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作者：Morck, R; Yeung, B; Yu, W
作者单位：University of Alberta; New York University; Hong Kong Polytechnic University
摘要：Stock prices move together more in poor economies than in rich economies. This finding is not due to market size and is only partially explained by higher fundamentals correlation in low-income economies. However, measures of property rights do explain this difference. The systematic component of returns variation is large in emerging markets, and appears unrelated to fundamentals co-movement, consistent with noise trader risk. Among developed economy stock markets, higher firm-specific return...
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作者：Oldfield, GS
作者单位：William & Mary
摘要：This paper distinguishes between securitization, in which simple pass-through instruments are created, and structuring, in which mortgages derivative claims are created. The point is to explain how structuring a transaction brings value to a deal's underwriter. Briefly, an underwriter must defeat arbitrage between pass-throughs and derivatives. The potential for market segmentation and price discrimination by the underwriter is used to analyze the structuring process. In the course of the anal...
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作者：Johnson, SA; Tian, YS
作者单位：Louisiana State University System; Louisiana State University; York University - Canada; University System of Ohio; University of Cincinnati
摘要：We design and derive a pricing model for an executive stock option with a strike price indexed to a benchmark and investigate its valuation and incentive implications. In both up and down markets, the indexed option filters out common risks beyond the executive's control, thereby increasing the efficiency of incentive contracts, The indexed option has a different payoff structure and much lower initial value than a traditional option. Incentive effects of the indexed option also differ from th...
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作者：Claessens, S; Djankov, S; Lang, LHP
作者单位：The World Bank; Chinese University of Hong Kong
摘要：We examine the separation of ownership and control for 2,980 corporations in nine East Asian countries. In all countries, voting rights frequently exceed cash-flow rights via pyramid structures and cross-holdings. The separation of ownership and control is most pronounced among family-controlled firms and small firms. More than two-thirds of firms are controlled by a single shareholder. Managers of closely held firms tend to be relatives of the controlling shareholder's family. Older firms are...
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作者：Goldstein, MA; Kavajecz, KA
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths (quoted and on the limit order book) declined after the NYSE's change from eighths to sixteenths, depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better off; however, traders who su...
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作者：Bhattacharya, U; Daouk, H; Jorgenson, B; Kehr, CH
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Shares trading in the Bolsa Mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1997, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or bid-ask spreads in the event window. We provide evidence that suggests that unrestricted insider trading causes prices to fully incorporate the information before its public release. The paper thus points tow...
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作者：Chirinko, RS; Singha, AR
作者单位：Emory University; Leibniz Association; Ifo Institut
摘要：In a recent paper? Shyam-Sunder and Myers (1999) introduce a new test of the Pecking Order Model. This comment shows that their elegantly simple test generates misleading inferences when evaluating plausible patterns of external financing. Our results, coupled with the power problem with the Static Tradeoff Model documented by Shyam-Sunder and Myers, indicate that their empirical evidence can evaluate neither the Pecking Order nor Static Tradeoff Models. Alternative tests are needed that can i...
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作者：Gompers, P; Lerner, J
作者单位：Harvard University
摘要：We show that inflows of capital into venture funds increase the valuation of these funds' new investments. This effect is robust to (i) controlling for firm characteristics and public market valuations, (ii) examining first differences, and (iii) using inflows into leveraged buyout funds as an instrumental variable. Interaction terms suggest that the impact of venture capital inflows on prices is greatest in states with the most venture capital activity. Changes in valuations do not appear rel...
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作者：Thorburn, KS
作者单位：Dartmouth College
摘要：This paper provides some first, large-sample evidence on the Swedish auction bankruptcy system. Compared to U.S. Chapter 11 cases, the small-firm bankruptcy auctions examined here are substantially quicker, have lower costs, and avoid deviations from absolute priority. Three-quarters of the firms are auctioned as going concerns, which is similar to Chapter 11 survival rates. Moreover, based on market values, creditors in going-concern auctions recover a similar fraction of face value as credit...
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作者：Jordan, BD; Jorgensen, RD; Kuipers, DR
作者单位：Texas Tech University System; Texas Tech University; University of Kentucky; Creighton University
摘要：We investigate pricing relations and the potential for arbitrage in the U.S. Treasury STRIPS market, stressing the importance of reconciling quoted Treasury data with actual market pricing conventions. We document that stripping and reconstitution profits in the STRIPS market are fleeting and rarely economically significant; that matched-maturity principal and coupon STRIPS generally have different prices due, at least in part, to richness or cheapness in the underlying note or bond; and that ...
