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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：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：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：Pukthuanthong, Kuntara; Roll, Richard
作者单位：California State University System; San Diego State University
摘要：Global markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, ...
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作者：Jackson, Howell E.; Roe, Mark J.
作者单位：Harvard University
摘要：Ascertaining which enforcement mechanisms work to protect investors has been both a focus of recent work in academic finance and an issue for policy-making at international development agencies. According to recent academic work, private enforcement of investor protection via both disclosure and private liability rules goes hand in hand with financial market development, but public enforcement fails to correlate with financial development and, hence, is unlikely to facilitate it. Our results c...
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作者：Christoffersen, Susan E. K.; Sarkissian, Sergei
作者单位：McGill University
摘要：The literature predicts that the average skill level and productivity are higher in larger cities. Prior studies use workers' wage or education differentials to indirectly link city size and output. This article relates city size and productivity directly, using performance data of U.S. equity mutual funds. On average, funds in financial centers perform better than other funds in terms of both gross and risk-adjusted returns, but this difference is driven only by more experienced managers. Amo...
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作者：Bodnaruk, Andriy; Ostberg, Per
作者单位：Norwegian School of Economics (NHH); University of Notre Dame
摘要：Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510] shows that stocks about which not all investors are informed should yield a return premium. This premium depends on the shadow cost of incomplete information which in turn depends on the shareholder base, relative market size, and idiosyncratic risk. Utilizing a comprehensive database of Swedish shareholdings, we demonstrate that stock returns are positively related to the sh...
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作者：Kisgen, Darren J.; Qian, Jun Qj; Song, Weihong
作者单位：Boston College; University System of Ohio; University of Cincinnati
摘要：Over the period 1994-2003. 80% of targets and 37% of acquirers obtain a third-party assessment of the fairness of a merger or acquisition. These fairness opinions do not affect deal outcomes when used by targets, but they affect deal outcomes when used by acquirers. The deal premium is lower in transactions if the acquirer obtains a fairness opinion, and is further reduced if multiple advisors provide an opinion. However, the acquirer's announcement-period return is 2.3% lower if the acquirer ...
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作者：Anderson, Evan W.; Ghysels, Eric; Juergens, Jennifer L.
作者单位：Northern Illinois University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
摘要：We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. F...
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作者：Goyal, Amit; Saretto, Alessio
作者单位：Purdue University System; Purdue University; Emory University
摘要：We study the cross-section of stock option returns by sorting stocks on the difference between historical realized volatility and at-the-money implied volatility. We find that a zero-cost trading strategy that is long (short) in the portfolio with a large positive (negative) difference between these two volatility measures produces an economically and statistically significant average monthly return. The results are robust to different market conditions, to stock risks-characteristics, to vari...
