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作者：Ivkovic, Z; Jegadeesh, N
作者单位：Emory University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper evaluates the information content of analysts' one-quarter-ahead earnings forecast revisions and recommendation revisions at various points in event time relative to earnings announcement dates. Across three sets of tests, we find that the revisions are least informative in the week after earnings announcements and that the information content of revisions generally increases over event time. We find a sharp increase in the information content of upward forecast revisions and recomm...
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作者：Almazan, A; Brown, KC; Carlson, M; Chapman, DA
作者单位：Boston College; University of British Columbia; University of Texas System; University of Texas Austin
摘要：We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the portfolio manager is more experienced, (iii) the fund is managed by a team rather than an individual,...
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作者：Ng, LL; Wang, QH
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee
摘要：This study provides evidence that links institutional trading behavior directly to anomalous turn-of-the-year return patterns of small stocks. We find that turn-of-the-year trading patterns of institutions reflect strategies generally consistent with window-dressing and risk-shifting behaviors. Institutions sell more loser small stocks in the last quarter of the year, but buy more small stocks, winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end...
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作者：Bae, KH; Chan, K; Ng, A
作者单位：Hong Kong University of Science & Technology; Korea University
摘要：Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation between return volatility and the investibility of individual stocks, even after controlling for country, industry, firm size, and turnover. We also find that a highly investible emerging market portfolio is...
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作者：Moeller, SB; Schlingemann, FP; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Southern Methodist University
摘要：We examine a sample of 12,023 acquisitions by public firms from 1980 to 2001. The equally weighted abnormal announcement return is 1.1%, but acquiring-firm shareholders lose $25.2 million on average upon announcement. This disparity suggests the existence of a size effect in acquisition announcement returns. The announcement return for acquiring-firm shareholders is roughly two percentage points higher for small acquirers irrespective of the form of financing and whether the acquired firm is p...
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作者：Grinstein, Y; Hribar, P
作者单位：Cornell University
摘要：We investigate CEO compensation for completing M&A deals. We find that CEOs who have more power to influence board decisions receive significantly larger bonuses. We also find a positive relation between bonus compensation and measures of effort, but not between bonus compensation and deal performance. CEOs with more power also tend to engage in larger deals relative to the size of their own firms, and the market responds more negatively to their acquisition announcements. Our evidence is cons...
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作者：Narayanan, RP; Rangan, KP; Rangan, NK
作者单位：University System of Ohio; Ohio University; University System of Ohio; Case Western Reserve University
摘要：The re-entry of banking organizations into securities underwriting raises concerns over the possibility of banks using their lending-generated private information to benefit themselves and the issuing firm at the expense of investors. This paper illustrates the use of syndicate structure by lending banks to credibly commit against such opportunistic behavior and to exploit their proprietary information to lower issuance cost for borrowing firm issuers. We show that lending banks predominantly ...
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作者：Kimmel, RL
作者单位：Princeton University
摘要：The term structure of interest rates is modeled as a random field with conditional volatility. Random field models allow consistency with the current shape of the term structure without the need for recalibration. However, most such models are Gaussian, with no conditional volatility. State-dependent volatility is introduced while a key property of Gaussian random field models is retained. Each forward rate is part of a low-dimensional diffusion process, simplifying estimation and derivatives ...
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作者：Chung, KH; Chuwonganant, C; McCormick, DT
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Purdue University System; Indiana University Purdue University Fort Wayne
摘要：Despite the widely held belief that order preferencing affects market quality, no hard evidence exists on the extent and determinants of order preferencing and its impact on dealer competition and execution quality. This study shows that the bid-ask spread (dealer quote aggressiveness) is positively (negatively) related to the proportion of internalized volume during both the pre- and post-decimalization periods. Although decimal pricing led to lower order preferencing on NASDAQ, the extent of...
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作者：Harvey, CR; Lins, KV; Roper, AH
作者单位：Duke University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper conducts powerful new tests of whether debt can mitigate the effects of agency and information problems. We focus on emerging market firms for which pyramid ownership structures create potentially extreme managerial agency costs. Our tests incorporate both traditional financial statement data and new data on global debt contracts. Our analysis is mindful of the potential endogeneity between debt, ownership structure, and value, and it takes into account differences in the debt capac...
