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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：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：Loughran, T; Ritter, JR
作者单位：State University System of Florida; University of Florida; University of Notre Dame
摘要：Defenders of market efficiency argue that anomalies involving long-term abnormal returns are not robust to alternative methodologies. We argue that because various methodologies use different weighting schemes, the magnitude of abnormal returns should differ, and in a predictable manner. Three problems are identified that cause low power in value-weighted three-factor time series regressions when abnormal returns following managerial actions are being estimated. We illustrate the sensitivities...
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作者：Guay, W; Harford, J
作者单位：University of Oregon; University of Pennsylvania
摘要：We hypothesize that firms choose dividend increases to distribute relatively permanent cash-flow shocks and repurchases to distribute more transient shocks. As predicted, we find that post-shock cash flows of dividend increasing firms exhibit less reversion to pre-shock levels compared with repurchasing firms. We also examine whether the stock market uses the announcement of the payout method to update its beliefs about the permanence of cash-flow shocks. Controlling for payout size and the ma...
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作者：Longstaff, FA
作者单位：University of California System; University of California Los Angeles
摘要：Empirical researchers have frequently rejected the expectations hypothesis. The expectations hypothesis, however, has seldom, if ever, been tested at the extreme short end of the term structure where maturities are measured in days or weeks. Using overnight, weekly, and monthly ripe rates, I find that term rates are almost unbiased estimates of the average overnight rate. This evidence provides new support for the expectations hypothesis. (C) 2000 Elsevier Science S.A. All rights reserved. JEL...
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作者：Jagannathan, M; Stephens, CP; Weisbach, MS
作者单位：University of Missouri System; University of Missouri Columbia; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper measures the growth in open market stock repurchases and the manner in which stock repurchases and dividends are used by U.S. corporations. Stock repurchases and dividends are used at different times from one another, by different kinds of firms. Stock repurchases are very pro-cyclical, while dividends increase steadily over time. Dividends are paid by firms with higher permanent operating cash flows, while repurchases are used by firms with higher temporary, non-operating cash hows...
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作者：Bittlingmayer, G; Hazlett, TW
作者单位：University of California System; University of California Davis
摘要：Antitrust enforcement that efficiently constrains Microsoft's behavior benefits firms supplying complements to and/or substitutes for Microsoft's operating system and applications software. However, from 1991 through 1997, 29 reports of federal antitrust enforcement action against Microsoft were accompanied by declines in the value of an index of 159 computer industry firms (excluding Microsoft). The mean loss to those firms exceeded $1 billion per event, Eight retreats or setbacks in enforcem...
