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作者：Brockman, P; Chung, DY
作者单位：Hong Kong Polytechnic University
摘要：We investigate the timing of open market share repurchases and the resultant impact on firm liquidity. Using the Stock Exchange of Hong Kong's unique disclosure environment, we identify the exact implementation dates for more than five thousand equity buybacks. We find that managers exhibit substantial timing ability. Consistent with the information-asymmetry hypothesis, bid-ask spreads widen and depths narrow during repurchase periods. We decompose bid-ask spreads and show that adverse select...
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作者：Carter, ME; Lynch, LJ
作者单位：Columbia University; University of Virginia
摘要：Comparing a sample of firms that reprice executive stock options in 1998 to a control sample of firms with out-of-the-money options in 1998 that do not reprice, we find that the likelihood of repricing increases for young, high technology firms and firms whose options are more out-of-the-money, Further, we find that firms reprice in response to poor firm-specific, not pool industry, performance. However, we find no evidence that repricing is related to agency problems. Our results an consisten...
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作者：Klein, P
作者单位：Simon Fraser University
摘要：This paper develops and tests an asset pricing model that allows for the presence of a capital gain lock-in effect. The principal empirical implication of this model is that stock returns exhibit reversal behavior over long horizons because of investors' accrued capital gains. Empirical tests on the cross-section of stock returns find that long-horizon return reversal is primarily attributable to the effect of investors' accrued capital gains and that the effect is nonlinear in the manner pred...
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作者：Perry, T; Zenner, M
作者单位：Arizona State University; Arizona State University-Tempe; University of North Carolina; University of North Carolina Chapel Hill
摘要：In 1992-1993, the SEC required enhanced disclosure on executive compensation and Congress enacted tax legislation limiting the deductibility of non-performance related compensation over one million dollars, i.e. Internal Revenue Code Section 162(m). We examine the effects of these regulatory changes and report small and large by the regulations. We further document that bonus and total compensation payouts are increasingly sensitive to stock returns after 1993, especially for firms with millio...
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作者：Andersen, L; Andreasen, J
摘要：This paper investigates the effect of interest rate correlation in pricing and exercise of Bermudan swaptions. Investigating both Gaussian Markov models and Libor market models, we find that Bermudan swaption prices change only moderately (and in fact typically decrease slightly) when the number of factors in the underlying interest rate model is increased from one to two. We explain the rationale behind these results, and also demonstrate that exercise information generated within a best-fit ...
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作者：Dhillon, US; Noe, TH; Ramírez, GG
作者单位：Tulane University; State University of New York (SUNY) System; Binghamton University, SUNY; Virginia Commonwealth University
摘要：This paper is an exploration of the ability of game theory to explain real-world corporate maneuvering. We explore this issue by investigating bond tender offers accompanied by a threat to call nontendered bonds, so called Simultaneous Tender and Call (STAC) offers. We argue that STACs engender a transparent game played by bondholders and shareholders. We model this game and use this model to predict the outcome of STACs. Finally, we investigate the issue of whether this theoretical model expl...
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作者：Houston, JF; James, CM; Ryngaert, MD
作者单位：State University System of Florida; University of Florida
摘要：Traditional studies fail to find conclusive evidence that bank mergers create value. We analyze a sample of the largest bank mergers between 1985 and 1996. For a subset of this sample, we obtain management estimates of projected cost savings and revenue enhancements. We find that recent mergers appear to result in positive revaluations of the combined value of bidder and target stocks. Although not as large as the present value of management's estimates, with the bulk of the revaluation being ...
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作者：Cotter, JF; Peck, SW
作者单位：Marquette University; New Mexico State University
摘要：This paper examines the role buyout specialists play in structuring the debt used to finance the LBO and in monitoring management in the post-LBO firm. We find that when buyout specialists control the majority of the post-LBO equity, the LBO transaction is likely to be financed with less short-term and/or senior debt and less likely to experience financial distress. We also find that buyout specialists have greater board representation on smaller boards, suggesting that they actively monitor m...
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作者：Xiong, W
作者单位：Princeton University
摘要：I study convergence traders with logarithmic utility in a continuous-time equilibrium model. In general, convergence traders reduce asset price volatility and provide liquidity by taking risky positions against noise trading. However, when an unfavorable shock causes them to suffer capital losses, thus eroding their risk-bearing capacity, they liquidate their positions. thereby amplifying the original shock. In extreme circumstances, this wealth effect Causes convergence traders to be destabil...
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作者：Carr, P; Geman, H; Madan, DB
作者单位：University System of Maryland; University of Maryland College Park; New York University; Universite PSL; Universite Paris-Dauphine; ESSEC Business School
摘要：We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization. Our approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated floors which expected payoffs must exceed in order for the investor to consider the hedged and financed investment to be acceptable. By assuming that the liquid assets are priced so th...
