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作者：Howe, JS; Su, T
作者单位：University of Missouri System; University of Missouri Columbia; University of Miami
摘要：Managers can decide to reduce a warrant's exercise price. A reduction in exercise price can induce exercise (a conversion-forcing reduction) or not (a long-term reduction). Conversion-Forcing firms show an abnormal return of -1.53% on the announcement day but they perform well over the three: years following the announcement. This finding suggests that the funds raised from warrant exercise are invested in profitable projects, Long-term reductions show an abnormal return of -1.15% on the annou...
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作者：Hodrick, RJ; Zhang, XY
作者单位：Columbia University; National Bureau of Economic Research
摘要：This paper evaluates the specification errors of several empirical asset pricing models that have been developed as potential improvements on the CAPM, We use the methodology of Hansen and Jagannathan (J. Finance 51 (1997) 3). and the test assets are the 25 Fama-French (J. Financial Econom. 52 (1997) 557) equity portfolios sorted on size and book-to-market ratio. and the Treasury bill. We allow the parameters of each model's pricing kernel to fluctuate with the business cycle. While we cannot ...
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作者：Jones, CS
作者单位：University of Rochester
摘要：This paper proposes an alternative to the asymptotic principal components procedure of Connor and Korajczyk (J. Financial Econom. 15 (1986) 373) that is robust to time series heteroskedasticity in the factor model residuals. The new method is simple to use and requires no assumptions stronger than those made by Connor and Korajczyk, It is demonstrated through simulations and analysis of actual stock market data that allowing heteroskedasticity sometimes improves the quality of the extracted fa...
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作者：DeLong, GL
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper shows bank mergers that enhance value upon announcement can be distinguished from those that do not create value. I classify mergers of banking firms according to activity and geographic similarity (focus) or dissimilarity (diversification), and examine the abnormal returns to each group as a result of the merger announcement. Mergers that focus both activity and geography enhance stockholder value by 3.0% while the other types do not create value. Analysis reveals that abnormal ret...
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作者：Chakravarty, S
作者单位：Purdue University System; Purdue University
摘要：Using audit trail data for a sample of NYSE firms wt show that medium-size trades an associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of Barclay and Warners (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative prier impact of medium-size trades is trades initiated by institutions. This result is robust to various sensiti...
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作者：Kogan, L
作者单位：University of Pennsylvania
摘要：This paper presents a general equilibrium model of a two-sector production economy with irreversible real investment. Irreversibility of investment is the most prominent feature of the productive sector. It restricts capital accumulation, affecting firms' investment decisions. which in turn determine properties of asset prices. Thus, this model provides a framework for connecting stock returns to firm characteristics that proxy for real economic activity. The primary focus of this paper is on ...
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作者：Core, JE; Guay, WR
作者单位：University of Pennsylvania
摘要：We examine determinants of non-executive employee stock option holdings, grants, and exercises for 756 firms during 1994-1997. We find that firms use greater stock option compensation when facing capital requirements and financing constraints. Our results are also consistent with firms using options to attract and retain certain types of employees as well as to create incentives to increase firm value. After controlling for economic determinants and stuck returns, option exercises are greater ...
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作者：Edelen, RM; Warner, JB
作者单位：University of Rochester; University of Pennsylvania
摘要：We study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent relation reflects Row and institutional trading affecting returns. This daily relation is similar in magnitude to the price impact reported for an individual institution's trades in a stock. Aggregate flow also follows market returns with a one-day lag. The lagged response of flow suggests either a common r...
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作者：Froot, KA; O'Connell, PGJ; Seasholes, MS
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper explores daily international portfolio flows into and out of 44 countries from 1994 through 1998. We find several facts concerning the behavior of flows and their relationship with equity returns. First, we detect regional flow factors that have increased in importance through time. Second, the flows appear to be stationary, but far more persistent than returns. Third, flows are strongly influenced by past returns, a finding consistent with positive feedback trading by international...
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作者：Jones, CM; Lipson, ML
作者单位：Columbia University; University System of Georgia; University of Georgia
摘要：In June 1997, the New York Stock Exchange lowered its minimum price increment on most stocks from eighths to sixteenths. We use a sample of institutional trades to directly measure the effect of this tick size reduction on execution costs. Though quoted and effective spreads decline, realized execution costs for these institutions increase after the change to sixteenths. Costs increase most for orders that aggressively demand liquidity, including large orders, orders placed by momentum traders...
