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作者：Howe, JS; Su, T
作者单位：University of Missouri System; University of Missouri Columbia; University of Miami
摘要：Managers can decide to reduce a warrant's exercise price. A reduction in exercise price can induce exercise (a conversion-forcing reduction) or not (a long-term reduction). Conversion-Forcing firms show an abnormal return of -1.53% on the announcement day but they perform well over the three: years following the announcement. This finding suggests that the funds raised from warrant exercise are invested in profitable projects, Long-term reductions show an abnormal return of -1.15% on the annou...
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作者：Hodrick, RJ; Zhang, XY
作者单位：Columbia University; National Bureau of Economic Research
摘要：This paper evaluates the specification errors of several empirical asset pricing models that have been developed as potential improvements on the CAPM, We use the methodology of Hansen and Jagannathan (J. Finance 51 (1997) 3). and the test assets are the 25 Fama-French (J. Financial Econom. 52 (1997) 557) equity portfolios sorted on size and book-to-market ratio. and the Treasury bill. We allow the parameters of each model's pricing kernel to fluctuate with the business cycle. While we cannot ...
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作者：Jones, CS
作者单位：University of Rochester
摘要：This paper proposes an alternative to the asymptotic principal components procedure of Connor and Korajczyk (J. Financial Econom. 15 (1986) 373) that is robust to time series heteroskedasticity in the factor model residuals. The new method is simple to use and requires no assumptions stronger than those made by Connor and Korajczyk, It is demonstrated through simulations and analysis of actual stock market data that allowing heteroskedasticity sometimes improves the quality of the extracted fa...
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作者：Ongena, S; Smith, DC
作者单位：Tilburg University; Tilburg University; Federal Reserve System - USA
摘要：We analyze the duration of bank relationships using a unique panel data set of listed firms and their banks from the bank-dominated Norwegian market. We find that firms are more likely to leave a bank as the relationship matures. Small, profitable, and highly leveraged firms maintain shorter bank relationships, as do firms with multiple bank relationships. These findings are robust to censoring, alternate specifications for the distribution of relationship duration, and other control variables...
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作者：Chidambaran, NK; Fernando, CS; Spindt, PA
作者单位：Tulane University
摘要：In 1993 and 1994, Freeport McMoRan Copper and Gold issued two series of gold-denominated depositary shares to finance the expansion of its mining capacity in Indonesia. The pricing of these securities reflected their enhanced credit quality, which arose from the positive correlation between the value of the firm and the value of the securities. This feature of the securities effectively bundles a gold hedge with financing. A bundled hedge avoids wealth transfers to senior bondholders, since ju...
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作者：Busaba, WY; Benveniste, LM; Guo, RJ
作者单位：University of Arizona; University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：American IPOs are priced after a process of bookbuilding, during which issuers can withdraw at any time. We hypothesize that the option to withdraw reduces underpricing by strengthening the issuers' bargaining power with respect to investors. Empirical analysis reveals that underpricing is lower when investor perception of an IPO's likelihood of withdrawal is higher. Withdrawing issuers are neither smaller nor less profitable than issuers completing their IPOs, and engage underwriters that are...
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作者：DeLong, GL
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper shows bank mergers that enhance value upon announcement can be distinguished from those that do not create value. I classify mergers of banking firms according to activity and geographic similarity (focus) or dissimilarity (diversification), and examine the abnormal returns to each group as a result of the merger announcement. Mergers that focus both activity and geography enhance stockholder value by 3.0% while the other types do not create value. Analysis reveals that abnormal ret...
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作者：Zhou, XM
作者单位：City University of Hong Kong; University of Sydney
摘要：Himmelberg et al. (J. Financial Econom. 53 (1999) 353-384) argue that fixed effects estimators should be used in examination of the relationship between managerial ownership and firm performance. I show that managerial ownership, while substantially different across firms, typically changes slowly from year to year within a company. With rational managers maximising long-term utility, small, one-year changes in ownership are not likely to reflect notable changes in incentives that would lead t...
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作者：Chakravarty, S
作者单位：Purdue University System; Purdue University
摘要：Using audit trail data for a sample of NYSE firms wt show that medium-size trades an associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of Barclay and Warners (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative prier impact of medium-size trades is trades initiated by institutions. This result is robust to various sensiti...
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作者：Kroszner, RS; Strahan, PE
作者单位：University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We investigate the trade-off between the benefits from bank monitoring when a banker is represented on a firm's board and the costs from two sources: conflicts Of interests between lenders and shareholders, and U.S. legal doctrines that generate lender liability for bankers on boards of firms in financial distress. Consistent with high costs of active involvement, bankers are on boards of large, stable firms with high proportions of collateralizable assets and low reliance on short-term financ...
