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作者：HuntMcCool, J; Koh, SC; Francis, BB
作者单位：University of North Carolina; University of North Carolina Charlotte
摘要：We reevaluate the IPO underpricing phenomenon using the stochastic frontier methodology. The advantage of the stochastic frontier is that it can be used to measure the level of deliberate underpricing in the premarket without using after-market information. This is accomplished through the estimation of a systematic one-sided error term that measures ''inefficiency'' or the difference between the maximum predicted offer price and the actual offer price. Data for the analysis are comprised of 1...
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作者：Werner, IM; Kleidon, AW
作者单位：National Bureau of Economic Research
摘要：This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competiti...
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作者：Swaminathan, B
摘要：This article describes the relation between closed-end fund discounts and time-varying expected excess returns on small firms. The results indicate that closed-end fund discounts forecast future excess returns on small firms. The information in discounts is independent of that in other commonly used forecasting variables such as the dividend yield on the market, the default spread and the term spread, Furthermore, the closed-end fund discount forecasts only the small firm factor return and is ...
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作者：Chen, ZW; Knez, PJ
作者单位：University System of Ohio; Ohio State University; University of Wisconsin System; University of Wisconsin Madison
摘要：Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally qui...
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作者：Ait-Sahalia, Y
作者单位：National Bureau of Economic Research
摘要：Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals, The principal source of rejection of existing models is the strong non-linearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behave...
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作者：Michaely, R; Vila, JL
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We test a theory of the interaction between investors' heterogeneity, risk, transaction costs, and trading volume We take advantage of the specific nature of trading motives around the distribution of cash dividends, namely the costly trading of tax shields, Consistent with the theory, we show that when trades occur because of differential valuation of cash flows, an increase in risk or transaction costs reduces volume We also show that the nonsystematic risk plays a significant role in determ...
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作者：Lamoureux, CG; Zhou, GF
作者单位：Washington University (WUSTL)
摘要：Within the past few years several articles have suggested that returns on large equity portfolios may contain a significant predictable component at horizons 3 to 6 years. Subsequently, the tests used in these analyses have been criticized (appropriately)for having widely misunderstood size and power, rendering the conclusions inappropriate. This criticism however has not focused on the data, it addressed the properties of the tests. In this article we adopt a subjectivist analysis - treating ...
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作者：Lee, BS
摘要：This article investigates the hypothesis that dividend changes are determined by changes in some measure of permanent earnings. The analysis employs two measures of permanent earnings and takes into account the nonstationarity of dividend and earnings series. This study finds that dynamic dividend behavior is accounted for primarily by changes in permanent earnings, Dividends respond strongly to permanent changes in earnings without any significant over-reaction, whereas they respond little, i...
