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作者：Chordia, T; Roll, R; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Daily returns for stocks listed on the New York Exchange (NYSE) are not serially correlated while order imbalances on the same stocks are highly persistent. These empirical facts can be reconciled if sophisticated investors react to order imbalances within the trading day by undertaking enough countervailing trades to remove serial dependence over a daily horizon. How long does this actually take? The pattern of intra-day serial dependence reveals that it takes more than five minutes but less ...
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作者：Vasicek, OA
摘要：The paper looks at the behavior of investors in an economy consisting of a production process controlled by a state variable representing the state of technology. The participants in the economy maximize their individual utilities of consumption. Each participant has a constant relative risk aversion. The degrees of risk aversion, as well as the time preference functions, differ across participants. The participants may lend and borrow among themselves, either at a floating short rate, or by i...
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作者：Petkova, R; Zhang, L
作者单位：University of Rochester; University System of Ohio; Case Western Reserve University; National Bureau of Economic Research
摘要：We study the relative risk of value and growth stocks. We find that time-varying risk goes in the right direction in explaining the value premium. Value betas tend to covary positively, and growth betas tend to covary negatively with the expected market risk premium. Our inference differs from that of previous studies because we sort betas on the expected market risk premium, instead of on the realized market excess return. However, we also find that this beta-premium covariance is too small t...
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作者：Brennan, MJ; Cao, HH; Strong, N; Xu, XZ
作者单位：University of California System; University of California Los Angeles; University of Manchester; Peking University
摘要：This paper develops a noisy rational expectations model of the way in which international investors adjust their expectations of asset payoffs in a given country in response not only to public information signals but also to private information signals whose precision differs across investors. The model predicts that the perceptions of investors in one country about the future market returns in another country are related differently to realized past returns depending on their informational di...
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作者：Chemmanur, TJ; Paeglis, I
作者单位：Boston College; Concordia University - Canada
摘要：We empirically examine the relationship between the quality and reputation of a firm's management and various aspects of its IPO and post-IPO performance, a relationship that has so far received little attention in the literature. We hypothesize that better and more reputable managers are able to convey the intrinsic value of their firm more credibly to outsiders, thereby reducing the information asymmetry facing their firm in the equity market. Therefore, IPOs of firms with higher management ...
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作者：de Jong, F; de Roon, FA
作者单位：Tilburg University; University of Amsterdam
摘要：In the last two decades, emerging stock markets have become less segmented from world stock markets. The average annual decrease in se.-mentation of 0.055, on a [0,. 1] scale, reduces the cost of capital (measured by dividend yields) by about I I basis points, and reduces stock returns by about 4.5%. The decline in expected returns is due to a decrease in two types of segmentation. A fall in local segmentation accounts for about 2/3 of the decline in expected returns. The remaining 1/3 is due ...
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作者：Jiang, GL; Mahoney, PG; Mei, JP
作者单位：University of Virginia; Shanghai University of Finance & Economics; New York University
摘要：Using a new hand collected data set, this paper examines in detail a classic account of stock market manipulation, the stock pools of the 1920s, which prompted the current antimanipulation rules in the United States. We examine abnormal turnover and returns and the relation between them, as well as the long-term performance of the selected stocks. We conclude that the evidence suggests informed trading rather than manipulation. Our findings have implications for regulatory policy as well as th...
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作者：Childs, PD; Mauer, DC; Ott, SH
作者单位：Southern Methodist University; University of Kentucky; University of North Carolina; University of North Carolina Charlotte
摘要：We examine interactions between flexible financing and investment decisions in a model with stockholder-bondholder conflicts over investment policy. We find that financial flexibility encourages the choice of short-term debt thereby dramatically reducing the agency costs of under- and overinvestment. However, the reduction in agency costs may not encourage the firm to increase leverage, since the firm's initial debt level choice depends on the type of growth options in its investment opportuni...
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作者：Shahrur, H
作者单位：Bentley University
摘要：We examine the wealth effects of horizontal takeovers on rivals of the merging firms, and on firms in the takeover industry's supplier and customer industries. Inconsistent with the collusion and buyer power motives, we find significant positive abnormal returns to rivals, suppliers, and corporate customers for the subsample of takeovers with positive combined wealth effect to target and bidder shareholders. Overall, our findings suggest that the average takeover in our sample is driven by eff...
