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作者：Goldman, E; Qian, J
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Boston College
摘要：We offer an explanation for why raiders do not acquire the maximum possible toehold prior to announcing a takeover bid. By endogenously modeling the target firm's value following an unsuccessful takeover we demonstrate that a raider may optimally acquire a small toehold even if the acquisition does not drive up the pre-tender target price. This occurs because although a larger toehold increases profits if the takeover Succeeds it also conveys a higher level of managerial entrenchment and hence...
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作者：Ang, A; Bekaert, G; Liu, J
作者单位：Columbia University; University of Southern California; University of California System; University of California Los Angeles
摘要：We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991. Econometrica 59(3), 667-686), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment averse investors with utility functions exhibiting low curvature. Moderate v...
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作者：Gande, A; Parsley, DC
作者单位：Vanderbilt University
摘要：We study the effect of a sovereign credit rating change of one country on the sovereign credit spreads of other countries from 1991 to 2000. We find evidence of spillover effects; that is, a ratings change in one country has a significant effect on sovereign credit spreads of other countries. This effect is asymmetric: positive ratings events abroad have no discernable impact on sovereign spreads, whereas negative ratings events are associated with an increase in spreads. On average, a one-not...
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作者：Almeida, H; Wolfenzon, D
作者单位：New York University
摘要：We develop an equilibrium model to understand how the efficiency of capital allocation depends on outside investor protection and the external financing needs of firms. We show that when capital allocation is constrained by poor investor protection, an increase in firms' external financing needs may improve allocative efficiency by fostering the reallocation of capital from low to high productivity projects. We also find novel empirical support for this prediction. (C) 2004 Elsevier B.V. All r...
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作者：Sherman, AE
作者单位：University of Notre Dame
摘要：The U.S. book-building method has become increasingly popular for initial public offerings (IPOs) worldwide over the last decade, whereas sealed-bid IPO auctions have been abandoned in nearly all of the many countries in which they have been tried. I model book building, discriminatory auctions, and uniform price auctions in an environment in which the number of investors and the accuracy of investors' information are endogenous. Book building lets underwriters manage investor access to shares...
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作者：Khorana, A; Servaes, H; Tufano, P
作者单位：Harvard University; University System of Georgia; Georgia Institute of Technology; University of London; London Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：This paper studies the mutual fund industry in 56 countries and examines where this financial innovation has flourished. The fund industry is larger in countries with stronger rules, laws, and regulations, and specifically where mutual fund investors' rights are better protected. The industry is also larger in countries with wealthier and more educated populations, where the industry is older, trading costs are lower and in which defined contribution pension plans are more prevalent. The indus...
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作者：Lettau, M; Ludvigson, SC
作者单位：New York University; New York University
摘要：We investigate a consumption-based present-value relation that is a function of future dividend growth and find that changing forecasts of dividend growth are an important feature of the post-war U.S. stock market, despite the failure of the dividend-price ratio to uncover such variation. In addition, dividend forecasts are found to covary with changing forecasts of excess stock returns over business cycle frequencies. This covariation is important because positively correlated fluctuations in...
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作者：Jorion, P; Liu, Z; Shi, C
作者单位：University of California System; University of California Irvine
摘要：Regulation Fair Disclosure, implemented on October 23, 2000, prohibits U.S. public companies from making selective, nonpublic disclosures to favored investment professionals. Regulation Fair Disclosure has a number of exclusions, however, including disclosure of nonpublic information to credit rating agencies. As a result, credit analysts at rating agencies have access to confidential information that is no longer made available to equity analysts, potentially increasing the information conten...
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作者：Locke, PR; Mann, SC
作者单位：Texas Christian University; George Washington University
摘要：Recent evidence indicates irrational behavior among retail investors. They hold onto losses and sell winners in a manner consistent with the disposition effect. Market professionals often use the term discipline to indicate trading strategies that minimize potential behavioral influences. We investigate the nature of trading discipline and whether professional traders are able to avoid the costly irrational behaviors found in retail populations. The full-time traders in our sample hold onto lo...
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作者：Benninga, S; Helmantel, M; Sarig, O
作者单位：Reichman University; University of Groningen; University of Pennsylvania; Tel Aviv University
摘要：We study the dynamics of IPOs by examining the tradeoff between an entrepreneur's private benefits, which are lost whenever the firm is publicly traded, and the gains from diversification. We characterize the timing dimension of the decision to go public and its impact on firm value and the evolution of firm risk over time. By endogenizing the timing of the decision to go public, we explain the clustering of IPOs and buyouts in time, the industry concentration of IPO waves, the high incidence ...
