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作者：Ng, LL; Wang, QH
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee
摘要：This study provides evidence that links institutional trading behavior directly to anomalous turn-of-the-year return patterns of small stocks. We find that turn-of-the-year trading patterns of institutions reflect strategies generally consistent with window-dressing and risk-shifting behaviors. Institutions sell more loser small stocks in the last quarter of the year, but buy more small stocks, winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end...
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作者：Bae, KH; Chan, K; Ng, A
作者单位：Hong Kong University of Science & Technology; Korea University
摘要：Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation between return volatility and the investibility of individual stocks, even after controlling for country, industry, firm size, and turnover. We also find that a highly investible emerging market portfolio is...
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作者：Moeller, SB; Schlingemann, FP; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Southern Methodist University
摘要：We examine a sample of 12,023 acquisitions by public firms from 1980 to 2001. The equally weighted abnormal announcement return is 1.1%, but acquiring-firm shareholders lose $25.2 million on average upon announcement. This disparity suggests the existence of a size effect in acquisition announcement returns. The announcement return for acquiring-firm shareholders is roughly two percentage points higher for small acquirers irrespective of the form of financing and whether the acquired firm is p...
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作者：Grinstein, Y; Hribar, P
作者单位：Cornell University
摘要：We investigate CEO compensation for completing M&A deals. We find that CEOs who have more power to influence board decisions receive significantly larger bonuses. We also find a positive relation between bonus compensation and measures of effort, but not between bonus compensation and deal performance. CEOs with more power also tend to engage in larger deals relative to the size of their own firms, and the market responds more negatively to their acquisition announcements. Our evidence is cons...
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作者：Narayanan, RP; Rangan, KP; Rangan, NK
作者单位：University System of Ohio; Ohio University; University System of Ohio; Case Western Reserve University
摘要：The re-entry of banking organizations into securities underwriting raises concerns over the possibility of banks using their lending-generated private information to benefit themselves and the issuing firm at the expense of investors. This paper illustrates the use of syndicate structure by lending banks to credibly commit against such opportunistic behavior and to exploit their proprietary information to lower issuance cost for borrowing firm issuers. We show that lending banks predominantly ...
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作者：Kimmel, RL
作者单位：Princeton University
摘要：The term structure of interest rates is modeled as a random field with conditional volatility. Random field models allow consistency with the current shape of the term structure without the need for recalibration. However, most such models are Gaussian, with no conditional volatility. State-dependent volatility is introduced while a key property of Gaussian random field models is retained. Each forward rate is part of a low-dimensional diffusion process, simplifying estimation and derivatives ...
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作者：Chung, KH; Chuwonganant, C; McCormick, DT
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Purdue University System; Indiana University Purdue University Fort Wayne
摘要：Despite the widely held belief that order preferencing affects market quality, no hard evidence exists on the extent and determinants of order preferencing and its impact on dealer competition and execution quality. This study shows that the bid-ask spread (dealer quote aggressiveness) is positively (negatively) related to the proportion of internalized volume during both the pre- and post-decimalization periods. Although decimal pricing led to lower order preferencing on NASDAQ, the extent of...
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作者：Harvey, CR; Lins, KV; Roper, AH
作者单位：Duke University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper conducts powerful new tests of whether debt can mitigate the effects of agency and information problems. We focus on emerging market firms for which pyramid ownership structures create potentially extreme managerial agency costs. Our tests incorporate both traditional financial statement data and new data on global debt contracts. Our analysis is mindful of the potential endogeneity between debt, ownership structure, and value, and it takes into account differences in the debt capac...
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作者：Baker, M; Wurgler, J
作者单位：New York University; Harvard University
摘要：We document a close link between fluctuations in the propensity to pay dividends and catering incentives. First, we use the methodology of Fama and French (J. Finan. Econ. (2001)) to identify a total of four distinct trends in the propensity to pay dividends between 1963 and 2000. Second, we show that each of these trends lines up with a corresponding fluctuation in catering incentives: The propensity to pay increases when a proxy for the stock market dividend premium is positive and decreases...
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作者：Cadenillas, A; Cvitanic, J; Zapatero, F
作者单位：University of Southern California; University of Alberta; University of Southern California; University of Southern California
摘要：We study the incentive effects of granting levered or unlevered stock to a risk-averse manager. The stock is granted by risk-neutral shareholders who choose leverage and compensation level. The manager applies costly effort and selects the level of volatility, both of which affect expected return. The results are driven by the attempt of the risk-neutral shareholders to maximize the value of their claims net of the compensation package. We consider a dynamic setting and find that levered stock...
