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作者：Brockman, Paul; Khurana, Inder K.; Martin, Xiumin
作者单位：University of Missouri System; University of Missouri Columbia; Washington University (WUSTL)
摘要：Managers increase the frequency and magnitude of bad news announcements during the 1-month period prior to repurchasing shares. To a lesser extent, they also increase the frequency and magnitude of good news announcements during the 1-month period following their repurchases. These results are consistent with Barclay and Smith's [1988. Corporate payout policy: Cash dividends versus open-market repurchases. journal of Financial Economics 22, 64-82.] conjecture that share repurchases, unlike div...
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作者：Del Guercio, Diane; Seery, Laura; Woidtke, Tracie
作者单位：University of Oregon; University of Tennessee System; University of Tennessee Knoxville; University of Tennessee System; University of Tennessee Knoxville
摘要：We examine just vote no campaigns, a recent innovation in low-cost shareholder activist tools whereby activists encourage their fellow shareholders to withhold votes toward a director's election to express dissatisfaction with management performance or the firm's corporate governance structure. Grundfest [1993. Just vote no: a minimalist strategy for dealing with barbarians inside the gates. Stanford Law Review 45, 857-937] argues that a substantial withheld vote motivates directors to take im...
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作者：Bali, Turan G.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper explores the time-series relation between expected returns and risk for a large cross section of industry and size/book-to-market portfolios. I use a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model to estimate a portfolio's conditional covariance with the market and then test whether the conditional covariance predicts time-variation in the portfolio's expected return. Restricting the slope to be the same across assets, the risk-return coefficient i...
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作者：Chun, Hyunbae; Kim, Jung-Wook; Morck, Randall; Yeung, Bernard
作者单位：University of Alberta; Sogang University; National Bureau of Economic Research; New York University
摘要：Traditional U.S. industries with higher firm-specific stock return and fundamentals performance heterogeneity use information technology (IT) more intensively and post faster productivity growth in the late 20th century. We argue that this mechanically reflects a wave of Schumpeter's creative destruction disrupting a wide swath of industries, with successful IT adopters unpredictably undermining established firms. This validates endogenous growth theory models of creative destruction and sugge...
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作者：Duarte, Jefferson; Han, Xi; Harford, Jarrad; Young, Lance
作者单位：University of Washington; University of Washington Seattle; Tsinghua University
摘要：This paper considers the impact of Regulation Fair Disclosure (FD) on firms' information environments and costs of capital. For NYSE/Amex firms we find little evidence of a change in the cost of capital attributable to Regulation FD. For Nasdaq firms we find that Regulation FD increased firms' costs of capital by 10-19 basis points per annum though the statistical significance of this change is modest for some of our models. We also show substantial cross-sectional variation in the cost If cap...
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作者：Boone, Audra L.; Mulherin, J. Harold
作者单位：University of Kansas; University System of Georgia; University of Georgia
摘要：We contrast the winner's curse hypothesis and the competitive market hypothesis as potential explanations for the observed returns to bidders in corporate takeovers. The winner's curse hypothesis posits suboptimal behavior in which winning bidders fail to adapt their strategies to the level of competition and the amount of uncertainty in the takeover environment and predicts that bidder returns are inversely related to the level of competition in a given deal and to the uncertainty in the valu...
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作者：Korajczyk, Robert A.; Sadka, Ronnie
作者单位：University of Washington; University of Washington Seattle; Northwestern University
摘要：We estimate latent factor models of liquidity, aggregated across various liquidity measures. Shocks to assets' liquidity have a common component across measures which accounts for most of the explained variation in individual liquidity measures. We find that across-measure systematic liquidity is a priced factor while within-measure systematic liquidity does not exhibit additional pricing information. Controlling for across-measure systematic liquidity risk, there is some evidence that liquidi...
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作者：Hong, Harrison; Wang, Jiang; Yu, Jialin
作者单位：Princeton University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Columbia University
摘要：We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained firms) should have lower short-horizon return variances (controlling for fundamental variance) than other firms. Using standard proxies for financing constraints such as past repurchases and firm age, we find strong Support for this predicted relation....
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作者：Hong, Harrison; Kubik, Jeffrey D.; Stein, Jeremy C.
作者单位：Princeton University; Syracuse University; Harvard University
摘要：Theory suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance of investors in its region. Using data on U.S. states and Census regions, we find clear-cut support for this proposition. Most of the variation in the ratio of interest comes from differences across regions in aggregate book value Per capita. Regions with low population density-e.g., the Deep South-are hom...
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作者：Gompers, Paul; Kovner, Anna; Lerner, Josh; Scharfstein, David
作者单位：Harvard University; National Bureau of Economic Research
摘要：It is well documented that the venture capital industry is highly volatile and that much of this volatility is associated with shifting valuations and activity in Public equity markets. This paper examines how changes in public market signals affected venture capital investing between 1975 and 1998. We find that venture capitalists with the most industry experience increase their investments the most when public market signals become more favorable. Their reaction to an increase is greater tha...
