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作者：LONGSTAFF, FA
作者单位：University System of Ohio; Ohio State University
摘要：We show the Cox, Ingersoll, and Ross term structure framework can allow a variety of alternative equilibrium solutions for discount bond prices. This is important since it allows us additional flexibility in developing models that capture the properties of the term structure. As an example, we solve for the value of a discount bond when the short-term rate is absorbed at zero. We compare the yields implied by this model to those implied by the original Cox, Ingersoll, and Ross model. We also s...
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作者：BESSEMBINDER, H; CHAN, K
摘要：We document that instrumental variables known to possess forecast power in equity and bond markets (Treasury bill yields equity dividend yields, and the 'junk' bond premium) also possess forecast power for prices in agricultural, metals, and currency futures markets. The pattern of forecastability in futures is consistent with economic equilibrium as embodied by a two-latent-variable model. We test whether the latent variables that explain these futures returns coincide with latent variables t...
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作者：SLOVIN, MB; SUSHKA, ME; POLONCHEK, JA
作者单位：Arizona State University; Arizona State University-Tempe; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：We examine share-price reactions of commercial bank common stock issues and find negative effects on rival commercial and investment banking firms. In comparison, we find no such intra-industry effects for equity issues by industrial firms. Our results support theoretical models in which bank loan portfolios impound asymmetric information about client firms, so that adverse individual bank announcements generate external information effects on other banks. A policy implication of these results...
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作者：BOOTH, JR
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：I examine whether monitoring-related contract costs are reflected in bank loan spreads and find evidence that cross-monitoring by senior and subordinate claimholders is associated with smaller spreads. I also find that loan spreads reflect financial contract costs of controlling borrower behavior toward the assets being financed. These results support the importance of contract costs in firms' financing decisions and provide evidence of the importance of monitoring in bank lending arrangements.
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作者：RICHARDSON, M; RICHARDSON, P; SMITH, T
作者单位：Duke University
摘要：This paper reexamines existing evidence regarding the monotonicity of the term premium. Using a recently developed approach for testing inequality constraints, we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t-statistics on term premiums (even under a Bonferroni-type adjustment). Our results generally support McCulloch's (1987) view that the liquidity preference hypothesis remains unrefuted.
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作者：BYRD, JW; HICKMAN, KA
作者单位：Fort Lewis College; Gonzaga University
摘要：Examining 128 tender offer bids made from 1980 through 1987, we categorize outside directors as either independent of or having some affiliation with managers, and find that bidding firms on which independent outside directors hold at least 50% of the seats have significantly higher announcement-date abnormal returns than other bidders. However, the relationship between bidding firms' abnormal stock returns and the proportion of board seats held by independent outside directors is nonlinear, s...
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作者：CHOPRA, N; LAKONISHOK, J; RITTER, JR
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：A highly controversial issue in financial economics is whether stocks overreact. In this paper we find an economically-important overreaction effect even after adjusting for size and beta. In portfolios formed on the basis of prior five-year returns, extreme prior losers outperform extreme prior winners. by 5-10% per year during the subsequent five years. Although we find a pronounced January seasonal, our evidence suggests that the overreaction effect is distinct from tax-loss selling effects...
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作者：WANG, K; CHAN, SH; GAU, GW
作者单位：University of Texas System; University of Texas Austin
摘要：In contrast with numerous studies that find significant underpricing for initial public offerings of industrial firms, we document a statistically significant average return of - 2.82% on the first trading day for a sample of 87 initial public offerings of real estate investment trusts during the 1971-1988 period. Our overpricing result is invariant to offer price, issue size, distribution method, offer period, and underwriter reputation. Newly issued REITs, on average, substantially underperf...
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作者：SMITH, CW; WATTS, RL
摘要：We examine explanations for corporate financing-, dividend-, and compensation-policy choices. We document robust empirical relations among corporate policy decisions and various firm characteristics. Our evidence suggests contracting theories are more important in explaining cross-sectional variation in observed financial, dividend, and compensation policies than either tax-based or signaling theories.
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作者：STEIN, JC
摘要：This paper argues that corporations may use convertible bonds as an indirect way to get equity into their capital structures when adverse-selection problems make a conventional stock issue unattractive. Unlike other theories of convertible bond issuance, the model here highlights: 1) the importance of call provisions on convertibles and 2) the significance of costs of financial distress to the information content of a convertible issue.
