-
作者：Brav, A; Graham, JR; Harvey, CR; Michaely, R
作者单位：Duke University; National Bureau of Economic Research; Cornell University; Reichman University
摘要：We survey 384 financial executives and conduct in-depth interviews with an additional 23 to determine the factors that drive dividend and share repurchase decisions. Our findings indicate that maintaining the dividend level is on par with investment decisions, while repurchases are made out of the residual cash flow after investment spending. Perceived stability of future earnings still affects dividend policy as in Lintner (1956. American Economic Review 46, 97-113). However, 50 years later, ...
-
作者：Hsieh, J; Walkling, RA
作者单位：University System of Ohio; Ohio State University; George Mason University
摘要：We find evidence of passive and active roles for arbitrageurs in the acquisition process. Using a simultaneous-equation framework to recognize endogeneity, we analyze 608 acquisition bids over the 1992-1999 period. Our results indicate that the change in arbitrage holdings is greater in successful offers. However, changes in arbitrage holdings are also related to the probability of success, bid premia, and arbitrage returns. In addition, the change in arbitrage holdings is positively associate...
-
作者：Morellec, E; Zhdanov, A
作者单位：University of Lausanne; Centre for Economic Policy Research - UK; University of Rochester
摘要：This paper presents a dynamic model of takeovers based on the stock market valuations of merging firms. The model incorporates competition and imperfect information and determines the terms and timing of takeovers by solving option exercise games between bidding and target shareholders. The implications of the model for returns to stockholders are consistent with the available evidence. In addition, the model generates new predictions relating these returns to the drift, volatility and correla...
-
作者：Lesmond, DA
作者单位：Tulane University
摘要：Emerging markets are characterized by volatile, but substantial returns that can easily exceed 75% per annum. Balancing these lofty returns are liquidity costs that, using the bid-ask spread as a basis, range from 1% for the Taiwanese market to over 47% for the Russian market. However, the paucity of bid-ask spread information across countries and time requires the use of liquidity estimates in emerging markets even though little is known about the efficacy of these estimates in measuring bid-...
-
作者：Kato, HK; Lemmon, M; Luo, M; Schallheim, J
作者单位：Utah System of Higher Education; University of Utah; Kobe University
摘要：In May 1997, the Japanese Commercial Code was amended to allow firms to begin granting stock options as compensation to top management and employees. Nearly 350 firms adopted option-based compensation plans between 1997 and 2001. These options typically have five year lives and are out-of-the-money by about 5% at the grant date. Firms exhibit abnormal stock returns of about 2%, around the announcements of plan adoptions. We find improvements in operating performance and observe that dividend p...
-
作者：Atanasov, V
作者单位：Babson College
摘要：This study examines the emergence of the Bulgarian stock market and the role of controlling blockholders. A new approach using mass privatization auction data measures the premium for control and demonstrates that, in the absence of legal constraints, majority owners extract more than 85% of firm value as private benefits of control. Institutional investors form portfolios of predominantly controlling positions or participate in majority coalitions. Ownership stakes cluster at 51%. After the p...
-
作者：Gebhardt, WR; Hvidkjaer, S; Swaminathan, B
作者单位：University System of Maryland; University of Maryland College Park; Cornell University
摘要：This paper examines the interaction between momentum in the returns of equities and corporate bonds. We find that investment grade corporate bonds do not exhibit momentum at the three- to 12-month horizons. Instead, the evidence suggests that they exhibit reversals. However, significant evidence exists of a momentum spillover from equities to investment grade corporate bonds of the same firm. Firms earning high (low) equity returns over the previous year earn high (low) bond returns the follow...
-
作者：Khanna, N; Tice, S
作者单位：Tulane University; Michigan State University; Michigan State University's Broad College of Business
摘要：We compare pricing and exit decisions of discounters across the business cycle. Cities containing high debt and/or low efficiency firms display higher prices during non-recession years. During recessions, prices increase in cities with less efficient incumbents, but decrease in cities with a mix of high and low debt firms. High debt firms are more likely to exit cities with lower prices, and high debt exiting firms are more likely to be efficient. Apparently, low debt firms strategically lower...
-
作者：Hanna, ID; Ready, MI
作者单位：University of Wisconsin System; University of Wisconsin Madison; Southern Methodist University
摘要：Haugen and Baker (1996) report that a long-short stock selection strategy based on more than 50 measures of accounting information and past return behavior would have generated excess returns of approximately 3% per month. We find that the Haugen and Baker strategies do not provide attractive returns after transaction costs if an investor already has access to strategy portfolios based on book-to-market and momentum. We also provide an extensive analysis of transaction costs over a long sample...
-
作者：Asquith, P; Pathak, PA; Ritter, JR
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; State University System of Florida; University of Florida
摘要：Stocks are short-sale constrained when there is a strong demand to sell short and a limited Supply of shares to borrow. Using data on both short interest (a proxy for demand) and institutional ownership (a proxy for supply) we find that constrained stocks underperform during the period 1988 - 2002 by a significant 215 basis points per month on an equally weighted basis, although by only in insignificant 39 basis points per month on a value-weighted basis. For the overwhelming majority of stock...
