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作者：Griffin, JM; Karolyi, GA
作者单位：University System of Ohio; Ohio State University; Arizona State University; Arizona State University-Tempe
摘要：This paper re-examines the extent to which gains from international diversification are due to differences in industrial structure across countries. Recent papers by Roll (1992), Journal of Finance 47, 3-42 and Heston and Rouwenhorst (1994), Journal of Financial Economics 36, 3-27 investigate this issue and find conflicting evidence. Using a new database, the Dow Jones World Stock Index, with coverage in 25 countries and over 66 industry classifications, we decompose comprehensively both count...
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作者：Teoh, SH; Welch, I; Wong, TJ
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Los Angeles; Hong Kong University of Science & Technology
摘要：Seasoned equity issuers can raise reported earnings by altering discretionary accounting accruals. We find that issuers who adjust discretionary current accruals to report higher net income prior to the offering have lower post-issue long-run abnormal stock returns and net income. Interestingly, the relation between discretionary current accruals and future returns (adjusted for firm size and book-to-market ratio) is stronger and more persistent for seasoned equity issuers than for non-issuers...
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作者：De Santis, G; Gerard, B
作者单位：University of Southern California
摘要：We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support a model which includes both market and foreign exchange risk. However, both sources of risk are only detected when their prices are allowed to change over time. The evidence also indicates that, with t...
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作者：Black, BS; Gilson, RJ
作者单位：Columbia University; Stanford University
摘要：The United States has many banks that are small relative to large corporations and play a limited role in corporate governance, and a well developed stock market with an associated market for corporate control. In contrast, Japanese and German banks are fewer in number but larger in relative size and are said to play a central governance role. Neither country has an active market for corporate control. We extend the debate on the relative efficiency of bank-and stock market-centered capital ma...
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作者：Allen, JW
作者单位：Southern Methodist University
摘要：This paper examines the innovative corporate structure of Thermo Electron Corporation which holds controlling interests in 11 units taken public in equity carve-outs. Carve-outs subject units of the company to the scrutiny of the capital markets, allow the compensation contracts of unit managers to be based on market performance, and shift capital acquisition and investment decisions from centralized control to unit managers. Thermo carve-outs substantially increase capital and R&D expenditure...
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作者：Bali, R; Hite, GL
作者单位：Columbia University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Since prices are constrained to discrete tick multiples while dividends are essentially continuous, ex day price changes will not equal dividends. We argue that the expected price drop is strictly less than the dividend but within one tick of the dividend. The price-drop-to-dividend ratio will(i) be less than one, (ii) increase with dividends generally, and (iii) decline between tick multiples, giving a sawtooth pattern in the data, Since dividends and dividend yields are highly correlated, di...
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作者：Mayers, D
作者单位：University of California System; University of California Riverside
摘要：This paper contends that corporations use callable, convertible bonds to lower the issuance costs of sequential financing. Sequential financing increases issue costs but helps control overinvestment incentives that can arise if financing is provided prior to an investment option's maturity. A convertible bond's conversion option reduces issue costs while helping to control the overinvestment incentive. Evidence of important investment and financing activity around the time convertible bonds ar...
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作者：Chalmers, JMR; Kadlec, GB
作者单位：Virginia Polytechnic Institute & State University; University of Oregon
摘要：Theories of asset pricing suggest that the amortized cost of the spread is relevant to investors' required returns. The amortized spread measures the spread's cost over investors' holding periods and is approximately equal to the spread times share turnover. We examine amortized spreads for Amex and NYSE stocks over the period 1983-1992. We find that stocks with similar spreads can have vastly different share turnover, and thus, a stock's amortized spread cannot be predicted reliably by its sp...
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作者：Cole, RA; Mehran, H
作者单位：Northwestern University
摘要：Restrictions on stock ownership may harm a company's performance, because restrictions prevent owners from choosing an optimal structure. We examine the stock-price performance and ownership structure of a sample of thrift institutions that converted from mutual to stock ownership. We find that after conversion and the expiration of ownership-structure restrictions, firm performance improves significantly, and the portions of the firm owned by managers and the firm's employee stock ownership p...
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作者：Barberis, N; Shleifer, A; Vishny, R
作者单位：Harvard University; University of Chicago
摘要：Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of para...
