Journal of Financial Economics

最新文章

• MARKUPS, QUANTITY RISK, AND BIDDING STRATEGIES AT TREASURY COUPON AUCTIONS AI翻译
  作者：SIMON, DP
  摘要：This study uses intraday when-issued rate quotes to examine the rewards and risks of the Treasury coupon auctions for bidders who face different tradeoffs between the winner's curse and quantity risk. The data indicate that markups of auction average rates over bid when-issued rates at auction times average 3/8 basis point. I also find that when-issued rates react as strongly to bidding aggressiveness at auctions before the auction results are announced as they do afterward, and that quantity ...
• BID-ASK SPREADS IN THE INTERBANK FOREIGN-EXCHANGE MARKETS AI翻译
  作者：BESSEMBINDER, H
  摘要：This study provides evidence on quotations and bid-ask spreads in the wholesale foreign exchange market, and introduces a method to document variation in the placement of quotes relative to asset value. I find that spreads widen with proxies for inventory-carrying costs, including forecasts of price risk and a measure of liquidity costs. Increases in spreads before nontrading periods can also be attributed to inventory costs. The location of currency quotes in relation to value is not constant...
• THE COSTS OF INEFFICIENT BARGAINING AND FINANCIAL DISTRESS - EVIDENCE FROM CORPORATE LAWSUITS AI翻译
  作者：BHAGAT, S; BRICKLEY, JA; COLES, JL
  作者单位：University of Rochester; University of Colorado System; University of Colorado Boulder; Utah System of Higher Education; University of Utah
  摘要：This study provides the first large-sample analysis of the stock-market reactions to interfirm litigation. When a suit is filed, the common stock of the typical defendant declines by about 1%, while the plaintiff experiences no significant gains. For the average pair of firms, the combined drop in value upon filing is $21 million. Much of the loss is regained if the suit is settled. The findings suggest that bargaining among firm claimants sometimes leads to very inefficient outcomes. Part of ...
• THE NATURE OF INFORMATION CONVEYED BY PURE CAPITAL STRUCTURE CHANGES AI翻译
  作者：SHAH, K
  摘要：This study investigates the information conveyed by intrafirm exchange offers. I find that leverage increases and leverage decreases convey qualitatively different information. Leverage-increasing offers appear to lower investors' assessment of risk of the firm's common stock, but do not appear to change their expectations of cash flows; leverage-decreasing offers appear to lower investors' expected cash flows, but do not appear to change their assessment of risk. The nature of changes in leve...
• THE TERM STRUCTURE OF REAL INTEREST-RATES AND THE COX, INGERSOLL, AND ROSS MODEL AI翻译
  作者：BROWN, RH; SCHAEFER, SM
  作者单位：University of London; London Business School
  摘要：This paper estimates real term structures from cross-sections of British government index-linked ('real') bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the same data; the model closely approximates the shapes of the directly-estimated term structures. In contrast to similar studies of the nominal term structure, the long-term zero-coupon yield is quite stable, as the CIR model predicts, and in common with previous studies, the level of implied short rate volatility c...
• THE GOVERNANCE STRUCTURE OF THE JAPANESE FINANCIAL KEIRETSU AI翻译
  作者：BERGLOF, E; PEROTTI, E
  作者单位：Boston University; University of Amsterdam
  摘要：We rationalize the cross-holdings of debt and equity within the Japanese keiretsu as a contingent governance mechanism through which internal discipline is sustained over time. The reciprocal allocation of control rights supports cooperation and mutual monitoring among managers through a coalition-enforced threat of removal from control. In financial distress this threat is less effective, and the governance mode shifts to hierarchical enforcement under main bank leadership. The model is consi...
• DOES INDUSTRIAL-STRUCTURE EXPLAIN THE BENEFITS OF INTERNATIONAL DIVERSIFICATION AI翻译
  作者：HESTON, SL; ROUWENHORST, KG
  作者单位：Yale University
  摘要：We examine the influence of industrial structure on the cross-sectional volatility and correlation structure of country index returns for 12 European countries between 1978 and 1992. We find that industrial structure explains very little of the cross-sectional difference in country return volatility, and that the low correlation between country indices is almost completely due to country-specific sources of return variation. Diversification across countries within an industry is a much more ef...
• AN EXAMINATION OF VOLUNTARY VERSUS INVOLUNTARY SECURITY ISSUANCES BY COMMERCIAL-BANKS - THE IMPACT OF CAPITAL REGULATIONS ON COMMON-STOCK RETURNS AI翻译
  作者：CORNETT, MM; TEHRANIAN, H
  作者单位：Boston College; Southern Illinois University System; Southern Illinois University
  摘要：This paper examines differences in stock price reactions following voluntary capital injections by commercial banks and involuntary capital injections required to meet regulatory capital requirements. Empirical tests document that stock price declines associated with voluntary common stock issues are significantly greater than those associated with involuntary common stock injections, consistent with Ross (1977). Empirical tests also confirm that for both voluntary and involuntary stock issuan...
• ORGANIZATIONAL FORM AND THE CONSEQUENCES OF HIGHLY LEVERAGED TRANSACTIONS KROGERS RECAPITALIZATION AND SAFEWAYS LBO AI翻译
  作者：DENIS, DJ
  摘要：This paper compares the leveraged recapitalization of Kroger Co. with the leveraged buyout of Safeway Stores. While both transactions dramatically increased leverage, Safeway's also altered managerial ownership, board composition, and executive compensation, while Kroger's did not. My analysis suggests that these differences in organizational form lead to large differences in post-HLT restructuring actions and value creation. I conclude that the improved incentive structure and increased monit...
• UNTITLED AI翻译
  作者：JENSEN, MC; LONG, JB; MIKKELSON, WH; RUBACK, RS; SCHWERT, GW; SMITH, CW; WARNER, JB