-
作者：Ellul, Andrew
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This paper uses a sample of large trades executed on the London Stock Exchange's SEAQ-I market for European cross-traded firms to investigate their impact on home market prices when parallel markets suffer from information frictions. I find that (a) large London trades produce price impacts in home markets even though no timely information is published, (b) market makers appear to pre- and post-position their inventories by splitting orders across markets, and (c) the price discovery process a...
-
作者：Vega, Clara
作者单位：University of Rochester
摘要：I use Easley and O'Hara's [1992, Journal of Finance 47, 577-604] private information-based trading variable, PIN, together with a comprehensive public news database to empirically measure the effect of private and public information on the post-announcement drift. I show that stocks associated with high PIN, consensus public news surprises, and low media coverage experience low or insignificant drift. Thus not all information acquisition variables have the same effect on the market's efficienc...
-
作者：Garvey, Gerald T.; Milbourn, Todd T.
作者单位：Washington University (WUSTL); Barclays
摘要：Principal-agent theory suggests that a manager should be paid relative to a benchmark that removes the effect of market or sector performance on the firm's own performance. Recently, it has been argued that such indexation is not observed in the data because executives can set pay in their own interests; that is, they can enjoy pay for luck as well as pay for performance. We first show that this argument is incomplete. The positive expected return on stock markets reflects compensation for bea...
-
作者：Mathews, RD
作者单位：Duke University
摘要：I study how strategic alliances and their impact on future competitive incentives can motivate interfirm equity sales. In the model, an alliance between an entrepreneurial firm and an established firm improves efficiency for both. However, the requisite knowledge transfer heightens the established firm's incentive to enter one of its partner's markets. I show that equity can eliminate the entry incentive, but accommodation is sometimes chosen to encourage entreprencurial effort on future growt...
-
作者：Attari, M; Banerjee, S; Noe, TH
作者单位：Tulane University; Charles River Associates
摘要：In this paper, we develop a dynamic model of institutional share dumping surrounding control events. Institutional investors sometimes dump shares, despite trading losses, in order to manipulate share prices and trigger activism by relationship investors. These institutional investors are motivated to trade not only by trading profits but also by a desire to protect the value of their inventory and to disguise the quality of their own information. Relationship investor profit from targeting fi...
-
作者：Burns, N; Kedia, S
作者单位：University System of Georgia; University of Georgia; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：This paper examines the effect of CEO compensation contracts on misreporting. We find that the sensitivity of the CEO's option portfolio to stock price is significantly positively related to the propensity to misreport. We do not find that the sensitivity of other components of CEO compensation, i.e., equity, restricted stock, long-term incentive payouts, and salary plus bonus have any significant impact on the propensity to misreport. Relative to other components of compensation, stock option...
-
作者：Clarke, J; Subramanian, A
作者单位：University System of Georgia; Georgia State University; University System of Georgia; Georgia Institute of Technology
摘要：We develop a multi-period learning model to examine the relation between analysts' forecasting behavior and their performance. In a competitive market for banking services, the surplus and the analyst's payoff, which is determined through bargaining, are convex in her reputation. The convexity of her payoff structure and the presence of employment risk lead to a U-shaped relation between the analyst's forecast boldness and prior performance and a positive relation between forecast boldness and...
-
作者：Jenkinson, T; Morrison, AD; Wilhelm, WJ Jr
作者单位：University of Virginia; University of Oxford; Centre for Economic Policy Research - UK
摘要：Unlike in the U.S., the initial price range for European IPOs is seldom revised, although issues are often priced at the upper bound. We develop a model that explains this seemingly inefficient pricing behavior. As in Europe, but not in the U.S., underwriters in the model obtain information from investors before establishing the indicative price range. A commitment to stay within the range is necessary to extract private information from investors. ours is therefore the first treatment in whic...
-
作者：Pástor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Not necessarily: a firm's fundamental value increases with uncertainty about average future profitability, and this uncertainty was unusually high in the late 1990s. After calibrating a stock valuation model that takes this uncertainty into account, we compute the level of uncertainty that is needed to match the observed Nasdaq valuations at their peak. The uncertainty we obtain seems plausible because it matches not only the high level but also the high volatility of Nasdaq stock prices. In g...
-
作者：Yermack, D
作者单位：New York University
摘要：This paper studies perquisites of CEOs, focusing on personal use of company planes. For firms that have disclosed this managerial benefit, average shareholder returns underperform market benchmarks by more than 4% annually, a severe gap far exceeding the costs of resources consumed. Around the date of the initial disclosure, firms' stock prices drop by an average of 1.1%. Regression analysis finds no significant associations between CEOs' perquisites and their compensation or percentage owners...
