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作者：Livingston, Miles; Williams, Glenn
作者单位：State University System of Florida; University of Florida; State University System of Florida; Florida Atlantic University
摘要：In the 1980s, Drexel Burnham Lambert dominated the underwriting of junk bonds with close to a 50% market share. In 1990, Drexel went bankrupt and was liquidated, and the percentage underwriting fees for junk bonds subsequently dropped dramatically. We present strong evidence that the exit of Drexel Burnham Lambert and the resulting increase in competition for market share were major contributing factors to the decline in junk bond underwriter fees. (c) 2006 Elsevier B.V. All rights reserved.
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作者：Sengupta, Rajdeep
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Foreign entry and bank competition are modeled as the interaction between asymmetrically informed principals: The entrant uses collateral as a screening device to contest the incumbent's informational advantage. Both better information ex ante and stronger legal protection ex post are shown to facilitate the entry of low-cost outside competitors into credit markets. The entrant's success in gaining borrowers of higher quality by offering cheaper loans increases with its efficiency (cost) advan...
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作者：Hong, Harrison; Torous, Walter; Valkanov, Rossen
作者单位：Princeton University; University of California System; University of California Los Angeles
摘要：We investigate whether the returns of industry portfolios predict stock market movements. In the US, a significant number of industry returns, including retail, services, commercial real estate, metal, and petroleum, forecast the stock market by up to two months. Moreover, the propensity of an industry to predict the market is correlated with its propensity to forecast various indicators of economic activity. The eight largest non-US stock markets show remarkably similar patterns. These findin...
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作者：Wald, John K.; Long, Michael S.
作者单位：University of Texas System; University of Texas at San Antonio; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick
摘要：US manufacturing firms incorporated in states with stronger payout restrictions use less debt, while antitakeover statutes do not significantly reduce long-run leverage. Correcting for the endogenously determined choice of where to incorporate, we find that firms sort themselves according to state laws and capital structure needs. After accounting for self-selection, state antitakeover laws are positively associated with debt as a fraction of market value, possibly due to lower market values f...
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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...
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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...
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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...
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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...
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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...
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作者：Mele, Antonio
作者单位：University of London; London School Economics & Political Science; University of Turin
摘要：Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs if risk premia increase more in bad times than they decrease in good times, thereby inducing price-di...
