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作者：Bliss, RT; Rosen, RJ
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Babson College
摘要：Recent bank mergers generally did not improve relative operating performance or produce positive abnormal returns to acquiring bank shareholders. We examine the relationship between mergers and CEO compensation during 1986-1995, a period marked by overcapacity and frequent mergers. We find that mergers have a net positive effect on compensation, mainly via the effect of size on compensation. Compensation generally increases even if mergers cause the acquiring bank's stock price to decline, as ...
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作者：Brown, GW; Hartzell, JC
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University
摘要：The publicly traded Boston Celtics Limited Partnership shares provide a unique means of studying the impact of information on equity prices. The results of the Celtics' basketball games significantly affect partnership share returns, trading volume, and volatility. Controlling for the expected value of the signal using betting-market point spreads has little effect on these relations. Investors respond asymmetrically to wins and losses, and playoff games have a larger impact on returns than re...
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作者：Longstaff, FA; Santa-Clara, P; Schwartz, ES
作者单位：University of California System; University of California Los Angeles
摘要：This paper studies the costs of applying single-factor exercise strategies to American swap options when the term structure is actually driven by multiple factors. Using a multifactor string market model of the term structure, we find that even when single-factor models are recalibrated to match the market at every exercise date, the exercise strategies they imply can be suboptimal. Based on estimates of notional amounts outstanding, the total present value costs of following single-factor str...
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作者：Lynch, AW
作者单位：New York University; Columbia University
摘要：This paper examines portfolio allocation across equity portfolios formed on the basis of characteristics like size and book-to-market. In particular, the paper assesses the impact of return predictability on portfolio choice for a multi-period investor with a coefficient of relative risk aversion of 4. Compared to the investor's allocation in her last period, return predictability with dividend yield causes the investor early in life to tilt her risky-asset portfolio away from high book-to-mar...
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作者：Hermalin, BE; Wallace, NE
作者单位：University of California System; University of California Berkeley
摘要：This paper offers a new way to estimate the relation between pay and performance. In particular, unlike previous analyses, we account for the heterogeneity that theory tells us should exist across the compensation packages of different firms. Accounting for heterogeneity allows for more efficient estimates of the pay-for-performance relation and provides a means of testing the secondary hypotheses of agency theory. Among our findings are strong evidence of inter-firm heterogeneity in compensat...
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作者：Hansen, RS
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：The large number of initial public offerings (IPOs) with a 7% spread suggests either that investment bankers collude to profit From 7% IPOs or that the 7% contract is an efficient innovation that better suits the IPO. My tests do not support the collusion theory. Low concentration and ease of entry characterize the IPO market. Moreover, the 7% spread is not abnormally profitable, nor has its use been diminished by public awareness of collusion allegations. In support of the efficient contract ...
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作者：Krigman, L; Shaw, WH; Womack, KL
作者单位：Dartmouth College; University of Arizona; Southern Methodist University
摘要：In the mid-1990s, 30% of firms completing an SEO within three years of their IPO switched lead underwriter, This article provides evidence on why they switched. Contrary to predictions of prior research, there is little evidence that firms switch due to dissatisfaction with underwriter performance at the time of the IPO. A surprising result is that switchers' IPOs were significantly less underpriced than non-switchers' IPOs. However, switchers raised fewer proceeds than expected, compared to t...
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作者：Dahlquist, M; Robertsson, G
作者单位：Duke University
摘要：In this paper, we characterize foreign ownership using a dataset of ownership and attributes of Swedish firms. The analysis reveals that foreigners show a preference for large firms, firms paying low dividends, and firms with large cash positions on their balance sheets. When we further analyze the preference for large firms, we find that market liquidity and presence in international markets, measured through export sales or listings on other exchanges, seem to characterize foreign holdings b...
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作者：Chance, DM; Hemler, ML
作者单位：University of Notre Dame; Virginia Polytechnic Institute & State University
摘要：We examine the performance of 30 professional market timers during 1986-1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. We analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios., and daily data, we find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. Relative ability persists and varies...
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作者：Brockman, P; Chung, DY
作者单位：Hong Kong Polytechnic University
摘要：We investigate the timing of open market share repurchases and the resultant impact on firm liquidity. Using the Stock Exchange of Hong Kong's unique disclosure environment, we identify the exact implementation dates for more than five thousand equity buybacks. We find that managers exhibit substantial timing ability. Consistent with the information-asymmetry hypothesis, bid-ask spreads widen and depths narrow during repurchase periods. We decompose bid-ask spreads and show that adverse select...
