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作者：McLean, R. David; Pontiff, Jeffrey; Watanabe, Akiko
作者单位：Boston College; University of Alberta
摘要：Share issuance predicts cross-sectional returns in a non-U.S. sample of stocks from 41 different countries. Issuance predictability has greater statistical significance than either size or momentum, and is similar to book-to-market. As in the U.S., the international issuance effect is robust across both small and large firms. Unlike the U.S., the effect is driven more by low returns after share creation rather than positive returns following share repurchases. Issuance return predictability is...
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作者：Tang, Tony T.
作者单位：Barclays
摘要：I exploit Moody's 1982 credit rating refinement to examine its effects on firms' credit market access, financing decisions, and investment policies. While firms' ex ante yield spread can partially predict the direction of refinement changes, firms with refinement upgrades experience an additional decrease in their ex post borrowing cost compared with firms with downgrades. The former subsequently also issue more debt and rely more on debt financing over equity than the latter. Lastly, upgraded...
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作者：Berkman, Henk; Dimitrov, Valentin; Jain, Prem C.; Koch, Paul D.; Tice, Sheri
作者单位：Georgetown University; Massey University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Kansas; Tulane University
摘要：Miller [1977. Risk, uncertainty, and divergence of opinion. journal of Finance 32, 1151-1168] hypothesizes that prices of stocks subject to high differences of opinion and short-sales constraints are biased upward. We expect earnings announcements to reduce differences of opinion among investors, and consequently, these announcements should reduce overvaluation. Using five distinct proxies for differences of opinion, we find that high differences of opinion stocks earn significantly lower retu...
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作者：Kempf, Alexander; Ruenzi, Stefan; Thiele, Tanja
作者单位：University of Texas System; University of Texas Austin; University of Cologne; University of Cologne
摘要：We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the relative importance of these incentives. When employment risk is more important than compensation incentives, fund managers with a poor midyear performance tend to decrease risk relative to leading managers to prevent potential job loss. When...
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作者：Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
作者单位：University System of Ohio; Ohio State University
摘要：This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In addition, innovations in accruals are negatively contemporaneously correlated with aggregate returns, and innovations in cash flows are positively correlated with returns. These findings suggest that inn...
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作者：Duarte, Jefferson; Young, Lance
作者单位：University of Washington; University of Washington Seattle
摘要：Recent empirical work suggests that a proxy for the probability of informed trading (PIN) is an important determinant of the cross-section of average returns. This paper examines whether PIN is priced because of information asymmetry or because of other liquidity effects that are unrelated to information asymmetry. Our starting point is a model that decomposes PIN into two components, one related to asymmetric information and one related to illiquidity. In a two-pass Fama-MacBeth [1973. Risk, ...
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作者：Sensoy, Berk A.
作者单位：University of Southern California
摘要：Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these mismatched benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be...
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作者：Cao, Jerry; Lerner, Josh
作者单位：Harvard University; Singapore Management University
摘要：Reverse leveraged buyouts (RLBOs) have received increased public scrutiny but attracted little systematic study. We collect a comprehensive sample of 526 RLBOs between 1981 and 2003 and examine the three-year and five-year stock performance of these offerings. RLBOs appear to perform as well as or better than other initial public offerings and the stock market as a whole, depending on the specification. Evidence exists of a deterioration of returns over time. (C) 2008 Published by Elsevier B.V.
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作者：Chemmanur, Thomas J.; He, Shan; Hu, Gang
作者单位：Boston College; Louisiana State University System; Louisiana State University; Babson College
摘要：Do institutional investors possess private information about seasoned equity offerings (SEOs)? If so, do they use this private information to trade in a direction opposite to this information (a manipulative trading role) or in the same direction (an information production role)? We use a large sample of transaction-level institutional trading data to distinguish between these two roles of institutional investors. We explicitly identify institutional SEO allocations for the first time in the l...
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作者：Yermack, David
作者单位：New York University
摘要：I study large charitable stock gifts by Chairmen and Chief Executive Officers (CEOs) of public companies. These gifts, which are not subject to insider trading law, often occur just before sharp declines in their companies' share prices. This timing is more pronounced when executives donate their own shares to their own family foundations. Evidence related to reporting delays and seasonal patterns suggests that some CEOs fraudulently backdate stock gifts to increase personal income tax benefit...
