-
作者：Ma, Qingzhong; Whidbee, David A.; Zhang, Wei
作者单位：California State University System; California State University Chico; Washington State University; California State University System; California State University Chico
摘要：In a comprehensive sample of mergers and acquisitions, we find a reference price effect: acquirers earn higher (lower) announcement-period returns when their pre-announcement stock prices are well below (near) their 52-week highs. This reference price effect is stronger in acquisitions of private targets, deals involving greater uncertainty, and acquirers with greater individual investor ownership, and it is reversed in the subsequent year. Further, acquirer reference prices affect bid premia ...
-
作者：Harford, Jarrad; Stanfield, Jared; Zhang, Feng
作者单位：University of Washington; University of Washington Seattle; University of New South Wales Sydney; Utah System of Higher Education; University of Utah
摘要：We provide evidence that managers and controlling shareholders time management buyouts (MBOs) and freezeout transactions to take advantage of industry-wide undervaluation. Portfolios of industry peers of MBO and freezeout targets show significant alphas of around 1% per month over the 12-month period following the transaction. These returns are not explained by a battery of risk factors or empirical methodologies, but exhibit significant heterogeneity across deals. Additional tests show that, ...
-
作者：Pyun, Sungjune
作者单位：National University of Singapore
摘要：This paper introduces a new out-of-sample forecasting methodology for monthly market returns using the variance risk premium (VRP) that is both statistically and economically significant. This methodology is motivated by the 'beta representation,' which implies that the market risk premium is related to the price of variance risk by the variance risk exposure. Hence, when the slope of the contemporaneous regression of market returns on variance innovation is larger, future returns are more sha...
-
作者：le Bris, David; Goetzmann, William N.; Pouget, Sebastien
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education; Yale University; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We study asset pricing over the longue duree using share prices and net dividends from the Bazacle company of Toulouse, the earliest documented shareholding corporation. The data extend from the firm's foundation in 1372 to its nationalization in 1946. We find an average dividend yield of 5% per annum and near-zero long-term, real capital appreciation. Stationary dividends and stock prices enable us to directly study how prices relate to expected cash flows, without relying on a rate of return...
-
作者：Comerton-Forde, Carole; Gregoire, Vincent; Zhong, Zhuo
作者单位：Universite de Montreal; HEC Montreal; University of Melbourne
摘要：Stock exchanges compete for order flow through their fee models. A traditional model pays rebates to liquidity suppliers, and an inverted model pays rebates to liquidity demanders. Using a regulatory intervention to examine the interaction between tick size, restrictions on dark trading, and exchange fees, we show that traders use inverted venues to adjust for suboptimal tick sizes. Increased inverted venue activity improves pricing efficiency and liquidity, especially when the tick size is bi...
-
作者：Baltussen, Guido; van Bekkum, Sjoerd; Da, Zhi
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Notre Dame
摘要：We show a striking change in index return serial dependence across 20 major market indexes covering 15 countries in North America, Europe, and Asia. While many studies find serial dependence to be positive until the 1990s, it switches to negative since the 2000s. This change happens in most stock markets around the world and is both statistically significant and economically meaningful. Further tests reveal that the decline in serial dependence links to the increasing popularity of index produ...
-
作者：Cornaggia, Jess; Li, Jay Yin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; City University of Hong Kong; University of North Carolina; University of North Carolina Greensboro
摘要：We examine synergies in mergers and acquisitions (M&As) generated by firms' comparative advantages in access to bank finance. We find robust evidence that greater access to bank finance increases firms' attractiveness as acquisition targets. Targets' comparative advantage in bank finance improves bank credit supply and reduces financing costs for the merged firms. These effects are more pronounced for acquirers with greater frictions in accessing bank loans and acquirers with greater growth op...
-
作者：Hirshleifer, David; Levi, Yaron; Lourie, Ben; Teoh, Siew Hong
作者单位：University of California System; University of California Irvine; University of Southern California
摘要：Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue. We study whether decision fatigue affects analysts' judgments. Analysts cover multiple firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the more forecast...
-
作者：Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; University of Pennsylvania; National Bureau of Economic Research
摘要：We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, whi...
-
作者：Adelino, Manuel; Gerardi, Kristopher; Hartman-Glaser, Barney
作者单位：Duke University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of California System; University of California Los Angeles
摘要：A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and obtain higher prices by delaying trade. This paper provides some of the first evidence of a signaling mechanism through trade delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and time to sale for privately securitized mortgages. Additionally, deals made up of more seasoned mortgages are sold at lower yields....
