Journal of Financial Economics

最新文章

• ADVERSE SELECTION AND THE RIGHTS OFFER PARADOX AI翻译
  作者：ECKBO, BE; MASULIS, RW
  作者单位：Vanderbilt University
  摘要：We develop an analytical framework to explain firm's choice of equity flotation method and the near disappearance of rights offers by U.S. exchange-listed firms. The choice between uninsured rights, rights with standby underwriting, and firm-commitment underwriting depends on information asymmetries, shareholder characteristics, and direct flotation costs. Underwriter certification and current-shareholder takeup are viewed as substitute mechanisms for minimizing wealth transfers between shareh...
• DOES THE FORM OF COMPENSATION MATTER - INVESTMENT BANKER FEE CONTRACTS IN TENDER OFFERS AI翻译
  作者：MCLAUGHLIN, RM
  摘要：The role of fee contracts in the agency relation between investment bankers and client firms in tender offers is investigated using a sample of offers between 1978 and 1986. Different fees have different payoff functions which can be used by firms to create incentives and by bankers to signal differences in abilities. The effectiveness of fee contracts in resolving agency problems is tested, with mixed results. The evidence suggests that fee contracts are used as a tool by both firms and banke...
• SMALL SAMPLE TESTS OF PORTFOLIO EFFICIENCY AI翻译
  作者：ZHOU, G
  摘要：This paper presents an eigenvalue test of the efficiency of a portfolio when there is no riskless asset, complementing the test of Gibbons, Ross, and Shanken (1989). Besides optimal upper and lower bounds, an easily-implented numerical method is provided for computing the exact P-value. Our approach makes it possible to draw statistical inferences on the efficiency of a given portfolio both in the context of the zero-beta CAPM and with respect to other linear pricing models. As an application,...
• UNDERWRITER WARRANTS, UNDERWRITER COMPENSATION, AND THE COSTS OF GOING PUBLIC AI翻译
  作者：BARRY, CB; MUSCARELLA, CJ; VETSUYPENS, MR
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
• A MULTICOUNTRY COMPARISON OF TERM-STRUCTURE FORECASTS AT LONG HORIZONS AI翻译
  作者：JORION, P; MISHKIN, F
  作者单位：National Bureau of Economic Research
• A BAYESIAN MODEL OF INTRADAY SPECIALIST PRICING AI翻译
  作者：MADHAVAN, A; SMIDT, S
  作者单位：Cornell University
  摘要：This paper develops and tests a model of intraday security price movements which incorporates the effects of both trading volume and unanticipated information. We estimate our model using transaction data from a NYSE specialist and find strong evidence of information asymmetry, although the inventory effect appears weak. The parameter estimates are used to compute the costs of trading, and we find that implicit bid-ask spreads were significantly higher in October 1987 than in the rest of that ...
• THE DEGREE OF INEFFICIENCY IN THE FOOTBALL BETTING MARKET - STATISTICAL TESTS AI翻译
  作者：GOLEC, J; TAMARKIN, M
  摘要：This paper tests the hypothesis that the football betting market is efficient. Our statistical tests are stronger than those in previous studies, and we examine both NFL and college data over a sample period of fifteen years. Our statistical tests detect two specific biases in the NFL market and an unspecified bias in the college market. We examine the year-to-year consistency and magnitudes of the biases and find that the NFL bias against home teams has been nearly eliminated, while the bias ...
• WERE JAPANESE STOCK-PRICES TOO HIGH AI翻译
  作者：FRENCH, KR; POTERBA, JM
  作者单位：National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• THE POSTMERGER SHARE-PRICE PERFORMANCE OF ACQUIRING FIRMS AI翻译
  作者：FRANKS, J; HARRIS, R; TITMAN, S
  作者单位：University of Virginia; University of California System; University of California Los Angeles
• THE CONSUMPTION OF STOCKHOLDERS AND NONSTOCKHOLDERS AI翻译
  作者：MANKIW, NG; ZELDES, SP
  作者单位：University of Pennsylvania