Journal of Financial Economics

最新文章

• The distorting effect of the prudent-man laws on institutional equity investments AI翻译
  作者：DelGuercio, D
  摘要：I examine the effect of prudent-man laws on the behavior of institutional investors. Variation in exposure to legal liability across types of investment managers allows me to disentangle the effect of the prudent-man laws from other potential influences on manager behavior. Bank managers significantly tilt the composition of their portfolios toward stocks that are viewed by the courts as prudent, while mutual fund managers do not. I show that differences in the direction that bank and mutual f...
• The impact of industry shocks on takeover and restructuring activity AI翻译
  作者：Mitchell, ML; Mulherin, JH
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：We study industry-level patterns in takeover and restructuring activity during the 1982-1989 period. Across 51 industries, we find significant differences in both the rate and time-series clustering of these activities, The interindustry patterns in the rate of takeovers and restructurings are directly related to the economic shocks borne by the sample industries. These results support the argument that much of the takeover activity during the 1980s was driven by broad fundamental factors and ...
• Top management turnover - An empirical investigation of mutual fund managers AI翻译
  作者：Khorana, A
  摘要：This paper examines the relation between the replacement of mutual fund managers and their prior performance. Using the growth rate in a fund's asset base and its portfolio returns as two separate measures of performance, I document an inverse relation between the probability of managerial replacement and fund performance. The sample of departing fund managers exhibits higher portfolio turnover rates and higher expenses relative to an objective-matched sample of nonreplaced fund managers. The ...
• Editorial data AI翻译
  作者：Jensen, MC; Long, JB; Mikkelson, WH; Ruback, RS; Schwert, GW; Smith, CW; Warner, JB
  作者单位：University of Rochester; University of Oregon
• Commonality in the determinants of expected stock returns AI翻译
  作者：Haugen, RA; Baker, NL
  摘要：We find that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. Out-of-sample predictions of expected return are strongly and consistently accurate. Two findings distinguish this paper from others in the contemporary literature: First, stocks with higher expected and realized rates of return are unambiguously lower in risk than stocks with lower returns. Second, the important determinants...
• Ownership dispersion, costly information, and IPO underpricing AI翻译
  作者：Booth, JR; Chua, L
  作者单位：University of Hawaii System
  摘要：We develop an explanation for IPO underpricing in which the issuer's demand for ownership dispersion creates an incentive to underprice. Promoting oversubscription allows broad initial ownership, which in turn increases secondary-market liquidity. Increased liquidity reduces the required return to investors. Broad initial ownership, however, requires an increase in investor-borne information costs. These information costs are offset through initial underpricing. Empirical results are consisten...
• The term structure of interest rates in a pure exchange economy with heterogeneous investors AI翻译
  作者：Wang, J
  作者单位：National Bureau of Economic Research
  摘要：This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk aversion and gives closed-form solutions to bond prices. I use the model to examine the effect of preference heterogeneity on the behavior of bond yields. The model is also extended to cases of more than two classes of investors.
• Exchange rate variability and the riskiness of US multinational firms: Evidence from the breakdown of the Bretton Woods system AI翻译
  作者：Bartov, E; Bodnar, GM; Kaul, A
  作者单位：University of Pennsylvania; New York University; University of Rochester
  摘要：We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for three ...
• Modeling the conditional distribution of interest rates as a regime-switching process AI翻译
  作者：Gray, SF
  摘要：This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate to exhibit both mean reversion and conditional heteroskedasticity and nests the popular generalized autoregressive conditional heteroskedasticity (GARCH) and square root process specifications. The conditional variance process accommodates volatility clustering and dependence on the level of the interest rate. A first-order Markov process with state-dependent transiti...
• Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets AI翻译
  作者：Kho, BC
  摘要：This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM; The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual pr...