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作者：Schwert, GW
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作者：Gillan, SL; Starks, LT
作者单位：University of Texas System; University of Texas Austin; U.S. Securities & Exchange Commission (SEC)
摘要：We study shareholder proposals across a period of substantial activity and find systematic differences both across sponsor identity and across time. To measure the success of shareholder activism, we examine voting outcomes and short-term market reactions conditioned on proposal type and sponsor identity. The voting analysis documents that sponsor identity, issue type, prior performance and time period are important influences on the voting outcome. Proposals sponsored by institutions or coord...
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作者：Fenn, GW
摘要：I document the shift of high-yield issuance from the public to the Rule 144A private placement market and exploit data on credit spreads to investigate whether investors regard disclosure in the two markets as comparable. The key implications of the inadequate-disclosure hypothesis are that investors require premiums on 144A securities and that such premiums are largest for first-time bond issuers and privately owned firms about whom less information is publicly available. I find that 144A pre...
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作者：Chernov, M; Ghysels, E
作者单位：Columbia University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill
摘要：The purpose of this paper is to bridge two strands of the literature, one pertaining to the objective or physical measure used to model an underlying asset and the other pertaining to the risk-neutral measure used to price derivatives. We propose a generic procedure using simultaneously the fundamental price, S-t, and a set of option contracts [(sigma(it)(I))(i=1,m)] where m greater than or equal to 1 and sigma(it)(I) is the Black-Scholes implied volatility. We use Heston's (1993. Review of Fi...
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作者：Stanton, R
作者单位：University of California System; University of California Berkeley
摘要：The regulations governing asset distributions from many retirement plans give participants the option to time retirement or rollovers from the plan strategically. They possess a long-lived put option, whose exercise price resets periodically to the current value of the assets in the plan. I derive a recursive closed-form valuation formula for the option and develop a numerical algorithm for implementing the result. I find that, for reasonable assumptions about volatility and life expectancy, t...
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作者：Griffiths, MD; Smith, BF; Turnbull, DAS; White, RW
作者单位：Wilfrid Laurier University; Pepperdine University; Western University (University of Western Ontario); University Western Ontario Hospital
摘要：This paper examines the costs and determinants of order aggressiveness. Aggressive orders have larger price impacts but smaller opportunity costs than passive orders. Price impacts are amplified by large orders, small firms, and volatile stock prices. To minimize the implementation shortfall, the optimal strategy is to enter buy (sell) orders at the bid task). Aggressive buy (sell) orders tend to follow other aggressive buy (sell) orders and occur when bid-ask spreads are narrow and depth on t...
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作者：Dunbar, CG
作者单位：Western University (University of Western Ontario)
摘要：This paper examines the effect of several factors on the market share of investment banks that act as book managers in initial public offerings (IPOs) between 1984 and 1995. For established banks, IPO first-day returns, one-year abnormal performance, abnormal compensation, industry specialization, analyst reputation, and association with withdrawn offers have a significant impact on changes in market share. These factors have a more significant effect on market share changes in low-volume IPO ...
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作者：D'Souza, J; Jacob, J
作者单位：Cornell University; University of Colorado System; University of Colorado Denver
摘要：We analyze market reaction to targeted stock issuances and investigate possible motives for their use. We find a statistically significant abnormal return of 3.61% within a three-day window around the announcement of proposed targeted stock issuances, possibly attributable to greater information on targeted stock segments as well as monitoring and motivational advantages. We find lower tax-loss carry forwards among firms that issue targeted stock compared to those that spin off segments, sugge...
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作者：Brav, A; Geczy, C; Gompers, PA
作者单位：Harvard University; Duke University; University of Pennsylvania
摘要：We examine whether a distinct equity issuer underperformance anomaly exists. In a sample of initial public offering (IPO) and seasoned equity offering (SEO) firms from 1975 to 1992, we find that underperformance is concentrated primarily in small issuing firms with low book-to-market ratios. SEO firms, that underperform these standard benchmarks have time series returns that covary with factor returns constructed from nonissuing firms. We conclude that the stock returns following equity issues...
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作者：Rau, PR
作者单位：Purdue University System; Purdue University
摘要：This paper investigates the determinants of the market share of investment banks acting as advisors in mergers and tender offers. In both mergers and tender offers, bank market share is positively related to the contingent fee payments charged by the bank and to the percentage of deals completed in the past by the bank. It is unrelated to the performance of the acquirers advised by the bank in the past. In tender offers, the post-acquisition performance of the acquirer is negatively related to...
