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作者：Chang, CW; Chang, JSK; Lim, KG
作者单位：National University of Singapore; California State University System; California State University Fullerton; California State University System; California State University Los Angeles
摘要：With a stochastic time change from calendar-time to information-time, we derive a parsimonious option pricing formula with stochastic volatility as a risk-neutral Poisson sum of Merton's (1973) prices over the option's information-time maturity domain. The formula contains two unobservable parameters, information arrival intensity and information-time asset volatility, with stochastic volatility induced by random information arrival. When the information arrival rate intensifies, the option pr...
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作者：Maquieira, CP; Megginson, WL; Nail, L
作者单位：University System of Georgia; University of Georgia; Universidad de Chile; University of Alabama System; University of Alabama Birmingham
摘要：We examine wealth changes for all 1283 publicly traded debt and equity securities of firms involved in 260 pure stock-for-stock mergers from 1963 to 1996. We find no evidence that conglomerate stock-for-stock mergers create financial synergies or benefit bondholders at stockholders' expense. Instead, we document significant net synergistic gains in nonconglomerate mergers and generally insignificant net gains in conglomerate mergers. Conglomerate bidding-firm stockholders lose; all other secur...
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作者：Agrawal, A; Knoeber, CR
作者单位：North Carolina State University
摘要：A greater threat of takeover has two opposing effects on managerial compensation. The competition effect in the market for managers reduces compensation. The risk effect increases compensation by making managers' implicitly deferred compensation and firm-specific human capital less secure. Using a sample of about 450 large firms, we find that an increase in the threat of takeover from the first to the third quartile reduces a typical CEO's salary and bonus by $22,800-211,600 due to the competi...
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作者：Mehran, H; Nogler, GE; Schwartz, KB
作者单位：Northwestern University; Boston College
摘要：To investigate CEOs' incentives to liquidate their firms, we examine the effects of insider ownership and compensation in stock options on 30 voluntary liquidation decisions by industrial firms in the period 1975-1986. We find that liquidation decisions are influenced by CEO incentive plans and increase shareholder value. Firms with more outside board members, smaller market-to-book ratios, and attempts by outsiders to gain control are more likely to be liquidated. Although few top executives ...
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作者：Rangan, S
作者单位：University of California System; University of California Davis
摘要：Recent studies document that firms conducting seasoned equity offerings experience poor stock price and earnings performance in the post-offering period. I investigate whether earnings management around the time of the offering can explain a portion of the poor performance. Consistent with this explanation, I show that earnings management during the year around the offering predicts both earnings changes and market-adjusted stock returns in the following year. These findings suggest that the s...
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作者：Billett, MT; Garfinkel, JA; O'Neal, ES
作者单位：University of Miami; Loyola University Chicago; University System Of New Hampshire; University of New Hampshire
摘要：We present evidence that insured deposit financing shields banks from the full costs of market discipline. Moody's downgrades, indicators of increasing risk, are associated with negative abnormal equity returns that are increasing in the bank's reliance on insured deposits. Moreover, banks raise their use of insured deposits following increases in risk. These findings cast doubt on the ability of capital market participants to effectively discipline bank behavior within the current regulatory ...
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作者：Porter, DC; Weaver, DG
作者单位：University of Wisconsin System; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This article examines late trade reporting on the Nasdaq National Market System. A substantial number of trades are reported out-of-sequence on both absolute levels and relative to the combined centralized exchanges. We find minimal support for NASD permitted reasons for the late trade reporting. Evidence suggests that market makers could use late trade reporting to manage the release of information. This evidence is consistent with the hypothesis that the delayed reporting of trades is neithe...
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作者：Brennan, MJ; Chordia, T; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Vanderbilt University; University of London; London Business School
摘要：We examine the relation between stock returns, measures of risk, and several non-risk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Our primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, with factors determined using, in turn, the Conner and Korajczyk (CK; 1988) and the Fama and French (FF; 1993b) approaches. Fam...
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作者：Lie, E; McConnell, JJ
作者单位：William & Mary; Purdue University System; Purdue University
摘要：Studies by Vermaelen (1981) and others indicate that the positive excess stock returns around self-tender offer announcements are the result of a signal of future earnings improvements. Comment and Jarrell (1991), Lee, Mikkelson and Partch (1992) and Persons (1994) argue that the signal in fixed-price self-tender offers should be stronger than the signal in Dutch auction self-tender offers. This study tests whether the earnings improvement following fixed-price self-tender offers is greater th...
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作者：Chaplinsky, S; Niehaus, G; Van de Gucht, L
作者单位：University of Virginia; University of South Carolina System; University of South Carolina Columbia; Universite Catholique Louvain
摘要：This paper investigates the motivations for and consequences of including a broad group of employees in leveraged buyouts by comparing employee buyouts (EBOs) to transactions where only top level managers participate, or management buyouts (MBOs). We examine the implications of including employees in a buyout from a labor contracting, financing, and management control point of view. A major finding is that employee participation helps to finance the buyout. The EBO allows firms to gain access ...
