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作者：DuCharme, LL; Malatesta, PH; Sefcik, SE
作者单位：University of Washington; University of Washington Seattle
摘要：Abnormal accounting accruals are unusually high around stock offers, especially high for firms whose offers subsequently attract lawsuits. Accruals tend to reverse after stock offers and are negatively related to post-offer stock returns. Reversals are more pronounced and stock returns are lower for sued firms than for those that are not sued. The incidence of lawsuits involving stock offers and settlement amounts are significantly positively related to abnormal accruals around the offer and s...
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作者：Getmansky, M; Lo, AW; Makarov, I
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The returns to hedge funds and other alternative investments are often highly serially correlated. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smooth...
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作者：Goldman, E
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the resource allocation decision of a manager inside a multidivision firm whose compensation is based on the firm's stock price. We find that internal investments exhibit a positive correlation across the firms divisions. Namely, when two single-division firms merge the optimal investment level in one division becomes more positively related to the investment level in the other division. In addition, following a spinoff, divisional investments decline (increase) whenever the separat...
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作者：Andricopoulos, AD; Widdicks, M; Duck, PW; Newton, DP
作者单位：University of Manchester; University of Manchester
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作者：Hogan, S; Jarrow, R; Teo, M; Warachka, M
作者单位：Singapore Management University; Cornell University
摘要：This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whethe...
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作者：Lesmond, DA; Schill, MJ; Zhou, CS
作者单位：University of Virginia; Tulane University; Peking University
摘要：Our paper re-examines the profitability of relative strength or momentum trading strategies (buying past strong performers and selling past weak performers). We find that standard relative strength strategies require frequent trading in disproportionately high cost securities such that trading costs prevent profitable strategy execution. In the cross-section, we find that those stocks that generate large momentum returns are precisely those stocks with high trading costs. We conclude that the ...
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作者：Chirinko, RS; Schaller, H
作者单位：Emory University; Leibniz Association; Ifo Institut; University of Munich; Carleton University
摘要：Governance problems have a direct and immediate impact on the effective discount rate guiding investment decisions. Information from a transformed net present value rule and variation in firm-level panel data reveal the effective discount rate influencing investment. For the firms most likely to be affected by Jensen agency problems, investment behavior appears to be guided by discount rates less than the market rate by 350-400 basis points. This wedge is reduced for firms with a concentrated ...
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作者：Lewellen, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite ...
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作者：Kogan, L
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Firm investment activity and firm characteristics, particularly the market-to-book ratio or q, are functions of the state of the economy and therefore contain information about the dynamic behavior of stock returns. This paper develops a model of a production economy in which real investment is irreversible and subject to convex adjustment costs. During low-q (high-q) periods when the irreversibility constraint (constraint on the rate of investment) is binding, conditional volatility and expec...
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作者：Kalay, A; Sade, O; Wohl, A
作者单位：Hebrew University of Jerusalem; Tel Aviv University; Utah System of Higher Education; University of Utah
摘要：We show that estimating demand and supply elasticities at the opening stage of trading at the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is used. We find that the demand curve is more elastic than the supply curve and that both are much more elastic in their executable areas. The empirical evidence indicates that elasticity is increasing during the continuous stage of trading. We discuss methods of estimation of price impact and document that the actual...
