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作者：Betton, S; Eckbo, BE
作者单位：Dartmouth College; Concordia University - Canada
摘要：We estimate sequentially outcome probabilities and expected payoffs associated with first, second, and final bids in a large sample of tender offer contests. Rival bids arrive quickly and produce large bid jumps. Greater bidder toeholds (prebid ownership of target shares) reduce the probability of competition and target resistance and are associated with both lower bid premiums and lower prebid target stock price runups. The expected payoff to target shareholders is increasing in the bid premi...
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作者：Madhavan, A; Panchapagesan, V
作者单位：Washington University (WUSTL); University of Southern California
摘要：Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening price and test the model using order-level data. We show that the presence of designated dealers facilitates price discovery relative to a fully automated call auction market. This is consistent with s...
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作者：Bloomfield, R; O'Hara, M
作者单位：Cornell University
摘要：This study uses laboratory experiments to determine the effects of trade and quote disclosure on market efficiency, bid-ask spreads, and trader welfare. We show that trade disclosure increases the informational efficiency of transaction prices, but also increases opening bid-ask spreads, apparently by reducing market-makers' incentives to compete for order flow. As a result, trade disclosure benefits market makers at the expense of liquidity traders and informed traders. We find that quote dis...
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作者：Battig, RJ; Jarrow, RA
作者单位：Cornell University
摘要：This article presents a new definition of market completeness that is independent of the notions of no arbitrage and equivalent martingale measures. Our definition has many advantages, all shown herein. First, it preserves the Second Fundamental Theorem of Asset Pricing, even in complex economies. Second, under our definition, the market can be complete yet arbitrage opportunities exist. This is important in practice, and stands in contrast to the traditional definitions. Third, under the assu...
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作者：Ready, MJ
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：When a market order arrives, the NYSE specialist can offer a price one tick better than the limit orders on the book and trade for his own account. Alternatively, the specialist can stop the market order, which means he guarantees execution at the current quote but provides the possibility of price improvement. My model shows that specialists can use stops to sample the future order flow before making a commitment to trade. I present empirical evidence that both stops and immediate price impro...
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作者：Campbell, CJ; Kazemi, HB; Nanisetty, P
作者单位：Iowa State University; University of Massachusetts System; University of Massachusetts Amherst
摘要：This article uses bond market data to empirically test the asset pricing model of Kazemi (1992). According to this model the rate of return on a long-term, pure-discount, default-free bond will be perfectly correlated with changes in the marginal utility of the representative investor. The covariability between financial asset returns acid returns on such a bond can therefore serve as a measure of the riskiness of assets. The aim of this study is to determine whether the model can explain cros...
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作者：Willard, GA; Dybvig, PH
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Analysis of absence of arbitrage normally ignores payoffs in states to which the agent assigns zero probability. We extend the fundamental theorem of asset pricing to the case of no empty promises in which the agent cannot promise arbitrarily large payments in some states. There is a superpositive pricing rule that can assign positive price to claims in zero probability states important to the market as well as assigning positive prices to claims in the states of positive probability. With con...
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作者：Duffie, D; Singleton, KJ
作者单位：Stanford University; National Bureau of Economic Research
摘要：This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the Valuation of a credit-spread option.
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作者：Veronesi, P
作者单位：University of Chicago
摘要：This article presents a dynamic, rational expectations equilibrium model of asset prices where the drift of fundamentals (dividends) shifts between two unobservable states at random times. I show that in equilibrium, investors' willingness to hedge against changes in their own uncertainty on the true state makes stock prices overreact to bad news in good times and underreact to good news in bad times. I then show that this model is better able than conventional models with no regime shifts to ...
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作者：Michaely, R; Womack, KL
作者单位：Cornell University; Dartmouth College
摘要：Brokerage analysts frequently comment on and sometimes recommend companies that their firms have recently taken public. We show that stocks that underwriter analysts recommend perform more poorly than buy recommendations by unaffiliated brokers prior to, at the time of and subsequent to the recommendation date. We conclude that the recommendations by underwriter analysts show significant evidence of bias. We show also that the market does not recognize the full extent of this bias. The results...
