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作者：Allen, F; Karjalainen, R
作者单位：University of Pennsylvania
摘要：We use a genetic algorithm to learn technical trading rules for the S&P 500 index using daily prices from 1928 to 1995. After transaction costs, the rules do not earn consistent excess returns over a simple buy-and-hold strategy in the out-of-sample test periods. The rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true. These latter results can largely be explained by low-order serial correlation in stock i...
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作者：Hodrick, LS
作者单位：Columbia University
摘要：This paper considers whether stock price elasticity affects corporate financial decisions. Basic economic principles and the existing theoretical literature predict that firms choosing the Dutch auction instead of the fixed price tender offer should be those firms expecting to face greater stock price elasticity. Econometric analysis suggests that firms choosing the Dutch auction instead of the fixed price tender offer between 1984 and 1989 are indeed those firms expecting to face greater stoc...
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作者：Bhattacharyya, S; Singh, R
作者单位：University of Michigan System; University of Michigan; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper, we examine the value of the right to choose the method of sale of corporate assets. We show that this right is valuable, and that its value comes from recognizing conflicting incentives of claimants at the time of sale. As with risky projects, senior and junior claimants are shown to have distinct preferences on a set of common auction procedures. They also differ on the issue of allocation of resources towards attracting bidders for the auction. As a consequence, the optimal al...
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作者：Minton, BA; Schrand, C
作者单位：University System of Ohio; Ohio State University; University of Pennsylvania
摘要：We show that higher cash flow volatility is associated with lower average levels of investment in capital expenditures, R&D, and advertising. This association suggests that firms do not use external capital markets to fully cover cash flow shortfalls but rather permanently forgo investment. Cash flow volatility also is associated with higher costs of accessing external capital, Moreover, these higher costs, as measured by some proxies, imply a greater sensitivity of investment to cash flow vol...
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作者：Stambaugh, RF
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting. Bayesian posterior distributions for the regression parameters are obtained under specifications that differ with respect to (i) prior beliefs about the autocorrelation of the regressor and (ii) whether the...
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作者：Kandel, E; Marx, LM
作者单位：University of Rochester; Hebrew University of Jerusalem; Hebrew University of Jerusalem
摘要：We model the behavior of Nasdaq momentum traders, also known as SOES bandits. We show, all things being equal, that the profitability of SOES bandits decreases in the bid-ask spread, but increases in the effective tick size. The patterns we observe in the data provide support for the model. We then discuss the plausibility of odd-eighth tick avoidance by market makers as a defense against SOES bandits, (C) 1999 Elsevier Science S,A, All rights reserved.
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作者：Bruner, RF
作者单位：University of Virginia
摘要：Volvo's attempt to merge with Renault in 1993 temporarily destroyed SEK 8.6 billion (US$ 1.1 billion) in Volvo shareholder wealth. This study traces the destruction to hubris, managerialism, and the escalation of commitment - elements suggested in previous research. In addition, the case suggests path dependence as a source of wealth destruction in mergers. An elaborate structure of cross-shareholdings,joint committees, and a poison pill made it difficult for the strategic allies (Volvo and Re...
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作者：Spiess, DK; Affleck-Graves, J
作者单位：University of Notre Dame
摘要：We document substantial long-run post-issue underperformance by firms making straight and convertible debt offerings from 1975 to 1989. This long-run underperformance is more severe for smaller, younger, and NASDAQ-listed firms, and for firms issuing speculative grade debt. We also find strong evidence that the underperformance of issuers of both straight and convertible debt is limited to those issues that occur in periods with a high volume of issues. In contrast to earlier event studies tha...
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作者：Pulvino, TC
作者单位：Northwestern University
摘要：This paper uses commercial aircraft transactions to determine whether prices obtained from asset sales are greater under Chapter 11 reorganization than under Chapter 7 liquidation. Results indicate that prices obtained under both bankruptcy regimes are substantially lower than prices obtained by non-distressed airlines. Furthermore, there is no evidence that prices obtained by firms reorganizing under Chapter 11 are greater than those obtained by firms liquidating under Chapter 7. An analysis ...
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作者：Desai, H; Jain, PC
作者单位：Southern Methodist University; Tulane University
摘要：We examine whether an increase in focus is an explanation for the stock market gains associated with spinoffs. For a sample of 155 spinoffs between the years 1975 and 1991, we find that the announcement period as well the long-run abnormal returns for the focus-increasing spinoffs are significantly larger than the corresponding abnormal returns for the non-focus-increasing spinoffs. The results for the change in operating performance are consistent with those for the stock market performance. ...
