartile of earnings managers have a three-year aftermarket stock return of approximately 20 percent less than IPO issuers in the most conservative quartile. They also issue about 20 perce...
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作者：Jagannathan, R; Wang, ZY
作者单位：Northwestern University; University of Minnesota System; University of Minnesota Twin Cities; Columbia University
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作者：Reiss, PC; Werner, IM
作者单位：Stanford University; National Bureau of Economic Research
摘要：We use unique data from the London Stock Exchange to test whether interdealer trade facilitates inventory risk sharing among dealers. We develop a methodology that focuses on periods of extreme inventories-inventory cycles. We further distinguish between inventory cycles that are unanticipated and those that are anticipated because of worked orders. The pattern of interdealer trade during inventory cycles matches theoretical predictions for the direction of trade and the inventories of trade c...
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作者：Fishe, RPH
作者单位：University of Miami
摘要：Based on a sample of 126 recently promoted faculty, different standards for full professor are observed between top 20 finance departments and lower ranked departments. Full professors affiliated with a top 20 department place an average of 1 out of 3 articles in either Journal of Finance, Review of Financial Studies, or Journal of Financial Economics compared to 1 out of 6 articles for professors at lower-ranked schools. Total citations and cites per year are also significantly different betw...
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作者：Tufano, P
作者单位：Harvard University
摘要：This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted ...
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作者：Odean, T
作者单位：University of California System; University of California Davis
摘要：People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfid...
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作者：Kumar, R; Sarin, A; Shastri, K
作者单位：Virginia Polytechnic Institute & State University; Santa Clara University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option list...
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作者：Dichev, ID
作者单位：University of Michigan System; University of Michigan
摘要：Several studies suggest that a firm distress risk factor could be behind the size and the book-to-market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk. and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book-to-market effects. Surprisingly, firms with ...
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作者：Kahn, C; Winton, A
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Northwestern University
摘要：An institution holding shares in a firm can use information about the firm both for trading (speculation) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervent...
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作者：Pagano, M; Panetta, F; Zingales, L
作者单位：University of Salerno; National Bureau of Economic Research; University of Chicago
摘要：Using a large database of private firms in Italy, we analyze the determinants of initial public offerings (IPOs) by comparing the ex ante and ex post characteristics of IPOs with those of private firms. The likelihood of an IPO is increasing in the company's size and the industry's market-to-book ratio. Companies appear to go public not to finance future investments and growth, but to rebalance their accounts after high investment and growth. IPOs are also followed by lower cost of credit and ...
