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作者：Bertsimas, D; Kogan, L; Lo, AW
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：Continuous-time stochastic processes are approximations to physically realizable phenomena. We quantify one aspect of the approximation errors by characterizing the asymptotic distribution of the replication errors that arise from delta-hedging derivative securities in discrete time, and introducing the notion of temporal granularity which measures the extent to which discrete-time implementations of continuous-time models can track the payoff of a derivative security. We show that granularity...
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作者：Song, MH; Walkling, RA
作者单位：University System of Ohio; Ohio State University; California State University System; San Diego State University
摘要：We develop and test the Acquisition Pvobability Hypothesis, which asserts that rivals of initial acquisition targets earn abnormal returns because of the increased probability that they will be targets themselves. On average, rival firms earn positive abnormal returns regardless of the form and outcome of acquisition. These returns increase significantly with the magnitude of surprise about the initial acquisition, Moreover, the cross-sectional variation of rival abnormal returns in the announ...
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作者：Denis, DJ; Kruse, TA
作者单位：Purdue University System; Purdue University; Loyola University Chicago
摘要：We examine the incidence of disciplinary events that reduce the control of current managers, and corporate restructuring among firms experiencing a large decline in operating performance during an active takeover period (1985-1988) and a less active period (1989-1992). We document a significant decline in the disciplinary events from the active to the less active period that is driven by a significant decline in disciplinary takeovers, those takeovers that result in a top executive change. Fol...
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作者：Gillan, SL; Kensinger, JW; Martin, JD
作者单位：Baylor University; U.S. Securities & Exchange Commission (SEC); University of North Texas System; University of North Texas Denton
摘要：We provide clinical evidence of corporate restructuring at Sears, Roebuck & Co., beginning with the firm's 1981 diversification into financial services by acquiring Cold dwell, Banker & Co. and Dean Witter, Reynolds Inc. The initial purchases resulted in a wealth gain to shareholders of approximately $400 million. Anticipated synergies did not materialize, however, and Sears' retail performance deteriorated. Coincident with pressure from institutional investor activists in 1992, Sears announce...
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作者：DeAngelo, H; DeAngelo, L; Skinner, DJ
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：This paper documents that (1) special dividends were once commonly paid by NYSE firms, but are now rarely paid; (2) firms typically paid specials almost as predictably as they paid regular dividends; (3) despite the dramatic overall decline in specials, the incidence of very large specials increased in recent years; and (4) special dividends were not displaced by stock repurchases. Most plausibly, small specials disappeared because their predictability made them close substitutes for regular d...
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作者：Liew, J; Vassalou, M
作者单位：Columbia University; Center for Economic & Policy Research (CEPR)
摘要：We test whether the profitability of HML, SMB, and WML can be linked to future Gross Domestic Product (GDP) growth. Using data from ten countries, we find that HML and SMB contain significant information about future GDP growth. This information is to a large degree independent of that in the market factor. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some countries. Our results support a risk-based explanation ...
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作者：Bloomfield, R; O'Hara, M
作者单位：Cornell University
摘要：This paper investigates whether transparent markets can survive when faced with direct competition from less transparent markets. We first construct a game-theoretic model in which in equilibrium the low-transparency dealers capture early order flow, and use the resulting informational advantage to quote narrower spreads and earn more profits than their more transparent competitors. We then conduct a laboratory experiment that tests and supports all of these predictions. A second experiment sh...
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作者：Gupta, A; Subrahmanyam, MG
作者单位：New York University; University System of Ohio; Case Western Reserve University
摘要：This paper examines the convexity bias, caused by the non-linearity of payoffs, in the pricing of interest rate swaps off the Eurocurrency futures curve. The evidence from four major currencies - $, pound, DM and Yen - during 1987-1996 suggests that swaps were initially being priced off the futures curve (ignoring the convexity adjustment); subsequently, the market swap rates drifted below the rates implied by futures prices. After rejecting alternative explanations, we use alternative term st...
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作者：La Porta, R; Lopez-De-Silanes, F; Shleifer, A; Vishny, R
作者单位：Harvard University; Harvard University; University of Chicago
摘要：Recent research has documented large differences among countries in ownership concentration in publicly traded firms, in the breadth and depth of capital markets, in dividend policies, and in the access of firms to external finance. A common element to the explanations of these differences is how well investors, both shareholders and creditors, are protected by law from expropriation by the managers and controlling shareholders of firms. We describe the differences in laws and the effectivenes...
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作者：Nanda, V; Narayanan, MP; Warther, VA
作者单位：University of Michigan System; University of Michigan
摘要：We develop a model of the mutual fund industry in which the management fees and loads charged by actively managed open-end funds and average fund returns are determined endogenously in a competitive market setting. It is shown that heterogeneity in managerial skills at investing and minimizing costs, and the existence of investor clienteles with differing liquidity and marketing needs, gives rise to a variety of open-end fund structures that differ in the average return delivered to investors....
