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作者：Berkman, H; Eleswarapu, VR
作者单位：University of Auckland
摘要：The abolition and reinstatement of the forward trading facility (Badla) on the Bombay Stock Exchange is used to study the effect of short-term traders on share prices and liquidity, The reactions of stock prices to the ban reveal an average negative abnormal return of 15% on Badla stocks as compared to the non-Badla stocks. The ensuing period shows a significant decline in the liquidity of the Badla Stocks related to the announcement period CARs. Our results suggest that the market perceives s...
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作者：Weiss, LA; Wruck, KH
作者单位：Harvard University; INSEAD Business School
摘要：Eastern Airlines' bankruptcy illustrates the devastating effect on firm value of court-sponsored asset stripping, i.e., the use of creditors' collateral to invest in high-variance negative net present value projects. During its bankruptcy, Eastern's value dropped over 50%. A substantial portion of this value decline occurred because an overprotective court insulated Eastern from market forces and allowed value-destroying operations to continue long after it was clear that Eastern should have b...
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作者：Froot, KA; Stein, JC
作者单位：Massachusetts Institute of Technology (MIT); Harvard University
摘要：We develop a framework for analyzing the capital allocation and capital structure decisions facing financial institutions. Our model incorporates two key features: (i) value-maximizing banks have a well-founded concern with risk management; and (ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach allows us to show how bank-level risk management considerations should factor into the pricing of those risks that cannot be easily hedged. We examine sev...
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作者：Wang, ZY
作者单位：Columbia University
摘要：This paper examines the degree of portfolio inefficiency subject to various constraints on portfolio weights. When portfolio weights are unconstrained, the posterior loss in expected return on the NYSE-AMEX market portfolio is over 20% (annualized). In contrast, when portfolio weights are constrained to be nonnegative, the posterior loss in expected return is only about 4% (annualized). In addition, short-sale constraints greatly reduce uncertainty in inferences about portfolio efficiency. (C)...
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作者：Esty, BC
作者单位：Harvard University
摘要：From 1863-1935, regulators imposed contingent liability on bank shareholders to discourage risk taking. Using data from 1900 to 1915, I find that banks subject to stricter liability rules have lower equity and asset volatility, hold a lower proportion of risky assets, and are less likely to increase their investment in risky assets when their net worth declines, consistent with the hypothesis that stricter liability discourages commercial bank risk taking. These findings provide lessons for cu...
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作者：Bloomfield, R; O'Hara, M
作者单位：Cornell University
摘要：This study examines how order preferencing affects the competitiveness and efficiency of laboratory financial markets. We operationalize preferencing by allowing some dealers to execute a portion of the order flow by matching the most favorable quotes available. Increasing the proportion of order how that is preferenced can increase bid-ask spreads, reduce the informational efficiency of prices, and benefit dealers at the expense of liquidity traders. Preferencing has none of these effects, ho...
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作者：Fleming, J; Kirby, C; Ostdiek, B
作者单位：Rice University; University of Texas System; University of Texas Dallas
摘要：We investigate the nature of volatility linkages in the stock, bond, and money markets. We develop a simple model of speculative trading that predicts strong volatility linkages in these markets due to common information, which simultaneously affects expectations across markets, and information spillover caused by cross-market hedging. To measure these linkages, we estimate a stochastic volatility representation of our trading model using GMM. The results indicate that our specification explai...
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作者：Slovin, MB; Sushka, ME
作者单位：Louisiana State University System; Louisiana State University; Arizona State University; Arizona State University-Tempe
摘要：We examine parent-subsidiary mergers, transactions that do not entail arm's length bargaining or a change in control. These mergers are typically followed by considerable restructuring of subsidiaries. Minority and parent returns are not significantly different from returns at third party buyouts of parent-controlled subsidiaries, transactions that entail arm's length negotiations and a change in control. Buyer returns an negative, consistent with overbidding. We conclude that parent-subsidiar...
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作者：Cho, MH
作者单位：Korea University; Vanderbilt University
摘要：This paper examines the relation among ownership structure, investment, and corporate value, focusing on whether ownership structure affects investment. Ordinary least squares regression results suggest that ownership structure affects investment and, therefore, corporate value. However, simultaneous regression results indicate that the endogeneity of ownership may affect these inferences, suggesting that investment affects corporate value which, in turn, affects ownership structure. The evide...
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作者：Stoughton, NM; Zechner, J
作者单位：University of California System; University of California Irvine; University of Vienna
摘要：This paper analyzes the effect of different IPO mechanisms on the structure of share ownership and explores the role of underpricing and rationing in determining investors' shareholdings. We focus on the agency problem that results when large institutions are the only investors capable of monitoring the firm whereas small shareholders free-ride on these activities. The major conclusion is that some well-known aspects of IPOs may be explained as rational responses by the issuer to the existence...
