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作者：Jones, CM; Lamont, O; Lumsdaine, RL
作者单位：University of Chicago; Columbia University; Brown University
摘要：We examine the reaction of daily Treasury bond prices to the release of U.S. macroeconomic news. These news releases (of employment and producer price index data) are of interest because they are released on periodic, preannounced dates and because they are associated with substantial bond market volatility. We investigate whether these nonautocorrelated announcements give rise to autocorrelated volatility. We find that announcement-day volatility does not persist at all, consistent with the i...
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作者：Mulherin, JH; Poulsen, AB
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; University of Georgia
摘要：We study the shareholder wealth effects of 270 proxy contests for board seats in the 1979-1994 period. We find that proxy contests create value, with the bulk of the wealth gains stemming from firms that are acquired. Restricting analysis to firms listed on Compustat imparts a downward bias on estimated wealth effects because such a restriction excludes a sizable fraction of the firms acquired during the proxy contest. For firms that are not acquired, the occurrence of management turnover has ...
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作者：Pontiff, J; Schall, LD
作者单位：University of Washington; University of Washington Seattle
摘要：The bask-to-market ratio of the Dow Jones Industrial Average predicts market returns and small firm excess returns over the period 1926-1994. The DJIA book-to-market ratio contains information about future returns that is not captured by other variables such as interest yield spreads and dividend yields. The DJIA book-to-market ratio's predictive ability is specific to the pre-1960 sample. In contrast, the S&P book-to-market ratio provides some predictive ability in the post-1960 period, altho...
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作者：Hanka, G
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：For the last two decades, firms with higher debt have reduced their employment more often, used more part time and seasonal employees, paid lower wages, and funded pension plans less generously. These effects are economically significant and cannot be explained by variation in performance. Thus debt seems to discipline the employment relationship. However, this result reflects a clear historical reversal, during the years 1967-73, of the opposite effect that prevailed in the 1950s. Apparently ...
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作者：Madhavan, A; Sofianos, G
作者单位：University of Southern California
摘要：This paper examines empirically the magnitude and determinants of dealer trading by NYSE market makers (specialists) across stocks and over time. Across stocks, specialist dealer trading varies widely and is inversely related to trading volume and proxies for off-exchange competition. Over time in an individual stock, specialists participate more actively as sellers (buyers) when holding long (short) inventory positions. This results suggest that dealers control their inventory positions by se...
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作者：Holthausen, RW; Larcker, DF
作者单位：University of Pennsylvania
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作者：Berger, AN; Saunders, A; Scalise, JM; Udell, GF
作者单位：Federal Reserve System - USA; University of Pennsylvania; New York University; University of Pennsylvania; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We examine the effects of bank M&As on small business lending using data on over 6000 recent U,S. bank M&As. We are the first to decompose the impact of M&As into the static effects from simply melding the antecedent institutions and the dynamic effects associated with post-M&A refocusing of the consolidated institution. We are also the first to estimate the dynamic reactions of other local banks. We find that the static effects of consolidation reduce small business lending, but are mostly of...
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作者：Fama, EF
作者单位：University of Chicago
摘要：Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return ano...
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作者：Beatty, RP; Bunsis, H; Hand, JRM
作者单位：Southern Methodist University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We document that an SEC investigation of an underwriter imposes indirect penalties on the underwriter and its past clients, particularly IPO clients. Targeted underwriters experience large declines in IPO market share and increased regulatory scrutiny and client risk after an SEC investigation is announced. Stock prices of clients decline significantly. We attribute these effects to a sudden deterioration in the value of the underwriter's reputation capital, suggesting that the general assumpt...
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作者：Frank, M; Jagannathan, R
作者单位：University of British Columbia; Northwestern University; University of Minnesota System; University of Minnesota Twin Cities
摘要：It is well documented that stock prices on ex-dividend days drop by less than the value of the dividend, on average. This has commonly been attributed to the effect of tax clienteles. We examine data from the Hong Kong stock marker, where neither dividends nor capital gains are taxed. As in the U.S., the average stock price drop is less than the value of the dividend. specifically, the average dividend for the period 1980-1993 is HK $0.12 and the average price drop is HK $0.06. We are able to ...
