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作者：Lowry, M; Shu, S
作者单位：Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the relation between risk and IPO underpricing and test two aspects of the litigation-risk hypothesis: (1) firms with higher litigation risk underprice their IPOs by a greater amount as a form of insurance (insurance effect) and (2) higher underpricing lowers expected litigation costs (deterrence effect). To adjust for the endogeneity bias in previous studies, we use a simultaneous equation framework. Evidence provides support for both aspects of the litigation-risk hypothesis. (C) ...
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作者：DeAngelo, H; DeAngelo, L; Wruck, KH
作者单位：University of Southern California; University System of Ohio; Ohio State University
摘要：A hot growth stock in the 1980s, L.A. Gear's equity fell from $1 billion in market value in 1989 to zero in 1998. For over six years as revenues declined precipitously, management tried a series of radical strategy shifts while subsidizing the firm's large losses through working-capital liquidations. The L.A. Gear case illustrates that asset liquidity (broadly construed, not limited to excess cash) can give managers substantial operating discretion during financial distress. It also shows (1) ...
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作者：Ang, A; Chen, J
作者单位：Columbia University; University of Southern California
摘要：Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional correlations implied by a normal distribution by 11.6%. We find that conditional asymmetric correlations are fundamentally different from other meas...
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作者：Schwert, GW
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作者：Chordia, T; Roll, R; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy or sell orders, reduce liquidity. Market-wide returns are strongl...
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作者：Mitton, T
作者单位：Brigham Young University
摘要：In a sample of 398 firms from Indonesia, Korea, Malaysia, the Philippines, and Thailand, firm-level differences in variables related to corporate governance had a strong impact on firm performance during the East Asian financial crisis of 1997-1998. Significantly better stock price performance is associated with firms that had indicators of higher disclosure quality (ADRs and auditors from Big Six accounting firms), with firms that had higher outside ownership concentration, and with firms tha...
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作者：Jin, L
作者单位：Harvard University
摘要：This paper examines the relation between chief executive officers' (CEOs') incentive levels and their firms' risk characteristics. I show theoretically that, when CEOs cannot trade the market portfolio, optimal incentive level decreases with firm's nonsystematic risk but is ambiguously affected by firm's systematic risk; when CEOs can trade the market portfolio, optimal incentive level decreases with nonsystematic risk but is unaffected by systematic risk. Empirically I find support for these ...
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作者：Busse, JA; Green, TC
作者单位：Emory University
摘要：The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market hypothesis. The segments report analysts' views about individual stocks and are broadcast when the market is open. We find that prices respond to reports within seconds of initial mention, with positive reports fully incorporated within one minute. Trading intensity doubles in the first minute, with a significant increase in buyer- (seller-) initiated trades after positive (negative)...
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作者：Bae, KH; Kang, JK; Lim, CW
作者单位：Michigan State University; Michigan State University's Broad College of Business; Korea University; Hong Kong University of Science & Technology
摘要：Using a large sample of exogenous events that negatively affected Korean banks during the 1997-98 period, we examine the value of durable bank relationships in Korea. We show that adverse shocks to banks have a negative effect not only on the value of the banks themselves but also on the value of their client firms, and that this adverse effect on firm value is a decreasing function of the financial health of both the banks and their client firms. Our results are concentrated in the second hal...
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作者：Schwert, GW
