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作者：Bloomfield, R; Hales, J
作者单位：Cornell University; University of Texas System; University of Texas Austin
摘要：Barberis et al. (J. Financial Econ. 49 (1998) 307), construct a model in which investors use the prevalence of past trend reversals as an indicator of the likelihood of future reversals. While such regime-shifting beliefs are consistent with a variety of psychological theories, other contrary predictions are consistent with the same theories. We report two experiments with MBA-student participants that strongly support the existence of regime-shifting beliefs. We conclude that regime-shifting ...
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作者：Thomas, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：Managers frequently cite the desire to mitigate asymmetric information as a motivation for increasing firm focus. The information benefits of focus appear relevant for the subset of firms that actually increase their focus; however, the relevance of focus-related information benefits for the population of diversified firms is an open question. This paper examines the relation between corporate diversification and asymmetric information proxies derived from analysts' forecasts and abnormal retu...
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作者：Avramov, D
作者单位：University System of Maryland; University of Maryland College Park
摘要：We use Bayesian model averaging to analyze the sample evidence on return predictability in the presence of model uncertainty. The analysis reveals in-sample and out-of-sample predictability, and shows that the out-of-sample performance of the Bayesian approach is superior to that of model selection criteria. We find that term and market premia are robust predictor.;. Moreover, small-cap value stocks appear more predictable than large-cap growth stocks. We also investigate the implications of m...
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：Estimates of standard performance measures can be improved by using returns on assets not used to define those measures. Alpha, the intercept in a regression of a fund's return on passive benchmark returns, can be estimated more precisely by using information in returns on nonbenchmark passive assets, whether or not one believes those assets are priced by the benchmarks. A fund's Sharpe ratio can be estimated more precisely by using returns on other assets as well as the fund. New estimates of...
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作者：Bacidore, JM; Sofianos, G
摘要：We examine how the intrinsic differences between U.S. and non-U.S. stocks affect market participants and the market quality of non-U.S. stocks relative to U.S. stocks. Using proprietary data on NYSE specialist trading, we find that, all else equal, specialist closing inventory positions for non-U.S. stocks are closer to zero than U.S. stocks. The evidence on specialist participation and stabilization rates is mixed. Non-U.S. stocks from developed markets have higher specialist participation an...
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作者：Jones, CM; Lamont, OA
作者单位：University of Chicago; Columbia University; National Bureau of Economic Research
摘要：Stocks can be overpriced when short-sale constraints bind. We study the costs of shortselling equities from 1926 to 1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjust...
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作者：Reese, WA; Weisbach, MS
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Tulane University; National Bureau of Economic Research
摘要：This paper examines the hypothesis that non-US firms cross-list in the United States to increase protection of their minority shareholders. Cross-listing on the NYSE or Nasdaq subjects a non-US firm to a number of provisions of US securities law, and requires the firm to conform to US GAAP. It therefore increases the expected cost to managers of extracting private benefits, and commits the firm to protect minority shareholders' interests. The expected relation between the quantity of cross-lis...
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作者：Sherman, AE; Titman, S
作者单位：University of Notre Dame; University of Texas System; University of Texas Austin
摘要：We examine the book-building method for marketing IPOs. In our model, the underwriter selects a group of investors along with a pricing and allocation mechanism to maximize (at minimum cost) the information generated during the process of going public. We also address the moral hazard problem faced by investors when evaluation is costly. When there is little need for accurate pricing, the expected gain from underpricing exactly offsets the investors' costs of acquiring information. When pricin...
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作者：Aggarwal, RK; Krigman, L; Womack, KL
作者单位：Dartmouth College; Babson College
摘要：Managers usually do not sell any of their own shares in an initial public offering but instead wait until the end of the lockup period. We develop a model in which managers strategically underprice IPOs to maximize personal wealth from selling shares at lockup expiration. First-day underpricing generates information momentum by attracting attention to the stock and thereby shifting the demand curve for the stock outwards. This allows managers to sell shares at the lockup expiration at prices h...
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作者：Core, JE; Larcker, DF
作者单位：University of Pennsylvania
摘要：We examine a sample of firms that adopt target ownership plans, under which managers are required to own a minimum amount of stock. We find that prior to plan adoption, such firms exhibit low managerial equity ownership and low stock price performance. Managerial equity ownership increases significantly in the two years following plan adoption. We also observe that excess accounting returns and stock returns are higher after the plan is adopted. Thus, for our sample of firms, the required incr...
