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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：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：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...
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作者：Korajczyk, Robert A.; Viallet, Claude J.
作者单位：Northwestern University; University of Chicago; INSEAD Business School
摘要：We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States,Japan, the United Kingdom and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. We find that multifactor models tend to outperform single-index models in both domestic and international forms especially in their abili...
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作者：Bossaerts, Peter; Green, Richard C.
作者单位：Carnegie Mellon University
摘要：We derive and test a dynamic discrete-time model of asset returns. Both the risks of individual securities and equilibrium risk premia change predictably in the model but these changes can be attributed to movements in the returns and prices of only two well-diversified portfolios. Any other components of returns should be unpredictable. Using the generalized method of moments, the model is estimated and tested on portfolios of equities. We find the data supportive of the model's restrictions,...
