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作者：Harris, JH; Schultz, PH
作者单位：University of Notre Dame; University System of Ohio; Ohio State University
摘要：SOES bandits are individual investors who use Nasdaq's Small Order Execution System (SOES) for day trading. Their average profit per trade is small, but they trade dozens or hundreds of times per week. Bandits usually establish a position before most market-makers have updated their quotes, and lay off the position at favorable prices through Instinet or SelectNet. It is noteworthy that they trade profitably with market-makers despite having less information. Bandits keep the profits and bear ...
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作者：Nohel, T; Tarhan, V
作者单位：Loyola University Chicago
摘要：In this paper we examine tender offer share repurchases to differentiate between the information signaling and free cash flow hypotheses. Previous work in this area has focused on announcement period returns. While we also examine announcement returns, our primary emphasis is on operating performance changes surrounding repurchases. We argue that the information contained in changes in operating performance, and its determinants, enables us to differentiate between the two hypotheses. Our prim...
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作者：Harris, M; Raviv, A
作者单位：University of Chicago; Northwestern University
摘要：As part of our ongoing research into capital budgeting processes as responses to decentralized information and incentive problems, we focus in this paper on when a level of a managerial hierarchy will delegate the allocation of capital across projects and time to the level below it. In our model, delegation is a way to save on costly investigation of proposed projects. Therefore, it is more extensive the larger are the costs of such investigations. This delegation takes advantage of the fact t...
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作者：Barclay, MJ; Pearson, ND; Weisbach, MS
作者单位：University of Rochester; University of Illinois System; University of Illinois Urbana-Champaign; University of Arizona
摘要：Despite the fact that taxable investors would prefer to defer the realization of capital gains indefinitely, most open-end mutual funds regularly realize and distribute a large portion of their gains. We present a model in which unrealized gains in the fund's portfolio increase expected future taxable distributions, and thus increase the present value of a new investor's tax liability. In equilibrium, managers interested in attracting new investors pass through taxable capital gains to reduce ...
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作者：Mello, AS; Parsons, JE
作者单位：University of Wisconsin System; University of Wisconsin Madison; Centre for Economic Policy Research - UK
摘要：Going public is a complex process with distinct markets for dispersed shares and controlling blocks. It is important to design the sale of new shares with the final ownership structure in mind. An optimal strategy for going public starts with the IPO, which is particularly suited for the sale of dispersed holdings to small and passive investors. The marketing of potentially controlling blocks to active investors should occur subsequently. We develop a framework for evaluating alternative metho...
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作者：Carpenter, JN
作者单位：New York University
摘要：In theory, hedging restrictions faced by managers make executive stock options more difficult to value than ordinary options, because they imply that exercise policies of managers depend on their preferences and endowments. Using data on option exercises from 40 firms, this paper shows that a simple extension of the ordinary American option model which introduces random, exogenous exercise and forfeiture predicts actual exercise times and payoffs just as well as an elaborate utility-maximizing...
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作者：Eisenberg, T; Sundgren, S; Wells, MT
作者单位：Cornell University
摘要：Several studies hypothesize a relation between board size and financial performance. Empirical tests of the relation exist in only a few studies of large U.S. firms. We find a significant negative correlation between board size and profitability in a sample of small and midsize Finnish firms. Finding a board-size effect for a new and different class of firms affects the range of explanations for the board-size effect. (C) 1998 Elsevier Science S.A. All rights reserved.
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作者：DeAngelo, H; DeAngelo, L
作者单位：University of Southern California
摘要：Pacific Lumber was acquired in 1986 by MAXXAM, whose decision to double PL's harvest of old-growth redwoods precipitated 11 years of environmental protests. Intense media coverage blames the Drexel-financed takeover for threatening Headwaters Forest, the largest privately owned ancient redwood forest. This 'Wall Street greed' portrayal aroused such public outrage that the Clinton administration agreed to pay $380 million for Headwaters weeks before the 1996 election. We establish that the thre...
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作者：Christensen, BJ; Prabhala, NR
作者单位：Aarhus University; Yale University
摘要：Previous research finds the volatility implied by S&P 100 index option prices to be a biased and inefficient forecast of future volatility and to contain little or no incremental information beyond that in past realized volatility. In contrast, we find that implied volatility outperforms past volatility in forecasting future volatility and even subsumes the information content of past volatility in some of our specifications. Our results differ from previous studies because we use longer time ...
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作者：Rau, PR; Vermaelen, T
作者单位：Purdue University System; Purdue University; INSEAD Business School; Maastricht University
摘要：This paper uses a methodology robust to recent criticisms of standard long-horizon event study tests to show that bidders in mergers underperform while bidders in tender offers overperform in the three years after the acquisition. However, the long-term underperformance of acquiring firms in mergers is predominantly caused by the poor post-acquisition performance of low book-to-market glamour firms. We interpret this finding as evidence that both the market and the management overextrapolate t...
