-
作者：Busaba, WY; Benveniste, LM; Guo, RJ
作者单位：University of Arizona; University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：American IPOs are priced after a process of bookbuilding, during which issuers can withdraw at any time. We hypothesize that the option to withdraw reduces underpricing by strengthening the issuers' bargaining power with respect to investors. Empirical analysis reveals that underpricing is lower when investor perception of an IPO's likelihood of withdrawal is higher. Withdrawing issuers are neither smaller nor less profitable than issuers completing their IPOs, and engage underwriters that are...
-
作者：Dechow, PM; Hutton, AP; Meulbroek, L; Sloan, RG
作者单位：University of Michigan System; University of Michigan; Harvard University
摘要：Firms with low ratios of fundamentals (such as earning and book values) to market values are known to have systematically lower future stock returns. We document that short-sellers position themselves in the stock of such firms, and then cover their positions as the ratios mean-revert. We also show that short-sellers refine their trading strategies to minimize transactions costs and maximize their investment returns. Our evidence is consistent with short-sellers using information in these rati...
-
作者：Burch, TR
作者单位：University of Miami
摘要：Conventional wisdom suggests that lockup options are granted by self-interested target managers to discourage competition and hand-select an acquirer, thus harming target shareholder wealth. Evidence from 2,067 deals announced during 1988-1995 suggests that lockup options inhibit competition, but on average, deals with lockup options have higher target announcement and overall returns and lower bidder announcement returns, even after controlling for shareholder anticipation and other factors. ...
-
作者：Mian, S
作者单位：Emory University
摘要：This paper. provides empirical evidence regarding why firms replace their CFOs. Empirical tests are based on a sample of 2,227 CFO appointments over the 1984-1997 time period. Key findings reported in the paper are: (a) external CFO succession rate is markedly higher than the external CEO succession rate, (b) the incidence of retirement is less common for serving CFOs as compared to the top executive, (c) CFO turnover is preceded by negative excess returns, (d) CFO turnover is preceded by a de...
-
作者：Fulghieri, P; Lukin, D
作者单位：INSEAD Business School; Centre for Economic Policy Research - UK; University of California System; University of California Irvine
摘要：We investigate the problem of a firm wishing to finance a project by issuing securities under asymmetric information. We find that, when outside investors can produce (noisy) information on the firm's quality, the degree of information asymmetry resulting in equilibrium is endogenous and depends on the information sensitivity of the security issued. Thus, in contrast to the prediction of the pecking order theory (see, e.g. Myers and Majluf, J. Financial Econom. 13 (1984) 187-221) a security wi...
-
作者：Fenn, GW; Liang, N
作者单位：Federal Reserve System - USA
摘要：We examine how corporate payout policy is affected by managerial stock incentives using data on more than 1,100 nonfinancial firms during 1993-97. We find that management stock ownership is associated with higher payouts by firms with potentially the greatest agency problems - those with low management stock ownership and few investment opportunities or high free cash flow. We also find that management stock options are related to the composition of payouts. We find a strong negative relations...
-
作者：Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H
作者单位：University of Pennsylvania; Johns Hopkins University; Duke University; Northwestern University
摘要：We examine realized daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones industrial Average. Pie find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian, as are the distributions of the returns scaled by realized standard deviations. Realized volatilities and co...
-
作者：Fama, EF; French, KR
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago
摘要：The proportion of fir ms paying cash dividends falls from 66.5% in 1978 to 20.8% in 1999, due in part to the changing characteristics of publicly traded firms. Fed by new listings, the population of publicly traded firms tilts increasingly toward small firms with low profitability and strong growth opportunities - characteristics typical of firms that have never paid dividends. More interesting, we also show that regardless of their characteristics, firms have become less likely to pay dividen...
-
作者：Chordia, T; Subrahmanyam, A; Anshuman, VR
作者单位：University of California System; University of California Los Angeles; Emory University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：Given the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we analyze the relation between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity. We document a result contrary to our initial hypothesis, namely, a n...
-
作者：David, A
作者单位：Federal Reserve System - USA
摘要：Putable security holders have a de facto first claim on the firm's liquid assets and can threaten to force solvent issuers to bear financial distress costs. Their threatening power implies that the puts have a strategic value larger than their intrinsic value. Strategic value depends on the issuer's size, potential distress costs, and the distribution of put ownership relative to the firm's liquidity position. The analysis of Kmart's put-induced crisis in 1995, and a calibration to observed se...
