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作者：Fleming, J; Kirby, C; Ostdiek, B
作者单位：Rice University; University of Texas System; University of Texas Dallas
摘要：Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this realized volatility approach in the context of investment decisions. Our results indicate that the value of switching from daily to intradaily returns to estimate the conditional covariance matrix can be substantial. We estimate that a risk-averse investor would be willing to pay 50 to ...
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作者：Naik, NY; Yadav, PK
作者单位：University of London; London Business School; University of Strathclyde
摘要：This paper investigates whether dealer firms' trading and pricing decisions are governed by their equivalent inventories, based on Ho and Stoll (1983) or Froot and Stein (1998), or by their ordinary inventories. It finds that ordinary inventories best explain dealer firms' quote placement strategy, which dealer firm executes trades, and the quality of execution offered to the trades. This finding is consistent with decentralized nature of market-making where individual dealers focus on the pos...
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作者：Eckbo, BE; Thorburn, KS
作者单位：Dartmouth College
摘要：Swedish bankruptcy filing automatically terminates the employment of the chief executive officer (CEO) and triggers an auction of the firm. Critics of this system warn of excessive shareholder risk-shifting incentives prior to filing. We argue that private benefits of control induce managerial conservatism that may override shareholder risk-shifting incentives. By investing conservatively, the CEO increases the joint probability that the auction results in a going-concern sale and that the CEO...
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作者：Officer, MS
作者单位：University of Southern California
摘要：The paper provides evidence on the effects of including a target termination fee in a merger contract. I test the implications of the hypothesis that termination fees are used by self-interested target managers to deter competing bids and protect sweetheart deals with white knight bidders, presumably resulting in lower premiums for target shareholders. An alternative hypothesis is that target managers use termination fees to encourage bidder participation by ensuring that the bidder is compens...
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作者：Altinkilic, O; Hansen, RS
作者单位：Tulane University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：Expected discounting in seasoned equity offers is a cost of uncertainty about firm value, marketing new shares, and acquiring information that raises the offer price. Stockholders incorporate predictable discounting in stock prices when equity offers are first announced. The surprise component of discounting, reflecting the lead bank's final adjustment to the offer price, releases information that often causes economically large price swings on the offer day. Disparities between the issuer's c...
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作者：Rajan, RG; Zingales, L
作者单位：University of Chicago
摘要：The state of development of the financial sector does not change monotonically over time. In particular, by most measures, countries were more financially developed in 1913 than in 1980 and only recently have they surpassed their 1913 levels. To explain these changes, we propose an interest group theory of financial development where incumbents oppose financial development because it breeds competition. The theory predicts that incumbents' opposition will be weaker when an economy allows both ...
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作者：Schwert, GW; Eckbo, BE
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作者：Ogden, JP
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：This paper documents, for 1947-2000, seasonalities in economic activity, stock and bond returns, and relationships among them. Evidence is consistent with an annual cycle view of economic activity and risk conditions. The power of lagged stock returns to forecast economic activity is greater for quarters ending in December and March. Mean excess returns on NYSE stocks in October through March account for 78-107% of their annual means and reflect a seasonal asymmetric return reversal tendency, ...
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作者：Campello, M
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper provides firm- and industry-level evidence of the effects of capital structure on product market outcomes for a large cross-section of industries over a number of years. The analysis uses shocks to aggregate demand as surrogates for exogenous changes in the product market environment. I find that debt financing has a negative impact on firm (relative-to-industry) sales growth in industries in which rivals are relatively unlevered during recessions, but not during booms. In contrast,...
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作者：Barron, JM; Waddell, GR
作者单位：University of Oregon; Purdue University System; Purdue University
摘要：This paper extends the literature on executive compensation by developing and testing a principal-agent model in the context of project selection. The model's focus on executive project selection decisions highlights the multidimensional nature of executive choices that affect the value of the firm. An executive not only makes an effort choice that determines the quality of information on which to base a decision but also sets the decision criteria for selecting projects. A project selection f...
