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作者：Nohel, T; Tarhan, V
作者单位：Loyola University Chicago
摘要：In this paper we examine tender offer share repurchases to differentiate between the information signaling and free cash flow hypotheses. Previous work in this area has focused on announcement period returns. While we also examine announcement returns, our primary emphasis is on operating performance changes surrounding repurchases. We argue that the information contained in changes in operating performance, and its determinants, enables us to differentiate between the two hypotheses. Our prim...
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作者：Carpenter, JN
作者单位：New York University
摘要：In theory, hedging restrictions faced by managers make executive stock options more difficult to value than ordinary options, because they imply that exercise policies of managers depend on their preferences and endowments. Using data on option exercises from 40 firms, this paper shows that a simple extension of the ordinary American option model which introduces random, exogenous exercise and forfeiture predicts actual exercise times and payoffs just as well as an elaborate utility-maximizing...
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作者：Christensen, BJ; Prabhala, NR
作者单位：Aarhus University; Yale University
摘要：Previous research finds the volatility implied by S&P 100 index option prices to be a biased and inefficient forecast of future volatility and to contain little or no incremental information beyond that in past realized volatility. In contrast, we find that implied volatility outperforms past volatility in forecasting future volatility and even subsumes the information content of past volatility in some of our specifications. Our results differ from previous studies because we use longer time ...
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作者：Rau, PR; Vermaelen, T
作者单位：Purdue University System; Purdue University; INSEAD Business School; Maastricht University
摘要：This paper uses a methodology robust to recent criticisms of standard long-horizon event study tests to show that bidders in mergers underperform while bidders in tender offers overperform in the three years after the acquisition. However, the long-term underperformance of acquiring firms in mergers is predominantly caused by the poor post-acquisition performance of low book-to-market glamour firms. We interpret this finding as evidence that both the market and the management overextrapolate t...
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作者：Chang, CW; Chang, JSK; Lim, KG
作者单位：National University of Singapore; California State University System; California State University Fullerton; California State University System; California State University Los Angeles
摘要：With a stochastic time change from calendar-time to information-time, we derive a parsimonious option pricing formula with stochastic volatility as a risk-neutral Poisson sum of Merton's (1973) prices over the option's information-time maturity domain. The formula contains two unobservable parameters, information arrival intensity and information-time asset volatility, with stochastic volatility induced by random information arrival. When the information arrival rate intensifies, the option pr...
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作者：Agrawal, A; Knoeber, CR
作者单位：North Carolina State University
摘要：A greater threat of takeover has two opposing effects on managerial compensation. The competition effect in the market for managers reduces compensation. The risk effect increases compensation by making managers' implicitly deferred compensation and firm-specific human capital less secure. Using a sample of about 450 large firms, we find that an increase in the threat of takeover from the first to the third quartile reduces a typical CEO's salary and bonus by $22,800-211,600 due to the competi...
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作者：Porter, DC; Weaver, DG
作者单位：University of Wisconsin System; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This article examines late trade reporting on the Nasdaq National Market System. A substantial number of trades are reported out-of-sequence on both absolute levels and relative to the combined centralized exchanges. We find minimal support for NASD permitted reasons for the late trade reporting. Evidence suggests that market makers could use late trade reporting to manage the release of information. This evidence is consistent with the hypothesis that the delayed reporting of trades is neithe...
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作者：Lie, E; McConnell, JJ
作者单位：William & Mary; Purdue University System; Purdue University
摘要：Studies by Vermaelen (1981) and others indicate that the positive excess stock returns around self-tender offer announcements are the result of a signal of future earnings improvements. Comment and Jarrell (1991), Lee, Mikkelson and Partch (1992) and Persons (1994) argue that the signal in fixed-price self-tender offers should be stronger than the signal in Dutch auction self-tender offers. This study tests whether the earnings improvement following fixed-price self-tender offers is greater th...
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作者：Pontiff, J; Schall, LD
作者单位：University of Washington; University of Washington Seattle
摘要：The bask-to-market ratio of the Dow Jones Industrial Average predicts market returns and small firm excess returns over the period 1926-1994. The DJIA book-to-market ratio contains information about future returns that is not captured by other variables such as interest yield spreads and dividend yields. The DJIA book-to-market ratio's predictive ability is specific to the pre-1960 sample. In contrast, the S&P book-to-market ratio provides some predictive ability in the post-1960 period, altho...
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作者：Madhavan, A; Sofianos, G
作者单位：University of Southern California
摘要：This paper examines empirically the magnitude and determinants of dealer trading by NYSE market makers (specialists) across stocks and over time. Across stocks, specialist dealer trading varies widely and is inversely related to trading volume and proxies for off-exchange competition. Over time in an individual stock, specialists participate more actively as sellers (buyers) when holding long (short) inventory positions. This results suggest that dealers control their inventory positions by se...
