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作者：Pástor, L; Stambaugh, RF
作者单位：University of Pennsylvania; University of Chicago; National Bureau of Economic Research
摘要：We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position siz...
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作者：Welch, I
作者单位：Yale University
摘要：The paper shows that the buy or sell recommendations of security analysts have a significant positive influence on the recommendations of the next two analysts. This influence can be traced to short-lived information in the most recent revisions. In contrast, the influence of the prevailing consensus is not stronger if the consensus accurately forecasts subsequent stock price movements. This indicates consensus herding consistent with models in which analysts herd based on little information. ...
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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：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：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：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：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：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：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....
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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...
