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作者：Doidge, C
作者单位：University of Toronto
摘要：Non-U.S. firms that cross-list on U.S. exchanges have voting premiums that are 43% lower than non-U.S. firms that do not cross-list. The difference in voting premiums is statistically significant after controlling for firm and country characteristics and the difference is larger for firms from countries that provide poor protection to minority investors. When a U.S. listing is announced, both the high- and low-voting share classes benefit, although the low-voting class benefits relatively more...
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作者：Lambrecht, BM
作者单位：Lancaster University
摘要：This paper analyzes the timing of mergers motivated by economies of scale. We show that firms have an incentive to merge in periods of economic expansion. Relaxing the assumption that firms are price takers, we find that market power strengthens the firms' incentive to merge and speeds up merger activity. Finally, comparing mergers with hostile takeovers we show that the way merger synergies are divided not only influences the acquirer's and the acquiree's returns from merging, but also the ti...
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作者：DuCharme, LL; Malatesta, PH; Sefcik, SE
作者单位：University of Washington; University of Washington Seattle
摘要：Abnormal accounting accruals are unusually high around stock offers, especially high for firms whose offers subsequently attract lawsuits. Accruals tend to reverse after stock offers and are negatively related to post-offer stock returns. Reversals are more pronounced and stock returns are lower for sued firms than for those that are not sued. The incidence of lawsuits involving stock offers and settlement amounts are significantly positively related to abnormal accruals around the offer and s...
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作者：Getmansky, M; Lo, AW; Makarov, I
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The returns to hedge funds and other alternative investments are often highly serially correlated. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smooth...
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作者：Goldman, E
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the resource allocation decision of a manager inside a multidivision firm whose compensation is based on the firm's stock price. We find that internal investments exhibit a positive correlation across the firms divisions. Namely, when two single-division firms merge the optimal investment level in one division becomes more positively related to the investment level in the other division. In addition, following a spinoff, divisional investments decline (increase) whenever the separat...
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作者：Andricopoulos, AD; Widdicks, M; Duck, PW; Newton, DP
作者单位：University of Manchester; University of Manchester
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作者：Hogan, S; Jarrow, R; Teo, M; Warachka, M
作者单位：Singapore Management University; Cornell University
摘要：This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whethe...
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作者：Lesmond, DA; Schill, MJ; Zhou, CS
作者单位：University of Virginia; Tulane University; Peking University
摘要：Our paper re-examines the profitability of relative strength or momentum trading strategies (buying past strong performers and selling past weak performers). We find that standard relative strength strategies require frequent trading in disproportionately high cost securities such that trading costs prevent profitable strategy execution. In the cross-section, we find that those stocks that generate large momentum returns are precisely those stocks with high trading costs. We conclude that the ...
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作者：Chirinko, RS; Schaller, H
作者单位：Emory University; Leibniz Association; Ifo Institut; University of Munich; Carleton University
摘要：Governance problems have a direct and immediate impact on the effective discount rate guiding investment decisions. Information from a transformed net present value rule and variation in firm-level panel data reveal the effective discount rate influencing investment. For the firms most likely to be affected by Jensen agency problems, investment behavior appears to be guided by discount rates less than the market rate by 350-400 basis points. This wedge is reduced for firms with a concentrated ...
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作者：Lewellen, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite ...
