-
作者：Edelen, RM; Kadlec, GB
作者单位：Virginia Polytechnic Institute & State University
摘要：This study develops a model in which rational issuers maximize the expected surplus from going public by choosing an offer price that weighs the benefit of higher proceeds if the offer is completed against the cost of foregone surplus if the offer fails. Increases in the market valuation of comparable firms during the waiting period imply higher surplus associated with going public; issuers respond with a partial revision in the offer price to elevate the probability of completion. The model o...
-
作者：Asquith, P; Mikhail, MB; Au, AS
作者单位：Duke University; Massachusetts Institute of Technology (MIT); State Street Global Advisors
摘要：We catalog the complete contents of Institutional Investor All-American analyst reports and examine the market reaction to their release. Including the justifications supporting an analyst's opinion reduces, and in some models eliminates, the significance of earnings forecasts and recommendation revisions. Analysts both provide new information and interpret previously released information. The information in a report is most important for downgrades; target prices and the analyst's justificati...
-
作者：Berger, AN; Miller, NH; Petersen, MA; Rajan, RG; Stein, JC
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago; Northwestern University; University of California System; University of California Berkeley; Federal Reserve System - USA
摘要：Theories based on incomplete contracting suggest that small organizations have a comparative advantage in activities that make extensive use of soft information. We provide evidence consistent with small banks being better able to collect and act on soft information than large banks. In particular, large banks are less willing to lend to informationally difficult credits, such as firms with no financial records. Moreover, after controlling for the endogeneity of bank-firm matching, we find tha...
-
作者：Peyer, UC; Vermaelen, T
作者单位：INSEAD Business School
摘要：We investigate the causes and consequences of 737 privately negotiated share repurchases in the years 1984 2001. In contrast to the negative announcement returns and positive repurchase premiums reported by past research, we find positive announcement returns and premiums that are not significantly different from zero. Only when we investigate the 60 greenmail events separately do we find results similar to past research. However, for this subsample, we find long-horizon excess returns that ar...
-
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 ...
-
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...
-
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...
-
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 ...
