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作者：Harford, J
作者单位：University of Washington; University of Washington Seattle
摘要：Aggregate merger waves could be due to market timing or to clustering of industry shocks for which mergers facilitate change to the new environment. This study finds that economic, regulatory and technological shocks drive industry merger waves. Whether the shock leads to a wave of mergers, however, depends on whether there is sufficient overall capital liquidity. This macro-level liquidity component causes industry merger waves to cluster in time even if industry shocks do not. Market-timing ...
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作者：Greenwood, R
作者单位：Harvard University
摘要：I develop a framework to analyze demand curves for multiple risky securities at extended horizons in a setting with firnits-to-arbitrage. Following an unexpected change in uninformed investor demand for several assets, I predict returns of each security to be proportional to the contribution of that security's demand shock to the risk of a diversified arbitrage portfolio. I show that securities that are not affected by demand shocks but are correlated with securities undergoing changes in dema...
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作者：Bjonnes, GH; Rime, D
作者单位：Norges Bank; BI Norwegian Business School
摘要：We study dealer behavior in the foreign exchange spot market using detailed observations on all the transactions of four interbank dealers. There is strong support for an information effect in incoming trades. The direction of trade is most important, but we also find that the information effect increases with trade size in direct bilateral trades. All four dealers control their inventory intensively. Inventory control is not, however, manifested through a dealer's own prices in contrast to fi...
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作者：Grenadier, SR; Wang, N
作者单位：Columbia University; National Bureau of Economic Research; Stanford University
摘要：This paper provides a model of investment timing by managers in a decentralized firm in the presence of agency conflicts and information asymmetries. When investment decisions are delegated to managers, contracts must be designed to provide incentives for managers to both extend effort and truthfully reveal private information. Using a real options approach, we show that an underlying option to invest can be decomposed into two components: a manager's option and an owner's option. The implied ...
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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, ...
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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...
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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...
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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...
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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...
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作者：Fama, EF; French, KR
作者单位：Dartmouth College; University of Chicago
摘要：Financing decisions seem to violate the central predictions of the pecking order model about how often and under what circumstances firms issue equity. Specifically, most firms issue or retire equity each year, and the issues are on average large and not typically done by firms tinder duress. We estimate that during 1973-2002, the year-by-year equity decisions of more than half of our sample firms violate the pecking order. (c) 2004 Elsevier B.V. All rights reserved.
