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作者：Duffie, Darrell
作者单位：Stanford University
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作者：Bikhchandani, Sushil; Huang, Chi-fu
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：This article develops a model of competitive bidding with a resale market. The primary market is modeled as a common-value auction, in which bidders participate for the purpose of resale. After the auction the winning bidders sell the objects in a secondary markets, and the buyers in the secondary market receive information about the bids submitted in the auction. The effect of this information linkage between the primary auction and the secondary market on bidding behaviour in the primary auc...
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作者：Damodaran, Aswath
作者单位：New York University
摘要：Earnings and dividend announcements on Fridays are much more likely to contain reports of declines and to be associated with negative abnormal returns than those on other weekdays. While Friday reports elicit negative average returns for firms in all size classes, announcements by smaller firms have more negative returns associated with them on the following trading day, suggesting that they are more likely to release reports after close of trading or that prices adjust more slowly to the info...
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作者：Bagnoli, Mark; Gordon, Roger; Lipman, Barton L.
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University
摘要：We develop a model in which stock repurchases serve as a defence against takeovers by signaling the manager's private information about the value of the firm. the manager repurchases shares to block a takeover only if the cost of doing so is not too high. Since the cost is inversely related to the value of the firm under his management, a repurchase signals that the value of the stock is high, blocking a takeover. While a repurchase increases the expected value of the stock, it also makes the ...
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作者：Brown, David T.
作者单位：State University System of Florida; University of Florida
摘要：When a firm is in financial distress, in most cases a set of mutually advantageous reorganization plans exist. This article shows that the bankruptcy code, by providing rules governing the negotiation process, yields a unique solution to the reorganization process. In addition, the structure imposed by the code mitigates the holdout problem created by the individual claimant's divergent incentives.
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作者：Brown, David P.; Jennings, Robert H.
作者单位：Indiana University System; Indiana University Bloomington
摘要：Technical analysis, or the use of past prices to infer private information, has value in a model in which prices are not fully revealing and traders have rational conjectures about the relation between prices and signals. A two-period dynamic model of equilibrium is used to demonstrate that rational investors use historical prices in forming their demands and to illustrate the sensitivity of the value of technical analysis to changes in the values of the exogenous parameters.
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作者：Hirshleifer, David; Png, I. P. L.
作者单位：University of California System; University of California Los Angeles
摘要：We present a model of corporate acquisitions in which initially uninformed bidders must incur costs to learn their (independent) valuations of a potential takeover target. The first bidder makes either a preemptive bid that will deter the second bidder from investigating or a lower bid that will induce the second bidder to investigate and possibly compete. We show that the expected price of the target may be higher when the first bidder makes a deterring bid than when there is competitive bidd...
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作者：Kandel, Shmuel; Stambaugh, Robert F.
作者单位：University of Chicago; Tel Aviv University; University of Pennsylvania
摘要：This article presents a mean-variance framework for likelihood-ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illus...
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作者：Grundy, Bruce D.; McNichols, Maureen
作者单位：Stanford University
摘要：This article analyzes the volume of trade in a multiperiod noisy rational expectations model. When traders receive private signals at the first trading date and are allowed a second round of trade, two types of equilibria exist. In the first, traders do not learn about the average private signal from the second round of trade, and all trade takes place at the first date. In the second, traders do learn from the second round, and trade thus takes place at both the first and second dates. The ar...
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作者：Constantinides, George M.; Grundy, Bruce D.
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：When management has private information it has an incentive to finance investment by issuing a security that is overpriced in the market. The market's valuation of the issued security may lead management either to forego profitable investments or to invest suboptimally. With investment fixed, there exist fully revealing signaling equilibria in which the covenants of the issued claim serve as signals. A straight bond issue cannot provide the signals but a convertible bond issue can. With invest...
