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作者：Inderst, R; Müller, HM
作者单位：New York University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We develop an equilibrium model of contracting, bargaining, and search in which the relative scarcity of venture capital affects the bargaining power of entrepreneurs and venture capitalists. This in turn affects the pricing, contracting, and value creation in start-ups. The relative scarcity of venture capital is endogenous and depends on the profitability of venture capital investments, entry costs, and transparency of the venture capital market. Supply and demand conditions also affect the ...
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作者：Teo, M; Woo, SJ
作者单位：Singapore Management University
摘要：Using CRSP stock and mutual fund data, we find strong evidence for reversals at the style level (e.g., large value, small growth, etc.). There are significant excess and risk-adjusted returns for stocks in styles characterized by the worst past returns and net inflows. We also find evidence for momentum and positive feedback trading at the style level. These value and momentum effects are driven neither by fundamental risk nor by stock-level reversals and momentum. Taken together, the results ...
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作者：DeAngelo, H; DeAngelo, L; Skinner, DJ
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：Aggregate real dividends paid by industrial firms increased over the past two decades even though, as Fama and French (J. Financial Econ. 60, 3) (2001 a) document, the number of dividend payers decreased by over 50%. The reason is that (i) the reduction in payers occurs almost entirely among firms that paid very small dividends, and (ii) increased real dividends from the top payers swamp the modest dividend reduction from the loss of many small payers. These trends reflect high and increasing ...
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作者：Rosen, HS; Wu, S
作者单位：Hamilton College; Princeton University
摘要：This paper analyzes the role health status plays in household portfolio decisions using data from the Health and Retirement Study. The results indicate that health is a significant predictor of both the probability of owning different types of financial assets and the share of financial wealth held in each asset category. Households in poor health are less likely to hold risky financial assets, other things (including the level of total wealth) being the same. Poor health is associated with a ...
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作者：Christoffersen, P; Jacobs, K
作者单位：McGill University; Universite de Montreal
摘要：Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in parameter estimation and model evaluation should be the same, otherwise suboptimal parameter estimates may be obtained. Second, when comparing models, the estimation loss function should be identical acro...
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作者：Cannavan, D; Finn, F; Gray, S
作者单位：University of Queensland
摘要：A dividend imputation tax system provides shareholders with a credit (for corporate tax paid) that can be used to offset personal tax on dividend income. This paper shows how to infer the value of imputation tax credits from the prices of derivative securities that are unique to Australian retail markets. We also test whether a tax law amendment that was designed to prevent the trading of imputation credits affected their economic value. Before the amendment, tax credits were worth up to 50% o...
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作者：Gibson, S; Safieddine, A; Sonti, R
作者单位：Cornell University; American University of Beirut; Tulane University
摘要：We document that seasoned equity issuers experiencing the greatest increase in institutional investment around the offer date outperformed their benchmark portfolios in the year following the issue by a statistically and economically significant margin relative to those experiencing the greatest decrease. No such relationship exists for a control sample of matched non-issuers. Issuers with the greatest institutional investment are also found to have the highest ratio of sell-side analyst upgra...
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作者：Fishe, RPH; Robe, MA
作者单位：American University; University of Richmond
摘要：We examine insider trading in specialist and dealer markets, using the trades of stock brokers who had advance copies of a stock analysis column in Business Week magazine. We find that increases in price and volume occur after informed trades. During informed trading, market makers decrease depth. Depth falls more on the NYSE and Amex than on the Nasdaq. Spreads increase on the NYSE and Amex, but not on the Nasdaq. We find none of these prerelease changes in a nontraded control sample of stock...
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作者：Ivkovic, Z; Jegadeesh, N
作者单位：Emory University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper evaluates the information content of analysts' one-quarter-ahead earnings forecast revisions and recommendation revisions at various points in event time relative to earnings announcement dates. Across three sets of tests, we find that the revisions are least informative in the week after earnings announcements and that the information content of revisions generally increases over event time. We find a sharp increase in the information content of upward forecast revisions and recomm...
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作者：Almazan, A; Brown, KC; Carlson, M; Chapman, DA
作者单位：Boston College; University of British Columbia; University of Texas System; University of Texas Austin
摘要：We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the portfolio manager is more experienced, (iii) the fund is managed by a team rather than an individual,...
