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作者：Hasbrouck, J; Seppi, DJ
作者单位：New York University; Carnegie Mellon University
摘要：How important are cross-stock common factors in the price discovery/liquidity provision process in equity markets? We investigate two aspects of this question for the 30 Dow stocks. First. using principal components and canonical correlation analyses we find that both returns acid order Rows are characterized by common factors. Commonality in the order flows explains roughly two-thirds of the commonality in returns. Second, we examine variation and common covariation in various liquidity proxi...
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作者：Yeoman, JC
作者单位：University System of Georgia; North Georgia College & State University; University System of Georgia; Georgia State University
摘要：The paper develops the net proceeds maximization theory explaining how the spread and offering price are determined in all underwritten offerings in the U.S. The theory yields solutions for the optimal spread and offering price for all underwritten securities and it yields comparative statics that explain the cross-sectional variation in actual spreads and initial returns across different types of underwritten securities. The theory also suggests two alternative explanations to the ones offere...
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作者：Morellec, E
作者单位：University of Rochester
摘要：This paper investigates the impact of asset liquidity on the valuation of corporate securities and the firm's financing decisions. I show that asset liquidity increases debt capacity only when bond covenants restrict the disposition of assets. By contrast, I demonstrate that, with unsecured debt, greater liquidity increases credit spreads on corporate debt and reduces optimal leverage. The model also determines the extent to which pledging assets increases firm value and relates the optimal si...
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作者：Schultz, P; Zaman, M
作者单位：University of Notre Dame; University of Northern Iowa
摘要：Two explanations are commonly offered for the large number of recent IPOs by Internet firms. The first argues that Internet firms are trying to grab market share in an industry with large economies of scale. The second argues that Internet firms are rushing to go public when Internet stuck prices are irrationally high. In this paper we examine the actions of those closest to Internet firms - firm managers, underwriters, and venture capitalists - to determine their motives for going public. Num...
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作者：Johnson, S; Boone, P; Breach, A; Friedman, E
作者单位：Massachusetts Institute of Technology (MIT); Rutgers University System; Rutgers University New Brunswick
摘要：The Asian Crisis of 1997-98 affected all the emerging markets open to capital flows. Measures of corporate governance, particularly the effectiveness of protection for minority shareholders, explain the extent of exchange rate depreciation and stock market decline better than do standard macroeconomic measures. A possible explanation is that in countries with weak corporate governance, worse economic prospects result in more expropriation by managers and thus a larger fall in asset prices. (C)...
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Pennsylvania; University of Chicago; National Bureau of Economic Research
摘要：We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position siz...
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作者：Milne, A; Whalley, AE
作者单位：City St Georges, University of London; University of Warwick
摘要：We correct the analysis of the model of time to build in Majd and Pindyck (1987 Journal of Financial Economics 18, 7-27) for the omission of an essential optimality condition, Our analysis reveals an additional insight: long times to build reduce the effects of increased project value volatility (i,e., higher investment thresholds) in comparison to standard real option models of investment under uncertainty, where investment is instantaneous. Thus, a 'naive' NPV rule can sometimes be an approp...
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作者：Welch, I
作者单位：Yale University
摘要：The paper shows that the buy or sell recommendations of security analysts have a significant positive influence on the recommendations of the next two analysts. This influence can be traced to short-lived information in the most recent revisions. In contrast, the influence of the prevailing consensus is not stronger if the consensus accurately forecasts subsequent stock price movements. This indicates consensus herding consistent with models in which analysts herd based on little information. ...
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作者：Wurgler, J
作者单位：Yale University
摘要：Financial markets appear to improve the allocation of capital. Across 65 countries, those with developed financial sectors increase investment more in their growing industries, and decrease investment more in their declining industries, than those with undeveloped financial sectors. The efficiency of capital allocation is negatively correlated with the extent of state ownership in the economy, positively correlated with the amount of firm-specific information in domestic stock returns, and pos...
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作者：Chan, K; Fong, WM
作者单位：Hong Kong University of Science & Technology; Chinese University of Hong Kong
摘要：This paper examines the roles of the number of trades, size of trades, and order imbalance (buyer- versus seller-initiated trades) in explaining the volatility-volume relation for a sample of NYSE and Nasdaq stocks. Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility-volume relation on both markets. After controlling for the return impact of order imbalance, the volatility-volume relation becomes much weaker. For NYSE stocks, the...
