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作者：Becht, Marco; Franks, Julian; Mayer, Colin; Rossi, Stefano
作者单位：Universite Libre de Bruxelles; Centre for Economic Policy Research - UK; University of Oxford; Centre for Economic Policy Research - UK; University of London; London Business School; Stockholm School of Economics
摘要：This article reports a unique analysis of private engagements by an activist fund. It is based on data made available to us by Hermes, the fund manager owned by the British Telecom Pension Scheme, on engagements with management in companies targeted by its UK Focus Fund. In contrast with most previous studies of activism, we report that the fund executes shareholder activism predominantly through private interventions that would be unobservable in studies purely relying on public information. ...
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作者：Seru, Amit; Shumway, Tyler; Stoffman, Noah
作者单位：University of Michigan System; University of Michigan; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find evidence of two types of learning: some investors become better at trading with experience, while others stop trading after realizing that their ability is poor. A substantial part of overall learning by trading is explained by the second...
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作者：Kolari, James W.; Pynnonen, Seppo
作者单位：University of Vaasa; Texas A&M University System; Texas A&M University College Station
摘要：This article examines the issue of cross-sectional correlation in event studies. When there is event-date clustering, we find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns. We propose a new test statistic that modifies the t-statistic of Boehmer, Musumeci, and Poulsen (1991) to take into account cross-correlation and show that it performs well in competition with others, including the...
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作者：Chava, Sudheer; Kumar, Praveen; Warga, Arthur
作者单位：University of Houston System; University of Houston; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Based on an analysis of the agency risk for bondholders from managerial entrenchment and fraud, we derive and test refutable hypotheses about the influence of managerial agency risk on bond covenants, using a comprehensive database of corporate bonds from the 1993-2007 period. Managerial entrenchment and the risk of managerial fraud significantly influence the use of covenants, in the direction predicted by the agency-theoretic framework. Our analysis highlights the varied effects of entrenchm...
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作者：Goel, Anand M.; Thakor, Anjan V.
作者单位：Washington University (WUSTL); DePaul University
摘要：We develop a theory which shows that merger waves can arise even when the shocks that precipitated the initial mergers in the wave are idiosyncratic. The analysis predicts that the earlier acquisitions produce higher bidder returns, involve smaller targets, and result in higher compensation gains for the acquirer's top management team than the later acquisitions in the wave. We find strong empirical support for these predictions. The model also generates additional predictions, some of which r...
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作者：Korteweg, Arthur; Sorensen, Morten
作者单位：Stanford University
摘要：Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return must correct for sample selection to obtain consistent estimates. We develop a general model of dynamic sample selection and estimate it using data from venture capital investments in entrepreneurial companies. Our selection correction leads to markedly lower intercepts and higher estimates of risks compared to previous studie...
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作者：Hanley, Kathleen Weiss; Hoberg, Gerard
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park
摘要：Using word content analysis, we decompose information in the initial public offering prospectus into its standard and informative components. Greater informative content, as a proxy for premarket due diligence, results in more accurate offer prices and less underpricing, because it decreases the issuing firm's reliance on bookbuilding to price the issue. The opposite is true for standard content. Greater content from high reputation underwriters and issuing firm managers, through Management's ...
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作者：Choi, Darwin; Getmansky, Mila; Henderson, Brian; Tookes, Heather
作者单位：Yale University; Hong Kong University of Science & Technology; University of Massachusetts System; University of Massachusetts Amherst; George Washington University
摘要：This article examines the potential impact of capital supply on security issuance. We focus on the role of convertible bond arbitrageurs as suppliers of capital to convertible bond issuers. We estimate a simultaneous equations model of demand and supply of convertible bond capital, linking the time series of aggregate convertible bond issuance to measures of capital supply: convertible bond arbitrage hedge fund flows, returns, and a proxy for arbitrageurs' use of leverage. We find that issuanc...
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作者：Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; Jacobs, Kris
作者单位：McGill University; University of Iowa; Duke University; University of Houston System; University of Houston; Tilburg University
摘要：We provide results for the valuation of European-style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state space setup using the no-arbitrage principle and an equivalent martingale measure (EMM). Our approach allows for general forms of heteroskedasticity in returns, and valuation results for homoskedastic processes can be obtained as a special case. It also allows for conditional nonnormal retur...
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作者：Liu, Xiaoding; Ritter, Jay R.
作者单位：State University System of Florida; University of Florida
摘要：Using a sample of fifty-six companies going public in 1996-2000 in which top executives received allocations of other hot initial public offerings (IPOs) from the bookrunner, a practice known as spinning, we examine the consequences of spinning. The fifty-six IPOs had first-day returns that were, on average, 23% higher than similar IPOs. The profits collected by these executives were only a small fraction of the incremental amount of money left on the table by their companies when they went pu...
