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作者：RUUD, JS
摘要：This paper reassesses the apparent systematic underpricing of initial public offerings (IPOs). Investigation of the distribution of initial returns following IPOs shows that positive mean initial returns may reflect the existence of a partially unobserved left (negative) tail. Moreover, most IPOs with zero one-day returns subsequently fall in price, suggesting that underwriter price support may account for the skewed distribution and hence the phenomenon of positive average initial IPO returns...
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作者：BARCLAY, MJ; WARNER, JB
作者单位：University of Rochester
摘要：We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.
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作者：HANLEY, KW; KUMAR, AA; SEGUIN, PJ
摘要：This study examines price stabilization in new equity issues. Stabilization truncates the distribution of post-issue prices at a floor price, lowering the risk of adverse price moves and hence, in a competitive dealer market, reducing the bid-ask spread. Using 1,523 NASDAQ-traded firm-commitment initial public offerings issued between 1982 and 1987, we find that spreads narrow when the market price is close to the offer price and stabilization is most likely. Moreover, significant negative ret...
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作者：COONEY, JW; KALAY, A
作者单位：Utah System of Higher Education; University of Utah; Tel Aviv University
摘要：The Myers and Majluf (1984) model predicts a nonpositive price reaction to an announcement of a new issue of equity. This paper shows that the Myers and Majluf result is a direct outcome of their assumption that all potential projects facing the firm have a nonnegative net present value. Refining the Myers and Majluf model, by allowing for the realistic possibility of potential projects having negative net present values, leads to different predictions. The refined model predicts positive as w...
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作者：BOUDOUKH, J; RICHARDSON, M; SMITH, T
作者单位：University of Pennsylvania; New York University; Duke University
摘要：This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation ...
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作者：LOUGHRAN, T
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Reinganum (1990) reports that small NYSE securities have average returns about 6% per year higher than those of similarly-sized NASDAQ securities during the 1973-1988 period. He attributes the return differential to market microstructure differences. In contrast, this paper demonstrates that differences in the characteristics of the companies listed on the two exchanges explain much of the disparity. About 60% of the return differential can be attributed to the poor performance of recent initi...
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作者：DIAMOND, DW
摘要：This paper provides a model of how borrowers with private information about their credit prospects choose seniority and maturity of debt. Increased short-term debt leads lenders to liquidate too often. It also increases the sensitivity of financing costs to new information, although better-than-average borrowers desire information sensitivity. The model implies that short-term debt will be senior to long-term debt, and that long-term debt will allow the issue of additional future senior debt. ...
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作者：ELESWARAPU, VR; REINGANUM, MR
作者单位：University of Iowa
摘要：This paper empirically investigates the seasonal behavior of the liquidity premium in asset pricing. The evidence suggests a strong seasonal component. In the 1961-1990 period, the liquidity premium is reliably positive only during the month of January. For the non-January months, one cannot detect a positive liquidity premium. The impact of the relative bid-ask spreads on asset pricing in non-January months cannot be reliably distinguished from zero. In contrast to Amihud and Mendelson (1986)...
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作者：BROWN, DT; JAMES, CM; MOORADIAN, RM
作者单位：State University System of Florida; University of Florida
摘要：This paper examines debt restructurings by financially distressed firms. We develop a model which predicts that, in public debt exchange offers, firms with unfavorable private information will offer equity claims to convince bondholders that the firms prospects are poor. In contrast, offering equity to well-informed private lenders conveys favorable private information to outsiders. Consistent with our analysis, we find positive average abnormal returns around restructurings that offer equity ...
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作者：FAMA, EF; FRENCH, KR
摘要：This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates, the bond-market factors cap...
