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作者：Denis, DJ; Sarin, A
作者单位：Purdue University System; Purdue University; Santa Clara University
摘要：We examine the equity ownership structure and board composition of a sample of 583 firms over the ten-year period 1983-1992. Our evidence suggests that a substantial fraction of firms exhibit large changes in ownership and board structure in any given year. These changes are correlated with one another and are not reversed in subsequent years. Ownership and board changes are strongly related to top executive turnover, prior stock price performance, and corporate control threats, but only weakl...
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作者：Datta, S; Iskandar-Datta, M; Patel, A
作者单位：Bentley University; Suffolk University; Wake Forest University
摘要：lWe examine whether the existence of a bank/firm relationship lowers the cost of public debt financing, Using a sample of first public straight debt offers, we test the cross-monitoring effect of bank debt and Diamond's (1991, Journal of Political Economy, 99, 689-721) reputation-building argument. We find that the existence of bank debt lowers the at-issue yield spreads for first public straight bond offers by about 68 basis points, on average. Consistent with Diamond's reputation-building ar...
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作者：Carpenter, JN; Lynch, AW
作者单位：New York University
摘要：We simulate standard tests of performance persistence using alternative return-generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. Look-ahead biased methodologies and missing final returns typical of U.S. mutual fund datasets can also materially affect persistence measures. Our results reinforce previous...
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作者：Aggarwal, R; Angel, JJ
作者单位：Georgetown University; U.S. Securities & Exchange Commission (SEC)
摘要：In 1992, the Amex launched the Emerging Company Marketplace (ECM) to trade the stocks of small but growing companies. Bid-ask spreads decreased dramatically for listing firms, and news coverage increased. Executives of listing firms were quite satisfied. Yet few firms chose to list on the ECM, and it closed in 1995. What went wrong? Most Amex stakeholders had little to gain from the success of the ECM, and a series of scandals damaged the reputation of the exchange. Similar small-firm markets ...
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作者：Core, JE; Holthausen, RW; Larcker, DF
作者单位：University of Pennsylvania
摘要：We find that measures of board and ownership structure explain a significant amount of cross-sectional variation in CEO compensation, after controlling for standard economic determinants of pay. Moreover, the signs of the coefficients on the board and ownership structure variables suggest that CEOs earn greater compensation when governance structures are less effective, We also find that the predicted component of compensation arising from these characteristics of board and ownership structure...
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作者：Keim, DB
作者单位：University of Pennsylvania
摘要：In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The '9-10 Fund' is based on the CRSP 9-10 Index, an index of small-cap stocks constituting the ninth and tenth deciles of NYSE market capitalization, although the 9-10 Fund incorporates investment rules and a trading strategy that are aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks, As a result, the 9-10 Fund provided a 2.2% annual premiu...
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作者：Froot, KA; Dabora, EM
作者单位：Harvard University; National Bureau of Economic Research; Morgan Stanley
摘要：We examine pairs of large, 'Siamese twin' companies whose stocks are traded around the world but have different trading and ownership habitats. Twins pool their cash flows, so, with integrated markets, twin stocks should move together. However, the difference between the prices of twin stocks appears to be correlated with the markets on which they are traded most, i.e., a twin's relative price rises when the market on which it is traded relatively intensively rises. We examine several explanat...
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作者：Guay, WR
作者单位：University of Pennsylvania
摘要：To control risk-related incentive problems, equity holders are expected to manage both the convexity and slope of the relation between firm performance and managers' wealth. I find stock options, but not common stockholdings, significantly increase the sensitivity of CEOs' wealth to equity risk. Cross-sectionally, this sensitivity is positively related to firms' investment opportunities. This result is consistent with managers receiving incentives to invest in risky projects when the potential...
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作者：Figlewski, S; Gao, B
作者单位：New York University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Most derivative securities must be priced by numerical techniques. These models contain distribution error and nonlinearity error. The Adaptive Mesh Model (AMM) sharply reduces nonlinearity error by grafting one or more small sections of fine high-resolution lattice onto a tree with coarser time and price steps. Three different AMM structures are presented, one for pricing ordinary options, one for barrier options, and one for computing delta and gamma efficiently. The AMM approach can be adap...
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作者：Kim, M; Ritter, JR
作者单位：State University System of Florida; University of Florida; Kyung Hee University
摘要：The use of accounting information in conjunction with comparable firm multiples is widely recommended for valuing initial public offerings (IPOs). We find that the price-earnings (P/E), market-to-book, and price-to-sales multiples of comparable firms have only modest predictive ability without further adjustments. This is largely due to the wide variation of these ratios for young firms within an industry. PIE multiples using forecasted earnings result in much more accurate valuations than mul...
