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作者：Gillette, AB; Noe, TH
作者单位：University System of Georgia; Kennesaw State University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tulane University
摘要：This article models, and experimentally simulates, the free-rider problem in a takeover when the raider has the option to resolicit, that is, to make a new offer after an offer has been rejected. In theory, the option to resolicit, by lowering offer credibility, increases the dissipative losses associated with free riding. The outcomes of our experiment support this prediction and produce losses from free riding even higher than theoretically predicted. These dissipation losses reduce raider g...
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作者：Çetin, U; Jarrow, R; Protter, P; Warachka, M
作者单位：Cornell University; University of London; London School Economics & Political Science; Cornell University; Singapore Management University
摘要：This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher prices and sales at lower prices. Optimal discrete time hedging strategies are then derived. Empirical evi...
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作者：Ellul, A; Pagano, M
作者单位：University of Naples Federico II; Indiana University System; Indiana University Bloomington
摘要：The underpricing of initial public offerings (IPOs) is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory where investors worry also about the after-market illiquidity that may result from asymmetric information after the IPO. The less liquid the aftermarket is expected to be, and the less predictable its liquidity, the larger will be the IPO underpricing. Our model blends such liquidity concerns with adverse selection and r...
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作者：Hvidkjaer, S
作者单位：University System of Maryland; University of Maryland College Park
摘要：This article uses transactions data for all NYSE/AMEX stocks in the period 1983-2002 to study how investors trade in Jegadeesh and Titman's (1993) momentum portfolios. Among small trades, there is an extremely sluggish reaction to the past returns. For instance, an initial small-trade buying pressure exists for loser stocks, and it gradually converts into an intense selling pressure over the following year. The results are consistent with initial underreaction followed by delayed reaction amon...
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作者：Ferson, W; Henry, TR; Kisgen, DJ
作者单位：Boston College; National Bureau of Economic Research; University System of Georgia; University of Georgia
摘要：This article shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. These models imply empirical factors that include time averages of the underlying state variables. The approach addresses a performance measurement bias, described by Goetzmann, Ingersoll, and Ivkovic (2000) and Ferson and Khang (2002), arising because fund managers may trade within the return measurement interval or hold positions in rep...
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作者：Fama, EF
作者单位：University of Chicago
摘要：The evidence in Fama and Bliss (1987) that forward interest rates forecast future spot interest rates for horizons beyond a year repeats in the out-of-sample 1986-2004 period. But the inference that this forecast power is due to mean reversion of the spot rate toward a constant expected value no longer seems valid. Instead, the predictability of the spot rate captured by forward rates seems to be due to mean reversion toward a time-varying expected value that is subject to a sequence of appare...
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作者：Güner, AB
作者单位：Barclays
摘要：When a loan is sold, it goes to a lower-cost financing source than its originator. Yet, lending markets are less than perfectly competitive. Despite the lower funding cost, therefore, the loan price is not necessarily more favorable to the borrower. However, corporate borrowers are averse to the participation of their loans to other lenders because of the complexity of dealing with multiple banks and the potential information costs of the sale announcement. Consequently, I conjecture that the ...
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作者：Douglas, AVS
作者单位：University of Waterloo
摘要：This article illustrates an incentive-aligning role of debt in the presence of optimal compensation contracts. Owing to information asymmetry, value-maximizing compensation contracts allow managerial rents following high investment outcomes. The manager has an incentive to increase these rents by choosing investments that generate greater information asymmetry. An aptly chosen debt level mitigates this incentive, because investments that generate greater information asymmetry have more volatil...
