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作者：Brenner, M; Sundaram, RK; Yermack, D
作者单位：New York University
摘要：We examine the practice of resetting the terms of previously-issued executive stock options. We identify properties of reset options, develop a model for valuing resettable options, and characterize the firms that have reset options. We find the vast majority of options are reset at-the-money, resulting, on average, in the strike price dropping 40%, Our valuation model suggests that resetting has only a small impact on the ex-ante value of an option award, but the ex-post gain can be substanti...
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作者：Chakrabarti, R
作者单位：University of Alberta
摘要：In this paper, I develop a theory of bid-ask quotes provided by foreign exchange dealers in the inter-bank market based on their beliefs and their inventory positions. I then build an agent-based model of the inter-dealer market where dealers learn in a Bayesian manner from quotes from other dealers. Using simulations, I find that the resulting intra-day spreads and between-quote returns largely conform to the empirically observed intra-day U-shaped pattern - a feature that has not been satisf...
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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：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：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 ...
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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：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：Grinblatt, M; Keloharju, M
作者单位：University of California System; University of California Los Angeles; Aalto University
摘要：Using data from Finland, this study analyzes the extent to which past returns determine the propensity to buy and sell. It also analyzes whether these differences in past-return-based behavior and differences in investor sophistication drive the performance of various investor types. We find that foreign investors tend to be momentum investors, buying past winning stocks and selling past losers. Domestic investors, particularly households, tend to be contrarians. The distinctions in behavior a...
