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作者：Huson, MR; Malatesta, PH; Parrino, R
作者单位：University of Alberta; University of Washington; University of Washington Seattle; University of Texas System; University of Texas Austin
摘要：We examine CEO turnover and firm financial performance. Accounting measures of performance relative to other firms deteriorate prior to CEO turnover and improve thereafter. The degree of improvement is positively related to the level of institutional shareholdings, the presence of an outsider-dominated board, and the appointment of an outsider (rather than an insider) CEO. Turnover announcements are associated with significantly positive average abnormal stock returns, which are in turn signif...
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作者：Jakob, K; Ma, TS
作者单位：Utah System of Higher Education; University of Utah; University of Montana System; University of Montana
摘要：Bali and Hite (1998) and Dubofsky (1992) propose models in which market microstructure effects play a role in the ex-dividend day price drop anomaly. Bali and Hite suggest that the anomaly is caused solely by price discreteness, while Dubofsky suggests that NYSE Rule 118 is also involved. We test these models by examining cum- to ex-day price drops during the one-eighth, one-sixteenth, and decimal tick size regimes. While the evidence is qualitatively consistent with Dubofsky's predictions, ne...
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作者：Lerner, J; Schoar, A
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper presents the theory that managers can use the liquidity of securities as a choice variable to screen for deep-pocket investors, those that have a low likelihood of facing a liquidity shock. We assume an information asymmetry about the quality of the manager between the existing investors and the market. The manager then faces a lemons problem when he has to-raise funds for a subsequent fund from outside investors, because the outsiders cannot determine whether the manager is of poor...
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作者：Penas, MF; Unal, H
作者单位：University System of Maryland; University of Maryland College Park; Tilburg University
摘要：We present evidence that the adjusted returns of merging banks' bonds are positive and significant across pre-merger and announcement months. The cross-sectional evidence indicates that the primary determinants of merger-related bondholder gains are diversification gains, gains associated with achieving too-big-to-fail status, and, to a lesser degree, synergy gains. We obtain the same finding when we examine the acquiring banks' credit spreads on new debt issues both before and after the merge...
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作者：Fernandez, P
作者单位：University of Navarra; IESE Business School
摘要：The value of tax shields is the difference between the present values of two different cash flows, each with their own risk: the present value of taxes for the unlevered company and the present value of taxes for the levered company. For constant growth companies, the value of tax shields in a world with no leverage cost is the present value of the debt, times the tax rate, times the unlevered cost of equity, discounted at the unlevered cost of equity. This result arises as the difference of t...
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作者：Brandt, MW; Kang, Q
作者单位：Duke University; National Bureau of Economic Research; University of Hong Kong
摘要：We model the conditional mean and volatility of stock returns as a latent VAR process to study their contemporaneous and intertemporal relationships in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments leading to pronounced countercyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the moments that also appear related to busin...
