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作者：Ellis, K
作者单位：University of California System; University of California Davis
摘要：I examine the enormous trading volume in the first two days of trading following an initial public offering (IPO) with a sample of Nasdaq IPOs. The composition of trading varies widely with the initial return and not all trading is investor-related. Cold IPOs have a high proportion of interdealer sell trades, whereas hot IPOs have balanced investor buying and selling. Market makers hold zero inventory throughout trading, offsetting any investor inventory imbalance with a trade with the lead un...
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作者：Avramov, Doron; Chordia, Tarun
作者单位：University System of Maryland; University of Maryland College Park; Emory University
摘要：This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics. The investor optimally holds small-cap, growth, and momentum stocks and loads less (more) heavily on momentum (small-cap) stocks during recessions. Returns on individual...
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作者：Zarutskie, Rebecca
作者单位：Duke University
摘要：This paper presents evidence on the financial and real effects of bank competition using a large panel of privately held firms. I trace the firm-level impact of the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994, which increased the competitiveness of U.S. banking markets. Following the deregulation, newly formed firms used significantly less external debt, were smaller, and realized higher returns on assets, consistent with their investing less due to greater financial co...
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作者：Gallmeyer, Michael F.; Kaniel, Ron; Tompaidis, Stathis
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Duke University; University of Texas System; University of Texas Austin
摘要：We study the consumption-portfolio problem in a setting with capital gain taxes and multiple risky stocks to understand how short selling influences portfolio choice with a shorting-the-box restriction. Our analysis uncovers a novel trading flexibility strategy whereby, to minimize future tax-induced trading costs, the investor optimally shorts one of the stocks (or equivalently, buys put options) even when no stock has an embedded gain. Alternatively, an imperfect form of shorting the box can...
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作者：Mathews, RD
作者单位：Duke University
摘要：I study how strategic alliances and their impact on future competitive incentives can motivate interfirm equity sales. In the model, an alliance between an entrepreneurial firm and an established firm improves efficiency for both. However, the requisite knowledge transfer heightens the established firm's incentive to enter one of its partner's markets. I show that equity can eliminate the entry incentive, but accommodation is sometimes chosen to encourage entreprencurial effort on future growt...
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作者：Attari, M; Banerjee, S; Noe, TH
作者单位：Tulane University; Charles River Associates
摘要：In this paper, we develop a dynamic model of institutional share dumping surrounding control events. Institutional investors sometimes dump shares, despite trading losses, in order to manipulate share prices and trigger activism by relationship investors. These institutional investors are motivated to trade not only by trading profits but also by a desire to protect the value of their inventory and to disguise the quality of their own information. Relationship investor profit from targeting fi...
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作者：Adam, Tim R.; Fernando, Chitru S.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Massachusetts Institute of Technology (MIT)
摘要：We document that gold mining firms have consistently realized economically significant cash flow gains from their derivatives transactions. We conclude that these cash flows have increased shareholder value since there is no evidence of an offsetting adjustment in firms' systematic risk. This finding contradicts a central assumption in the risk management literature that derivatives transactions have zero net present value, and highlights an important motive for firms to use derivatives that t...
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作者：Lerner, J
作者单位：Harvard University; National Bureau of Economic Research
摘要：The origins of financial innovations have attracted little empirical scrutiny. Using Wall Street Journal articles as an indicator, this paper examines which institutions were the key financial innovators between 1990 and 2002. The evidence suggests that smaller firms account for a disproportionate share of the innovations. Less profitable firms innovate more, though in the years subsequent to the introduction of the innovation, the profitability of the innovators increases significantly. Final...
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作者：Burns, N; Kedia, S
作者单位：University System of Georgia; University of Georgia; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：This paper examines the effect of CEO compensation contracts on misreporting. We find that the sensitivity of the CEO's option portfolio to stock price is significantly positively related to the propensity to misreport. We do not find that the sensitivity of other components of CEO compensation, i.e., equity, restricted stock, long-term incentive payouts, and salary plus bonus have any significant impact on the propensity to misreport. Relative to other components of compensation, stock option...
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作者：Clarke, J; Subramanian, A
作者单位：University System of Georgia; Georgia State University; University System of Georgia; Georgia Institute of Technology
摘要：We develop a multi-period learning model to examine the relation between analysts' forecasting behavior and their performance. In a competitive market for banking services, the surplus and the analyst's payoff, which is determined through bargaining, are convex in her reputation. The convexity of her payoff structure and the presence of employment risk lead to a U-shaped relation between the analyst's forecast boldness and prior performance and a positive relation between forecast boldness and...
