-
作者：Schwert, GW
-
作者：Chance, DM; Hemler, ML
作者单位：University of Notre Dame; Virginia Polytechnic Institute & State University
摘要：We examine the performance of 30 professional market timers during 1986-1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. We analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios., and daily data, we find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. Relative ability persists and varies...
-
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...
-
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...
-
作者：Morellec, E
作者单位：University of Rochester
摘要：This paper investigates the impact of asset liquidity on the valuation of corporate securities and the firm's financing decisions. I show that asset liquidity increases debt capacity only when bond covenants restrict the disposition of assets. By contrast, I demonstrate that, with unsecured debt, greater liquidity increases credit spreads on corporate debt and reduces optimal leverage. The model also determines the extent to which pledging assets increases firm value and relates the optimal si...
