作者：HUANG, RD; STOLL, HR
摘要：To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns? A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions. Microstructure variables and lagged stock index futures returns have in-sample and out-of-sample predictive power based on data observed at five-minute ...
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...
