-
作者：Slovin, MB; Sushka, ME; Polonchek, JA
作者单位：Arizona State University; Arizona State University-Tempe; Louisiana State University System; Louisiana State University; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：We examine whether an adverse event at one bank generates externalities for the banking industry, and assess whether the population of commercial banks is homogeneous. We find dividend reductions are negative events for both announcing money center and regional banks, but only reductions at money center banks have negative, contagion-type externalities. Dividend reductions at regional banks have positive competitive effects on geographic rivals. Regulatory enforcement actions induce negative v...
-
作者：Jones, SL; Megginson, WL; Nash, RC; Netter, JM
作者单位：University System of Georgia; University of Georgia; Wake Forest University; University of Oklahoma System; University of Oklahoma - Norman; Indiana University System; Indiana University Indianapolis; IU Kelley School of Business
摘要：This study examines how political and economic factors affect the offer price, share allocation, and other terms governments choose when they privatize state-owned enterprises via a public share offering. Using a 59 country sample of 630 share issue privatizations (SIPs) with total proceeds of over $446 billion during the period 1977-1997, we find that governments consistently underprice SIP offers, tilt their share allocation patterns to favour domestic investors, impose control restrictions ...
-
作者：Anderson, CW; Makhija, AK
作者单位：University of Missouri System; University of Missouri Columbia; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University System of Ohio; Ohio State University
摘要：Many Japanese firms reduced dependence on banks following financial deregulation in the 1980s, The financial architecture of Japanese firms after liberalization provides an opportunity to investigate the choice of financing with public bonds versus monitored bank loans. Examination of accounting and stock price data for a sample of Japanese firms in the late 1980s suggests that debt structure is related to variables that serve as proxies for agency costs of debt. In particular, we find that th...
-
作者：Jaffe, JF; Mahoney, JM
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper analyzes the recommendations of common stocks made by the investment newsletters followed by the Hulbert Financial Digest. We conclude that, taken as a whole, the securities that newsletters recommend do not outperform appropriate benchmarks. Our data provide modest evidence that the future performance of a newsletter is related to its past performance, when performance is measure by raw returns.:Evidence of persistence vanishes, however, when performance is measured by abnormal ret...
-
作者：Schwert, GW
-
作者：Campbell, CJ; Wasley, CE
作者单位：Iowa State University; University of Iowa
摘要：Under Ralston Purina Company's 1986 incentive contract 14 managers would receive $49.1 million in stock if within ten years the stock price closed above $100 for ten consecutive days. While the contract required a 57.8% increase in stock price, it did not motivate managers to create value because the rare of return required to reach $100 in ten years was substantially less than Ralston's cost of equity capital at the time of the contract's adoption. Barring any action by managers that would su...
-
作者：Gande, A; Puri, M; Saunders, A
作者单位：Stanford University; Vanderbilt University; New York University
摘要：This paper examines the competitive effects of commercial bank entry into the corporate debt underwriting market, particularly with respect to underwriter spreads, ex-ante yields, and market concentration. We find that underwriter spreads and ex-ante yields have declined significantly with bank entry, consistent with the market becoming more competitive. This effect is strongest among the lower-rated and smaller debt issues of which banks have underwritten a relatively greater share. The early...
-
作者：Green, RC; Rydqvist, K
作者单位：Carnegie Mellon University; BI Norwegian Business School
摘要：Swedish lottery bonds offer a unique opportunity to study ex-day effects in an environment where cash distributions are tax-advantaged relative to capital gains. Thus, in the lottery bond market, we observe a reversal of the preference for capital gains that researchers have cited as an explanation for the ex-day behavior of U.S. equities. Further, in this market there are barriers to short-term arbitrage when prices do reflect the tax preferences of individual investors. We find the bonds are...
-
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...
-
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...
