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作者：Chen, J; Hong, H; Stein, JC
作者单位：Harvard University; Stanford University
摘要：We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced (1) an increase in trading volume relative to trend over the prior six months, consistent with the model of Hong and Stein (NBER Working Paper, 1999), and (2) positive returns over the prior 36 months, which fits with a number of theories, most notably Blanchard and Watson's (Crises in Economic and ...
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作者：Cooper, RA; Day, TE; Lewis, CM
作者单位：Vanderbilt University; University of Texas System; University of Texas Dallas
摘要：This paper develops and tests procedures for ranking the performance of security analysts based on the timeliness of their earnings forecasts, the abnormal trading volume associated with these forecasts, and forecast accuracy. Our framework provides an objective assessment of analyst quality that differs from the standard approach, which uses survey evidence to rate analysts. We find that lead analysts identified by our measure of forecast timeliness have a greater impact on stock prices than ...
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作者：Morgan, AG; Poulsen, AB
作者单位：University System of Georgia; University of Georgia; Clemson University
摘要：We study the proposal of manager-sponsored compensation plans linking pay to performance by S&P 500 firms in the 1990s. We examine the market perception of these proposals and the characteristics of the firms that propose them. Shareholders gain at the announcement of the plans, especially when the plans are directed toward the firm's top executives. Proposing firms are those that can most benefit from the plans, given their asset type and agency considerations. Firms with more potential agenc...
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作者：Hansen, RS
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：The large number of initial public offerings (IPOs) with a 7% spread suggests either that investment bankers collude to profit From 7% IPOs or that the 7% contract is an efficient innovation that better suits the IPO. My tests do not support the collusion theory. Low concentration and ease of entry characterize the IPO market. Moreover, the 7% spread is not abnormally profitable, nor has its use been diminished by public awareness of collusion allegations. In support of the efficient contract ...
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作者：Dahlquist, M; Robertsson, G
作者单位：Duke University
摘要：In this paper, we characterize foreign ownership using a dataset of ownership and attributes of Swedish firms. The analysis reveals that foreigners show a preference for large firms, firms paying low dividends, and firms with large cash positions on their balance sheets. When we further analyze the preference for large firms, we find that market liquidity and presence in international markets, measured through export sales or listings on other exchanges, seem to characterize foreign holdings b...
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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：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：Hasbrouck, J; Seppi, DJ
作者单位：New York University; Carnegie Mellon University
摘要：How important are cross-stock common factors in the price discovery/liquidity provision process in equity markets? We investigate two aspects of this question for the 30 Dow stocks. First. using principal components and canonical correlation analyses we find that both returns acid order Rows are characterized by common factors. Commonality in the order flows explains roughly two-thirds of the commonality in returns. Second, we examine variation and common covariation in various liquidity proxi...
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作者：Schultz, P; Zaman, M
作者单位：University of Notre Dame; University of Northern Iowa
摘要：Two explanations are commonly offered for the large number of recent IPOs by Internet firms. The first argues that Internet firms are trying to grab market share in an industry with large economies of scale. The second argues that Internet firms are rushing to go public when Internet stuck prices are irrationally high. In this paper we examine the actions of those closest to Internet firms - firm managers, underwriters, and venture capitalists - to determine their motives for going public. Num...
