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作者：Chirinko, RS; Singha, AR
作者单位：Emory University; Leibniz Association; Ifo Institut
摘要：In a recent paper? Shyam-Sunder and Myers (1999) introduce a new test of the Pecking Order Model. This comment shows that their elegantly simple test generates misleading inferences when evaluating plausible patterns of external financing. Our results, coupled with the power problem with the Static Tradeoff Model documented by Shyam-Sunder and Myers, indicate that their empirical evidence can evaluate neither the Pecking Order nor Static Tradeoff Models. Alternative tests are needed that can i...
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作者：Gompers, P; Lerner, J
作者单位：Harvard University
摘要：We show that inflows of capital into venture funds increase the valuation of these funds' new investments. This effect is robust to (i) controlling for firm characteristics and public market valuations, (ii) examining first differences, and (iii) using inflows into leveraged buyout funds as an instrumental variable. Interaction terms suggest that the impact of venture capital inflows on prices is greatest in states with the most venture capital activity. Changes in valuations do not appear rel...
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作者：Thorburn, KS
作者单位：Dartmouth College
摘要：This paper provides some first, large-sample evidence on the Swedish auction bankruptcy system. Compared to U.S. Chapter 11 cases, the small-firm bankruptcy auctions examined here are substantially quicker, have lower costs, and avoid deviations from absolute priority. Three-quarters of the firms are auctioned as going concerns, which is similar to Chapter 11 survival rates. Moreover, based on market values, creditors in going-concern auctions recover a similar fraction of face value as credit...
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作者：Jordan, BD; Jorgensen, RD; Kuipers, DR
作者单位：Texas Tech University System; Texas Tech University; University of Kentucky; Creighton University
摘要：We investigate pricing relations and the potential for arbitrage in the U.S. Treasury STRIPS market, stressing the importance of reconciling quoted Treasury data with actual market pricing conventions. We document that stripping and reconstitution profits in the STRIPS market are fleeting and rarely economically significant; that matched-maturity principal and coupon STRIPS generally have different prices due, at least in part, to richness or cheapness in the underlying note or bond; and that ...
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作者：Bertsimas, D; Kogan, L; Lo, AW
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：Continuous-time stochastic processes are approximations to physically realizable phenomena. We quantify one aspect of the approximation errors by characterizing the asymptotic distribution of the replication errors that arise from delta-hedging derivative securities in discrete time, and introducing the notion of temporal granularity which measures the extent to which discrete-time implementations of continuous-time models can track the payoff of a derivative security. We show that granularity...
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作者：Song, MH; Walkling, RA
作者单位：University System of Ohio; Ohio State University; California State University System; San Diego State University
摘要：We develop and test the Acquisition Pvobability Hypothesis, which asserts that rivals of initial acquisition targets earn abnormal returns because of the increased probability that they will be targets themselves. On average, rival firms earn positive abnormal returns regardless of the form and outcome of acquisition. These returns increase significantly with the magnitude of surprise about the initial acquisition, Moreover, the cross-sectional variation of rival abnormal returns in the announ...
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作者：Denis, DJ; Kruse, TA
作者单位：Purdue University System; Purdue University; Loyola University Chicago
摘要：We examine the incidence of disciplinary events that reduce the control of current managers, and corporate restructuring among firms experiencing a large decline in operating performance during an active takeover period (1985-1988) and a less active period (1989-1992). We document a significant decline in the disciplinary events from the active to the less active period that is driven by a significant decline in disciplinary takeovers, those takeovers that result in a top executive change. Fol...
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作者：Gillan, SL; Kensinger, JW; Martin, JD
作者单位：Baylor University; U.S. Securities & Exchange Commission (SEC); University of North Texas System; University of North Texas Denton
摘要：We provide clinical evidence of corporate restructuring at Sears, Roebuck & Co., beginning with the firm's 1981 diversification into financial services by acquiring Cold dwell, Banker & Co. and Dean Witter, Reynolds Inc. The initial purchases resulted in a wealth gain to shareholders of approximately $400 million. Anticipated synergies did not materialize, however, and Sears' retail performance deteriorated. Coincident with pressure from institutional investor activists in 1992, Sears announce...
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作者：DeAngelo, H; DeAngelo, L; Skinner, DJ
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：This paper documents that (1) special dividends were once commonly paid by NYSE firms, but are now rarely paid; (2) firms typically paid specials almost as predictably as they paid regular dividends; (3) despite the dramatic overall decline in specials, the incidence of very large specials increased in recent years; and (4) special dividends were not displaced by stock repurchases. Most plausibly, small specials disappeared because their predictability made them close substitutes for regular d...
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作者：Liew, J; Vassalou, M
作者单位：Columbia University; Center for Economic & Policy Research (CEPR)
摘要：We test whether the profitability of HML, SMB, and WML can be linked to future Gross Domestic Product (GDP) growth. Using data from ten countries, we find that HML and SMB contain significant information about future GDP growth. This information is to a large degree independent of that in the market factor. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some countries. Our results support a risk-based explanation ...
