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作者：McQueen, G; Vorkink, K
作者单位：Brigham Young University
摘要：We develop a preference-based equilibrium asset pricing model that explains low-frequency conditional volatility. Similar to Barberis, Huang, and Santos (2001), agents in our model care about wealth changes, experience loss aversion, and keep a mental scorecard that affects their level of risk aversion. A new feature of our model is that when perturbed by unexpected returns, investors become temporarily more sensitive to news. Gradually investors become accustomed to the new level of wealth, r...
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作者：Hauser, S; Lauterbach, B
作者单位：Bar Ilan University; Ben-Gurion University of the Negev; Rutgers University System; Rutgers University New Brunswick
摘要：We study 84 dual-class. stock unifications, where superior vote shareholders gave up their superior voting status (all firm stocks became one share one vote) and received (in most cases) compensation in the form of additional shares. Unifications are essentially intrafirm transactions of voting rights, and afford observation of the intrafirm-assessed price of vote. The price of vote in unifications (1) increases with the percentage vote lost by the majority shareholders, (2) is higher in famil...
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作者：Bange, MM; Mazzeo, MA
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of Southern California
摘要：We show that bidding firms consider target board characteristics when deciding takeover offer types and initial offer premiums. We study a sample of 436 proposed negotiated mergers and bypass offers. Firms with individuals holding the titles of both chief executive officer (CEO) and board chair are more likely to receive bypass offers. These offers are more likely to be successful and generate higher target shareholder gains over the takeover offer period. When the target's board is independen...
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作者：Kutsuna, K; Smith, R
作者单位：Kobe Gakuin University
摘要：We examine Japan's 1997 introduction of book building as an alternative to a previously required hybrid auction method. Despite higher cost for some issuers, all issuers in Japan now select book building. Book building enables more accurate valuation of firms, but gains from accurate valuation are partly redistributive. Thus book building can drive auction-method offerings from the market even if it yields no aggregate benefit. Compared to the auction regime, book building reduces issue costs ...
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作者：Kavajecz, KA; Odders-White, ER
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We explore a previously unexamined feature of technical analysis-namely its relation to liquidity provision. We demonstrate that support and resistance levels coincide with peaks in depth on the limit order book and moving average forecasts reveal information about the relative position of depth on the book. Furthermore, we ...
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作者：Maenhout, PJ
作者单位：INSEAD Business School
摘要：I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen, and Sargent (2002). In accordance with max-min expected utility, a robust investor insures against some endogenous worst case. I first show that robustness dramatically decreases the demand for equities and is observationally equivalent to recursive preferences when removing weal...
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作者：Cantillo, M
作者单位：Universidad Costa Rica
摘要：This article uses a general equilibrium framework to explore the origins and limitations of financial intermediaries. In the model, investors have a generic lending technology that they can improve at a cost. Those who upgrade become intermediaries to exploit their advantage. However, conflicts with depositors will limit the banks' market presence, and they will only lend to moderately endowed firms while bondholders will finance cash-rich corporations. The article also analyzes the extent to ...
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作者：Faure-Grimaud, A; Gromb, D
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：This article studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in the formation of a stock price that is informative about the large shareholder's activity. This increases the latter's incentives to engage in value-increasing activities. Indeed, if he has to liquidate part of his stake before the effect of his activity is publicly observed, a more informative price rewards him for his activity. Implications ...
