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作者：SUN, T; SUNDARESAN, S; WANG, C
作者单位：Columbia University
摘要：Using quotations from two interest rate swap dealers with different credit ratings (AAA and A), we examine the effect of dealers' credit reputations on swap quotations and bid-offer spreads. The AAA offer rates are significantly higher than the A offer rates, and the AAA bid rates are significantly lower than the A bid rates. We also document the relation between swap rates and par bond yields estimated from London interbank offered rate (LIBOR) and bid rate (LIBID) data. We identify some of t...
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作者：SCHULTZ, P
摘要：Units are bundles of common stock and warrants. By selling initial public offerings (IPOs) of units, firms precommit to sell more stock in the future at the warrant's exercise price. Sequential offerings of this type reduce the agency costs of giving management a potential free cash now at the IPO. Consistent with this theory, firms that choose unit IPOs are smaller, have less income and assets in relation to their IPO proceeds. and are less likely to survive than firms that issue shares.
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作者：CAMPBELL, CJ; WASLEY, CE
作者单位：Washington University (WUSTL); University of Massachusetts System; University of Massachusetts Amherst
摘要：We evaluate the performance of alternative test statistics in event studies which include NASDAQ daily security returns. We document varying degrees of test statistic misspecification in NASDAQ samples. In particular, we find that the commonly used standardized test statistic is misspecified in most settings. Although less pervasive, misspecification is also evident in the portfolio test statistic estimated using the time series of portfolio mean abnormal returns. The nonparametric rank statis...
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作者：BEAGLEHOLE, D; TENNEY, M
作者单位：University of Chicago
摘要：Longstaff (1989) introduces a new process for the short rate of interest. He claims to derive the zero-coupon bond pricing formula and state transition density for his model. We demonstrate that Longstaff's pricing formula is not the solution to the pricing problem which he poses. The source of his error is a failure to properly account for a boundary condition. We introduce a new model economy and derive a new endogenous interest rate process, and find the Green's function and the price of a ...
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作者：LAKONISHOK, J; SHLEIFER, A; VISHNY, RW
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Harvard University
摘要：This paper uses new data on the holdings of 769 tax-exempt (predominantly pension) funds, to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by these money managers: herding, which refers to buying (selling) simultaneously the same stocks as other managers buy (sell), and positive-feedback trading, which refers to buying past winners and selling past losers. These two aspects of trading are commonly a part of the argument that institutions dest...
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作者：KOTHARI, SP; SHANKEN, J
摘要：This paper examines the extent to which aggregate stock return variation is explained by variables chosen to reflect revisions in expectations of future dividends. In effect, we decompose realized dividend growth into expected and unexpected components using information in aggregate investment, dividend yield, and future returns. A parsimonious specification accounts for over 70% of annual return variation. We also conduct a cross-sectional experiment using portfolios formed on the basis of an...
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作者：LANG, LHP; STULZ, RM
作者单位：University System of Ohio; Ohio State University; New York University; National Bureau of Economic Research
摘要：This paper investigates the effect of bankruptcy announcements on the equity value of the bankrupt firm's competitors. On average, bankruptcy announcements decrease the value of a value-weighted portfolio of competitors by 1%. This negative effect is significantly larger for highly levered industries and industries where the unconditional stock returns of the nonbankrupt and bankrupt firms are highly correlated; the effect is significantly positive for highly concentrated industries with low l...
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作者：LYS, T; SABINO, JS
摘要：With grouping, a sample is sorted by an observable variable and the mean values of the dependent variable in the extreme-ranked groups are compared. We show that test power is maximized when the two extreme groups each contain 27% of the sample, a much larger percentage than that typically used in the literature. This result is not sensitive to the distribution of the dependent variable. We also show that regression is unambiguously more powerful than grouping, even when the independent variab...
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作者：BENVENISTE, LM; MARCUS, AJ; WILHELM, WJ
作者单位：Boston College
摘要：Exchange members claim that the professional relationships that evolve on exchange floors yield benefits not easily duplicated by an anonymous exchange mechanism. We show that longstanding relationships between brokers and specialists can mitigate the effects of asymmetric information. Moreover, a specialist who actively attempts to differentiate between informed and uninformed traders can achieve equilibria that Pareto-dominate an equilibrium in which the two types of trades are pooled. Our m...
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作者：CAMPBELL, JY; HENTSCHEL, L
作者单位：National Bureau of Economic Research
摘要：It seems plausible that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. We develop a formal model of this volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model). Our model is asymmetric and helps to explain the negative skewness and excess kurtosis of U.S. monthly and daily stock returns over the period 1926-88. We find that volatility feedb...
