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作者：Bondarenko, O
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizon economy, a SAO is a zero-cost trading strategy for which (i) the expected payoff is positive, and (ii) the conditional expected payoff in each Final state of the economy is nonnegative. Unlike a pure arbitrage opportunity, a SAO can have negative payoffs provided that the average payoff in each final state is nonnegative. If the pricing kernel in the economy is path independent, then no SAOs c...
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作者：Edelen, R; Gervais, S
作者单位：University of Pennsylvania
摘要：When a collection of specialists organize as an exchange, each can reap net private benefits at the expense of the exchange by quoting a privately optimal pricing schedule. Coordination makes all specialists and customers better off, but requires a system of monitoring and punishment that breaks down when information asymmetries between the exchange and a specialist are high. The specialist may then seek a temporary trading halt to alleviate unjustified punishment, or the exchange may halt tra...
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作者：Barclay, MJ; Hendershott, T
作者单位：University of California System; University of California Berkeley; University of Rochester
摘要：We examine the effects of trading after hours on the amount and timing of price discovery over the 24-hour day. A high volume of liquidity trade facilitates price discovery. Thus prices are more efficient and more information is revealed per hour during the trading day than after hours. However, the low trading volume after hours generates significant, albeit inefficient, price discovery. Individual trades contain more information after hours than during the day. Because information asymmetry ...
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作者：Bennett, JA; Sias, RW; Starks, LT
作者单位：Washington State University; University of Massachusetts System; University of Massachusetts Boston; University of Texas System; University of Texas Austin
摘要：Although institutional investors have a preference for large capitalization stocks, over time they have shifted their preferences toward smaller, riskier securities. These changes in aggregate preferences have arisen primarily from changes in the preferences of each class of institution, rather than changes in the importance of different classes. Evidence also suggests that recent growth in institutional investment combined with this shift in preferences helps explain why markets in general, a...
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作者：Ljungqvist, AP; Jenkinson, T; Wilhelm, WJ Jr
作者单位：New York University; University of Oxford
摘要：We examine the costs and benefits of the global integration of initial public offering (IPO) markets associated with the diffusion of U.S. underwriting methods in the 1990s. Bookbuilding is becoming increasingly popular outside the United States and typically costs twice as much as a fixed-price offer. However, on its own, bookbuilding only leads to lower underpricing when conducted by U.S. banks and/or targeted at U.S. investors. For most issuers, the gains associated with lower underpricing ...
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作者：Fee, CE; Hadlock, CJ
作者单位：Michigan State University
摘要：We find that executives who jump to chief executive officer (CEO) positions at new employers come from firms that exhibit above-average stock price performance. This relationship is more pronounced for more senior executives. No such relationship exists for jumps to non-CEO positions. Stock options and restricted stock do not appear to significantly affect the likelihood of jumping ship, but the existence of an heir apparent on the management team increases the likelihood that executives will ...
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作者：Billett, MT; Mauer, DC
作者单位：Southern Methodist University; University of Iowa
摘要：We examine the link between the excess value of a diversified firm and the value of its internal capital market. Subsidies to small financially constrained segments with good relative investment opportunities significantly increase excess value, while transfers of resources from segments with good relative investment opportunities significantly decrease excess value. Of interest is that subsidies to small financially constrained segments with poor relative investment opportunities also signifi...
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作者：Derrien, F; Womack, KL
作者单位：Dartmouth College; University of Toronto
摘要：Market returns before the offer price is set affect the amount and variability of initial public offering (IPO) underpricing. Thus an important question is What IPO procedure is best adapted for controlling underpricing in hot versus cold market conditions? The French stock market offers a unique arena for empirical research on this topic, since three substantially different issuing mechanisms (auctions, bookbuilding, and fixed price) are used there. Using 1992-1998 data, we find that the auct...
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作者：Johnson, SA
作者单位：Louisiana State University System; Louisiana State University
摘要：I test the hypothesis that short debt maturity attenuates the negative effect of growth opportunities on leverage. Using simultaneous equations with leverage and maturity endogenous, I find strong support for an economically significant attenuation effect. The negative effect of growth opportunities on leverage for firms with all shorter-term debt is less than one-sixth as large as the effect for firms with all longer-term debt. Short maturity also increases liquidity risk, however, which nega...
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作者：Hui, OY
作者单位：Duke University; University of North Carolina; University of North Carolina Chapel Hill
摘要：This article studies the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework. Optimal contracts are obtained in closed form. These contracts are of a symmetric form and suggest that a portfolio manager should receive a fixed fee, a fraction of the total assets under management, plus a bonus or a penalty depending upon the portfolio's excess return relative to a benchmark portfolio. The appropriate benchmark port...
