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作者：Baker, M; Wurgler, J
作者单位：New York University; Harvard University
摘要：We document a close link between fluctuations in the propensity to pay dividends and catering incentives. First, we use the methodology of Fama and French (J. Finan. Econ. (2001)) to identify a total of four distinct trends in the propensity to pay dividends between 1963 and 2000. Second, we show that each of these trends lines up with a corresponding fluctuation in catering incentives: The propensity to pay increases when a proxy for the stock market dividend premium is positive and decreases...
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作者：Cadenillas, A; Cvitanic, J; Zapatero, F
作者单位：University of Southern California; University of Alberta; University of Southern California; University of Southern California
摘要：We study the incentive effects of granting levered or unlevered stock to a risk-averse manager. The stock is granted by risk-neutral shareholders who choose leverage and compensation level. The manager applies costly effort and selects the level of volatility, both of which affect expected return. The results are driven by the attempt of the risk-neutral shareholders to maximize the value of their claims net of the compensation package. We consider a dynamic setting and find that levered stock...
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作者：Flannery, MJ; Kwan, SH; Nimalendran, M
作者单位：State University System of Florida; University of Florida; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence indicates that large bank holding companies (BHC), traded on the NYSE, have very similar trading properties to their matched nonfinancial firms. In contrast, smaller BHCs, traded on NASDAQ, trade much less frequently despite having very similar spreads. Analysis of HIES earnings forecasts indi...
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作者：Chordia, T; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price pressures caused by autocorrelated imbalances cause a positive relation between lagged imbalances and returns, which reverses sign after controlling for the current imbalance. We find empirical evidence ...
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作者：Grinblatt, M; Moskowitz, TJ
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：The consistency of positive past returns and tax-loss selling significantly affects the relation between past returns and the cross-section of expected returns. Analysis of these additional effects across stock characteristics, seasons, and tax regimes provides clues about the sources of temporal relations in stock returns, pointing to potential explanations for this relation. A parsimonious trading rule generates surprisingly large economic returns despite controls for confounding sources of ...
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作者：Aït-Sahalia, Y
作者单位：Princeton University
摘要：Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle Brownian noise from jumps. This is true even if, unlike the usual Poisson jumps, the jump process exhibits an infinite number of small jumps in any finite time interval, which ought to be harder to disti...
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作者：Carr, P; Wu, LR
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; Bloomberg L.P.
摘要：The classic Black-Scholes option pricing model assumes that returns follow Brownian motion, but return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non-normal return innovations. Second, return volatilities vary stochastically over time. Third, returns and their volatilities are correlated, often negatively for equities. Time-changed Levy, processes can simultaneously address these three issues. We show that our framework encompass...
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作者：Gan, J
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines the relationship between banking market structure and financial stability. Using data on thrifts, a type of banking institution specializing in residential mortgage lending, I test two related hypotheses. First, competition reduces franchise value. Second, reduced franchise Value induces risk taking. Testing the second hypothesis exploits predictions that when hit by an exogenous shock, the slope of risk with respect to franchise value becomes more negative because thrifts ...
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作者：Lowry, M; Schwert, GW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester; National Bureau of Economic Research
摘要：This paper investigates underwriters' treatment of public information throughout the IPO pricing process. Two key findings emerge. First, public information is not fully incorporated into the initial price range. While the economic magnitude of the bias is small, it is puzzling because it is not clear who benefits from it. Further, it indicates that the filing range midpoint is not an unbiased predictor of the offer price, as prior literature has assumed. Second, while public information is si...
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作者：Fee, CE; Thomas, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Michigan State University; Michigan State University's Broad College of Business
摘要：We investigate the upstream and downstream product-market effects of a large sample of horizontal mergers and acquisitions from 1980 to 1997. We construct a data set that identifies the corporate customers, suppliers, and rivals of the firms initiating horizontal mergers and use this data set to examine announcement-related stock market revaluations and post-merger changes in operating performance. We find little evidence consistent with increased monopolistic collusion. However, we do find ev...
