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作者：Jo, Hoje; Kim, Yongtae
作者单位：Santa Clara University
摘要：We examine the relation between disclosure frequency and earnings management, and the impact of this relation on post-issue performance, for a sample of seasoned equity offerings (SEOs). We contend that firms with extensive disclosure are less likely to face information problems, leading to less earnings management and better post-issue performance. Our results confirm that disclosure frequency is inversely related to earnings management and positively associated with post-issue performance. W...
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作者：Ko, K. Jeremy; Huang, Zhijian (James)
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In behavioral finance, overconfidence has been established as a prevalent psychological bias, which can make markets less efficient by creating mispricing in the form of excess volatility and return predictability. In this paper, we develop a model in which overconfidence causes investors to overinvest in information acquisition when this information could improve market efficiency by driving prices closer to true values. We study the impact of overconfidence on mispricing and information acqu...
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作者：Sagi, Jacob S.; Seasholes, Mark S.
作者单位：University of California System; University of California Berkeley
摘要：This paper identifies observable firm-specific attributes that drive momentum. We find that a firm's revenues, costs, and growth options combine to determine the dynamics of its return autocorrelation. We use these insights to implement momentum strategies (buying winners and selling losers) with both numerically simulated returns and CRSP/Cornpustat data. In both sets of data, momentum strategies that use firms with high revenue growth volatility, low costs, or valuable growth options Outperf...
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作者：Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
作者单位：University of London; London Business School; Imperial College London; Singapore Management University
摘要：Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Sorting on Bayesian alphas, relative to OLS alphas, yields a 5.5% per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are...
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作者：Balvers, Ronald J.; Huang, Dayong
作者单位：West Virginia University; Gustavus Adolphus College
摘要：In a general real business cycle model, we derive a pricing kernel that involves only production function arguments. The productivity shock is the single factor and the capital stock relative to a productivity measure is the conditioning variable. The model compares favorably with the complementary consumption-based and market-based approaches and with the Fama-French three-factor model. A size premium arises from differences in unconditional sensitivities-small firms are more sensitive to pro...
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作者：Mele, Antonio
作者单位：University of London; London School Economics & Political Science; University of Turin
摘要：Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs if risk premia increase more in bad times than they decrease in good times, thereby inducing price-di...
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作者：Kerins, Frank; Kutsuna, Kenji; Smith, Richard
作者单位：Montana State University System; Montana State University Bozeman; Kobe University; Claremont Colleges; Claremont Graduate University
摘要：We document discretionary underpricing and partial adjustment of IPO prices in the public offer tranche of Japan's hybrid auction regime, in which investor information differences are not important, there are no roadshows, preferential allocations are negligible, institutional investing is low, and the public offer tranche cannot fail. The magnitude and variation of underpricing in our sample, which spans relatively hot and cold markets, are similar to those reported for US IPOs. The evidence ...
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作者：Miao, Jianjun; Wang, Neng
作者单位：Columbia University; National Bureau of Economic Research; Boston University; Hong Kong University of Science & Technology
摘要：Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments. We extend the standard real options approach to an incomplete markets environment and analyze the joint decisions of business investments, consumption/savings, and portfolio selection. For a lumpsum investment payoff and an agent with a sufficiently strong precautionary savings motive, an increase in volatility can accelerate investment, contrary to the standard real options analysis. When the agent c...
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作者：Chaieb, Ines; Errunza, Vihang
作者单位：University of Amsterdam; McGill University
摘要：We analyze the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor's portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of investors command two additional premiums: a conditional market risk premium and a segflation risk premium. Our model is empirically supported with important implications for tests of international asset...
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作者：Barber, Brad M.; Lehavy, Reuven; Trueman, Brett
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Davis; University of Michigan System; University of Michigan
摘要：From January 1996 through June 2003, the average daily abnormal return to independent research firm buy recommendations exceeds that of investment bank buy recommendations by 3.1 basis points (almost 8 percentage points annualized). Investment bank buy recommendation underperformance is more pronounced following the NASDAQ market peak (March 10, 2000) and strikingly so for buy recommendations on firms that recently conducted equity offerings. In contrast, investment bank hold and sell recommen...
