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作者：Buraschi, A; Menini, D
作者单位：University of London; London Business School
摘要：Repo contracts, the most important form of collateralized lending, are widely used by financial institutions and hedge funds to create short-selling positions and manage their leverage profile. Moreover, they have become the primary tool of money management and monetary control of several central banks, including the Bundesbank and the newly born European Central Bank. This paper is an empirical study of this market. More specifically, we study the extent to which the current term structure of...
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作者：Lamont, OA; Polk, C
作者单位：University of Chicago; National Bureau of Economic Research; Northwestern University
摘要：Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary to draw inferences about the causal effect. We examine changes in the within-firm dispersion of industry investment, or diversity. We find that exogenous changes in diversity, due to changes in industry investment, are negatively related to firm value. Thus diversification destroys value, consistent with the inefficient internal capital mark...
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作者：Bernardo, AE; Chowdhry, B
作者单位：University of California System; University of California Los Angeles
摘要：The types of investments a firm undertakes will depend in part on what it expects the outcome of those investments to reveal about its skills, capabilities. and assets (i.e., its resources). We predict that a firm will specialize when young, then experiment in a new line of business for some time, and then either expand into a large, multisegment business or focus and scale up its specialized business. We derive several empirical implications for firm valuations and the reaction of stock price...
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作者：Lo, AW; MacKinlay, AC; Zhang, J
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive to the limit price, but are not sensitive to limit size. Hypothetical limit-order executions, constr...
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作者：Lowry, M; Shu, S
作者单位：Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the relation between risk and IPO underpricing and test two aspects of the litigation-risk hypothesis: (1) firms with higher litigation risk underprice their IPOs by a greater amount as a form of insurance (insurance effect) and (2) higher underpricing lowers expected litigation costs (deterrence effect). To adjust for the endogeneity bias in previous studies, we use a simultaneous equation framework. Evidence provides support for both aspects of the litigation-risk hypothesis. (C) ...
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作者：DeAngelo, H; DeAngelo, L; Wruck, KH
作者单位：University of Southern California; University System of Ohio; Ohio State University
摘要：A hot growth stock in the 1980s, L.A. Gear's equity fell from $1 billion in market value in 1989 to zero in 1998. For over six years as revenues declined precipitously, management tried a series of radical strategy shifts while subsidizing the firm's large losses through working-capital liquidations. The L.A. Gear case illustrates that asset liquidity (broadly construed, not limited to excess cash) can give managers substantial operating discretion during financial distress. It also shows (1) ...
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作者：Ang, A; Chen, J
作者单位：Columbia University; University of Southern California
摘要：Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional correlations implied by a normal distribution by 11.6%. We find that conditional asymmetric correlations are fundamentally different from other meas...
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作者：Schwert, GW
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作者：Chordia, T; Roll, R; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy or sell orders, reduce liquidity. Market-wide returns are strongl...
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作者：Mitton, T
作者单位：Brigham Young University
摘要：In a sample of 398 firms from Indonesia, Korea, Malaysia, the Philippines, and Thailand, firm-level differences in variables related to corporate governance had a strong impact on firm performance during the East Asian financial crisis of 1997-1998. Significantly better stock price performance is associated with firms that had indicators of higher disclosure quality (ADRs and auditors from Big Six accounting firms), with firms that had higher outside ownership concentration, and with firms tha...
