-
作者：Hao, Grace Qing
作者单位：University of Missouri System; University of Missouri Columbia
摘要：Laddering is a practice whereby the allocating underwriter requires the ladderer to buy additional shares of the issuer in the aftermarket as a condition for receiving shares at the offer price. This paper identifies factors that create incentives to engage in this type of manipulation and models the effect of laddering on initial public offering (IPO) pricing. I show that laddering has a bigger effect on the market price of IPOs with greater expected underpricing (without laddering) and great...
-
作者：Heron, Randall A.; Lie, Erik
作者单位：University of Iowa; Indiana University System; Indiana University Indianapolis; IU Kelley School of Business
摘要：Extant studies show that stock returns are abnormally negative before executive option grants and abnormally positive afterward. We find that this return pattern is much weaker since August 29, 2002, when the Securities and Exchange Commission requirement that option grants must be reported within two business days took effect. Furthermore, in those cases in which grants are reported within one day of the grant date, the pattern has completely vanished, but it continues to exist for grants rep...
-
作者：Ludvigson, Sydney C.; Ng, Serena
作者单位：New York University; University of Michigan System; University of Michigan
摘要：Existing empirical literature on the risk-return relation uses relatively small amount of conditioning information to model the conditional mean and conditional volatility of excess stock market returns. We use dynamic Factor analysis for large data sets, to summarize a large amount of economic information by few estimated factors, and find that three new factors-termed volatility, risk premium, and real factors-contain important information about one-quarter-ahead excess returns and volatilit...
-
作者：Bartram, Soehnke M.; Brown, Gregory W.; Hund, John E.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Lancaster University; University of Texas System; University of Texas Austin
摘要：This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the...
-
作者：Louis, Henock; White, Hal
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Signaling is the most commonly cited explanation for stock repurchases in the academic literature. Yet, there is little evidence on whether managers intentionally use repurchases as signaling devices. Using a firm's financial reporting behavior to infer managerial intent, we find evidence suggesting that managers intentionally use fixed-price repurchase tender offers to signal undervaluation. In contrast, we find no evidence that managers use Dutch-auction tender offers to signal undervaluatio...
-
作者：Jo, Hoje; Kim, Yongtae
作者单位：Santa Clara University
摘要：We examine the relation between disclosure frequency and earnings management, and the impact of this relation on post-issue performance, for a sample of seasoned equity offerings (SEOs). We contend that firms with extensive disclosure are less likely to face information problems, leading to less earnings management and better post-issue performance. Our results confirm that disclosure frequency is inversely related to earnings management and positively associated with post-issue performance. W...
-
作者：Ko, K. Jeremy; Huang, Zhijian (James)
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In behavioral finance, overconfidence has been established as a prevalent psychological bias, which can make markets less efficient by creating mispricing in the form of excess volatility and return predictability. In this paper, we develop a model in which overconfidence causes investors to overinvest in information acquisition when this information could improve market efficiency by driving prices closer to true values. We study the impact of overconfidence on mispricing and information acqu...
-
作者：Sagi, Jacob S.; Seasholes, Mark S.
作者单位：University of California System; University of California Berkeley
摘要：This paper identifies observable firm-specific attributes that drive momentum. We find that a firm's revenues, costs, and growth options combine to determine the dynamics of its return autocorrelation. We use these insights to implement momentum strategies (buying winners and selling losers) with both numerically simulated returns and CRSP/Cornpustat data. In both sets of data, momentum strategies that use firms with high revenue growth volatility, low costs, or valuable growth options Outperf...
-
作者：Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
作者单位：University of London; London Business School; Imperial College London; Singapore Management University
摘要：Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Sorting on Bayesian alphas, relative to OLS alphas, yields a 5.5% per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are...
-
作者：Balvers, Ronald J.; Huang, Dayong
作者单位：West Virginia University; Gustavus Adolphus College
摘要：In a general real business cycle model, we derive a pricing kernel that involves only production function arguments. The productivity shock is the single factor and the capital stock relative to a productivity measure is the conditioning variable. The model compares favorably with the complementary consumption-based and market-based approaches and with the Fama-French three-factor model. A size premium arises from differences in unconditional sensitivities-small firms are more sensitive to pro...
