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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：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：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：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...
