-
作者：MICHAELY, R; SHAW, WH
摘要：We test the empirical implications of several models of IPO underpricing. Consistent with the winner's-curse hypothesis, we show that in markets where investors know a priori that they do not have to compete with informed investors, IPOs are not underpriced. We also show that IPOs under-written by reputable investment banks experience significantly less underpricing and perform significantly better in the long run. We do not find empirical support for the signaling models that try to explain w...
-
作者：CAMPBELL, JY; MEI, JP
作者单位：New York University; Princeton University
摘要：In this article we break assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected retu...
-
作者：HASBROUCK, J
摘要：I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices. The approach decomposes security transaction prices into random-walk and stationary components. The random-walk component may be identified with the efficient price. The stationary component, the difference between the efficient price and the actual transaction price, is termed the pricing error. Its dispersion is a natural measure of market quality. I describe practical strateg...
-
作者：BESSEMBINDER, H; HERTZEL, MG
摘要：We document a pattern in the serial dependence of security returns around nontrading days. The correlation of return the second day after a weekend or holiday with returns the first day after is unusually low, and in many return series is negative, implying a reversal of price movements. We also document unusually large positive return autocorrelations the last day before and the first day after weekends and holidays. The pattern has existed in equity returns for over 100 years, and also exist...
-
作者：BESSEMBINDER, H
摘要：I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject complete integration of futures and asset markets. As predicted, estimates of the zero-beta rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures va...
-
作者：SHANKEN, J
作者单位：Carnegie Mellon University
摘要：An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptoti...
-
作者：KAZEMI, HB
摘要：A testable single-beta model of asset prices is presented. If state variables have a long-run stationary joint density function, then the rate return on a very long-term default-free discount bond will be perfectly correlated with the representative investor's marginal utility of consumption. Thus, the covariance of an asset's return with the return on such a bond will be an appropriate measure of the asset's riskiness. The model can be, therefore, applied or tested even though the market port...
-
作者：SEPPI, DJ
摘要：I investigate the empirical importance of information revelation in the pricing of block trades. In particular, I examine whether block prices are correlated with the unexpected part of firms' quarterly earnings. For my sample of block trades, information revelation does indeed appear to be a significant factor shortly before earnings announcements.
-
作者：GIVOLY, D; HAYN, C; OFER, AR; SARIG, O
作者单位：University of Pennsylvania; Tel Aviv University
摘要：While the theoretical relation between taxes and capital structure has been extensively analyzed, the empirical evidence on this issue has thus far been inconclusive. One of the main difficulties confronting previous empirical studies of the cross-sectional relationship between taxes and leverage was the control of intervening variables. The Tax Reform Act of 1986 (TRA), which drastically changed the tax regime, provides a unique opportunity to assess the interaction between taxes and leverage...
-
作者：HODRICK, RJ
摘要：Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980)procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1991), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) ...
