-
作者：Chan, WS
摘要：Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effe...
-
作者：Parlour, CA; Rajan, U
作者单位：Carnegie Mellon University
摘要：We develop a dynamic model of price competition in broker and dealer markets. With no payment for order flow, a zero-profit equilibrium exists. With payment for order flow, spreads widen to more than compensate for this payment; hence, there is no equilibrium in which market makers earn zero profits. While brokerage commissions for market orders can fall, the total transactions cost to submitting a market order remains positive. Consumer and social welfare are both lower in any equilibrium wit...
-
作者：Bharadwaj, A; Shivdasani, A
作者单位：Cornerstone Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：in a sample of 115 cash tender offers between 1990 and 1996, banks extend financing in 70% of the tender offers and finance the entire tender offer in half of these takeovers. Bank financing of tender offers is more likely when internal cash reserves are low. Acquisitions that are entirely financed by banks are associated with large and significantly positive acquirer announcement returns. Announcement returns are also positively related to the fraction of the acquisition value financed by ban...
-
作者：Ongena, S; Smith, DC; Michalsen, D
作者单位：Federal Reserve System - USA; BI Norwegian Business School
摘要：We use the near-collapse of the Norwegian banking system during the period 1988-1991 to measure the impact of bank distress announcements on the stock prices of firms maintaining a relationship with a distressed bank. Although banks experienced large and permanent downward revisions in their equity value during the event period, firms maintaining relationships with these banks faced only small and temporary changes, on average, in stock price. Firms with access to unused liquid bank funds and ...
-
作者：Del Guercio, D; Dann, LY; Partch, MM
作者单位：University of Oregon
摘要：We analyze whether board structure and director independence in closed-end investment companies are related to shareholder interests in ways that are consistent with boards being effective monitors. We report that funds with relatively low expense ratios, one measure of board effectiveness, have smaller boards, a higher proportion of board members who are legally considered independent, relatively low director compensation, and charter provisions that specify remedial action if discounts becom...
-
作者：Baker, M; Greenwood, R; Wurgler, J
作者单位：Harvard University; New York University
摘要：The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share, and together account for much of its own ability to predict excess bond returns. The results are consistent with survey evidence that fir...
-
作者：Chidambaran, NK; Prabhala, NR
作者单位：Rutgers University System; Rutgers University New Brunswick; University System of Maryland; University of Maryland College Park
摘要：We examine firms that reprice their executive stock options and find little evidence that repricing reflects managerial entrenchment or ineffective governance. Repricing grants are economically significant, but there is little else unusual about compensation in repricing firms. Repricers tend to be smaller, younger, rapidly growing firms that experience a deep, sudden shock to growth and profitability. They are also more concentrated in the technology, trade, and service sectors and have small...
-
作者：Campbell, JY; Chan, YL; Viceira, LM
作者单位：Harvard University; Hong Kong University of Science & Technology; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the ...
-
作者：Milbourn, TT
作者单位：Washington University (WUSTL)
摘要：I develop a theory of stock-based compensation contracts for the chief executive officers (CEOs) of firms and confront the theoretical predictions with recent CEO compensation data. The model characterizes the optimal contract for a CEO whose reputation evolves as signals of the executive's ability are observed by shareholders. Using various proxies for CEO reputation, I show a positive and economically meaningful relationship between stock-based pay-sensitivities and CEO reputation. The findi...
-
作者：Aggarwal, R
作者单位：Georgetown University
摘要：There is a general perception that the large trading volume in initial public offerings is mostly due to flippers that are allocated shares in the offering and immediately resell them. On average, however, flipping accounts for only 19% of trading volume and 15% of shares offered during the first two days of trading. Institutions do more flipping than retail customers and hot IPOs are flipped much more than cold IPOs. Institutions do not quickly flip cold IPOs to take advantage of price suppor...
