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作者：Chan, K; Hameed, A
作者单位：National University of Singapore; Hong Kong University of Science & Technology
摘要：This paper examines the relation between the stock price synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R-2 statistics of the market model as a measure of synchronicity of stock price movement, we find that greater analyst coverage ...
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作者：Sadka, Ronnie
作者单位：University of Washington; University of Washington Seattle
摘要：This paper investigates the components of liquidity risk that are important for understanding asset-pricing anomalies. Firm-level liquidity is decomposed into variable and fixed price effects and estimated using intraday data for the period 1983-2001. Unexpected systematic (market-wide) variations of the variable component rather than the fixed component of liquidity are shown to be priced within the context of momentum and post-earnings-announcement drift (PEAD) portfolio returns. As the vari...
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作者：Flannery, MJ; Rangan, KP
作者单位：State University System of Florida; University of Florida; University System of Ohio; Case Western Reserve University
摘要：The empirical literature provides conflicting assessments about how firms choose their capital structures. Distinguishing among the three main hypotheses (tradeoff, pecking order, and market timing) requires that we know whether firms have long-run leverage targets and (if so) how quickly they adjust toward them. Yet many previous researchers have applied empirical specifications that fail to recognize the potential for incomplete adjustment. A more general, partial-adjustment model of firm le...
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作者：Johnson, Shane A.; Lin, Ji-Chai; Song, Kyojik Roy
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Louisiana State University System; Louisiana State University; Sungkyunkwan University (SKKU)
摘要：We test the predictions of dividend signaling models using closed-end equity funds that adopt explicit policies committing them to pay minimum dividend yields. These policies represent deliberate attempts to reduce share price undervaluation relative to NAV. Funds that adopt minimum dividend policies experience reductions in their share price discounts, trade at smaller discounts than other funds, earn greater excess returns following policy adoption, and their managers survive longer than oth...
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作者：Li, Wei; Lie, Erik
作者单位：University of Iowa
摘要：We extend Baker and Wurgler's [2004a. Journal of Finance 59 1125-1165] catering theory to include decreases and increases in existing dividends. Consistent with our extended model, we find that the decision to change the dividend and the magnitude of the change depend on the premium that the capital market places on dividends. We also find that the stock market reaction to dividend changes depends on the dividend premium. Thus, the capital market rewards managers for considering investor deman...
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作者：Cooper, Michael J.; McConnell, John J.; Ovtchinnikov, Alexel V.
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; Purdue University System; Purdue University; Virginia Polytechnic Institute & State University
摘要：Strectlore since at least 1973 has touted the market return in January as a predictor of market returns for the remainder of the year. We systematically examine the predictive power of January returns over the period 1940-2003 and find that January returns have predictive power for market returns over the next I I months of the year. The effect persists after controlling for macroeconomic/ business cycle variables that have been shown to predict stock returns, the Presidential Cycle in returns...
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作者：Whited, Toni M.
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Do external finance constraints affect the timing of large investment projects? Simulations of a model with fixed capital-stock adjustment costs establish the hypothesis that external finance constraints lower a firm's investment hazard: the probability of undertaking a large project today as a function of the time since the last project. Hazard model estimation that controls for productivity and adjustment costs supports this hypothesis. Small firms that distribute cash to shareholders have h...
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作者：Campbell, John Y.; Yogo, Motohiro
作者单位：University of Pennsylvania; Harvard University
摘要：Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid inference and an efficient test of predictability that corrects this problem. Although the conventional t-test is invalid for the dividend-price and smoothed earnings-price ratios, our test finds evide...
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作者：Ellul, Andrew
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This paper uses a sample of large trades executed on the London Stock Exchange's SEAQ-I market for European cross-traded firms to investigate their impact on home market prices when parallel markets suffer from information frictions. I find that (a) large London trades produce price impacts in home markets even though no timely information is published, (b) market makers appear to pre- and post-position their inventories by splitting orders across markets, and (c) the price discovery process a...
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作者：Kothari, SP; Lewellen, J; Warner, JB
作者单位：University of Rochester; Massachusetts Institute of Technology (MIT); Dartmouth College; National Bureau of Economic Research
摘要：We study the stock market's reaction to aggregate earnings news. Prior research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find a substantially different pattern in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns correlate negatively with concurrent earning...
