-
作者：Edelen, RM; Warner, JB
作者单位：University of Rochester; University of Pennsylvania
摘要：We study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent relation reflects Row and institutional trading affecting returns. This daily relation is similar in magnitude to the price impact reported for an individual institution's trades in a stock. Aggregate flow also follows market returns with a one-day lag. The lagged response of flow suggests either a common r...
-
作者：Brown, GW
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This study investigates the foreign exchange risk management program of HDG Inc. (pseudonym), a US-based manufacturer of durable equipment. Precise examination of factors affecting why and how the firm manages its foreign exchange exposure are explored through the use of internal firm documents, discussions with managers, and data on 3,110 foreign-exchange derivative transactions. Informational asymmetries, facilitation of internal contracting, and competitive pricing concerns appear to motiva...
-
作者：Daines, R
作者单位：New York University
摘要：I present evidence consistent with the theory that Delaware corporate law improves firm value and facilitates the sale of public firms. Using Tobin's Q as an estimate of firm value, I find that Delaware firms are worth significantly more than similar firms incorporated elsewhere. The result is robust to controls for firm size, diversification, profitability, investment opportunity, industry, managerial ownership, and unobservable firm heterogeneity. Delaware firms are also significantly more l...
-
作者：Chen, J; Hong, H; Stein, JC
作者单位：Harvard University; Stanford University
摘要：We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced (1) an increase in trading volume relative to trend over the prior six months, consistent with the model of Hong and Stein (NBER Working Paper, 1999), and (2) positive returns over the prior 36 months, which fits with a number of theories, most notably Blanchard and Watson's (Crises in Economic and ...
-
作者：Chacko, G; Tufano, P; Verter, G
作者单位：Harvard University
摘要：Cephalon Inc., a biotech firm, bought call options on its own stock to meet its conditional cash flow needs. We analyze this decision by using the cash flow hedging concepts of Froot et al., (1993. Journal of Finance 5, 1629-1658). We identify the managerial analyses necessary to apply this theory and discuss managerial considerations absent from the theory. We find that managers consider deadweight costs of risk management, which theory tends to ignore. Theory provides little guidance in how ...
-
作者：Cooper, RA; Day, TE; Lewis, CM
作者单位：Vanderbilt University; University of Texas System; University of Texas Dallas
摘要：This paper develops and tests procedures for ranking the performance of security analysts based on the timeliness of their earnings forecasts, the abnormal trading volume associated with these forecasts, and forecast accuracy. Our framework provides an objective assessment of analyst quality that differs from the standard approach, which uses survey evidence to rate analysts. We find that lead analysts identified by our measure of forecast timeliness have a greater impact on stock prices than ...
-
作者：Esty, BC
作者单位：Harvard University
摘要：CalFed Bancorp is one of 126 S&Ls suing the U.S. government for breach of contract related to supervisory goodwill, a form of goodwill created by the acquisition of insolvent thrifts during the early 1980s. Before a determination of damages in its lawsuit, CalFed announced and issued a litigation participation security giving shareholders a proportional claim on recovered damages, if any. This announcement generated a positive excess return in part because it made CalFed a more likely acquisit...
-
作者：Froot, KA
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper examines the market for catastrophe event risk - i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other corporations against the largest cat events is most valuable. However, most insurers purchase relatively little cat reinsurance against large events, and premiums are high relative to expected losses. To understand why the theory fails, we examine transac...
-
作者：Burch, TR
作者单位：University of Miami
摘要：Conventional wisdom suggests that lockup options are granted by self-interested target managers to discourage competition and hand-select an acquirer, thus harming target shareholder wealth. Evidence from 2,067 deals announced during 1988-1995 suggests that lockup options inhibit competition, but on average, deals with lockup options have higher target announcement and overall returns and lower bidder announcement returns, even after controlling for shareholder anticipation and other factors. ...
-
作者：Froot, KA; O'Connell, PGJ; Seasholes, MS
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper explores daily international portfolio flows into and out of 44 countries from 1994 through 1998. We find several facts concerning the behavior of flows and their relationship with equity returns. First, we detect regional flow factors that have increased in importance through time. Second, the flows appear to be stationary, but far more persistent than returns. Third, flows are strongly influenced by past returns, a finding consistent with positive feedback trading by international...
