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作者：Hingorani, A; Lehn, K; Makhija, AK
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：In the first round of the Czech privatization scheme, the authorities set a uniform share price for all companies, creating a natural experiment for testing several hypotheses concerning the determinants of share demand. We find a positive relation between first-round share demand and later stock market prices, supporting use of share demand to measure relative share values. We find that share demand is related to proxies for agency costs and the expected costs of financial distress. Interesti...
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作者：Minton, BA
摘要：This paper examines empirical implications of recently developed models for pricing contracts that swap fixed- for variable-rate interest payment streams. Valuation models based on replicating portfolios of consecutive three-month Eurodollar futures contracts that span the life of the swap perform relatively well, as do pricing models based on replicating portfolios of noncallable corporate par bonds. Neither set of models, however, is completely empirically consistent with the implications of...
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作者：Kothari, SP; Shanken, J
作者单位：University of Rochester
摘要：We find reliable evidence that both book-to-market (B/M) and dividend yield track time-series variation in expected real stock returns over the period 1926-91 (in which B/M is stronger) and the subperiod 1941-91 (in which dividend yield is stronger). A Bayesian bootstrap procedure implies that an investor with prior belief 0.5 that expected returns on the equal-weighted index are never negative comes away from the full-period B/M evidence with posterior probability 0.08 for the hypothesis (0.1...
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作者：Docking, DS; Hirschey, M; Jones, E
作者单位：University of Kansas; Northern Illinois University; University Central Missouri
摘要：Consistent with an information-signaling perspective, negative and statistically significant announcement effects are associated with bank loan-loss reserve (LLR) announcements over the 1985-90 period. Announcement effects differ between money-center and regional banks and also according to the nature of contemporaneous earnings and dividend disclosures, Moreover, information transfer or 'contagion' effects are present in that LLR announcements by regional banks decrease the value of both mone...
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作者：Eckel, C; Eckel, D; Singal, V
作者单位：Virginia Polytechnic Institute & State University
摘要：We analyze the effect of privatization on the performance of British Airways by examining the privatization's impact on airfares and competitors' stock prices. We find that stock prices of U.S. competitors fell a significant 7% upon British Airways' privatization, implying expectation of a more competitive British Airways. Closer rivals of British Airways experienced a greater drop in stock price than more distant rivals. Further, airfares in markets served by British Airways fell significantl...
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作者：Brennan, MJ; Franks, J
作者单位：University of London; London Business School; University of California System; University of California Los Angeles
摘要：In this paper we examine how separation of ownership and control evolves as a result of an Initial Public Offering (IPO) and how the underpricing of the issue can be used by insiders to retain control. Using data from a sample of 69 IPOs in the UK, we show that underpricing is used to ensure oversubscription and rationing in the share allocation process so as to allow owners to discriminate between applicants for shares and to reduce the block size of new shareholdings. We find that of the pre...
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作者：Demsetz, H
摘要：Different methods are used by the NYSE/Amex and the Nasdaq to accommodate limit orders received from investors. This accounts for at least part of the excess of Nasdaq spreads over NYSE spreads, adjusted for trading volume, and is a factor in determining this excess that is independent of collusion on the Nasdaq. The spread-comparison evidence given by others to support their belief that there is collusion among market makers on the Nasdaq therefore overstates the probability of collusion and ...
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作者：Parrino, R
摘要：This study examines chief executive officer (CEO) turnover. It reports new evidence on factors that affect the likelihoods of voluntary and forced turnover, and for both of these turnover types, whether the new CEO is from inside the firm, from another firm in the industry, or from outside the industry. The evidence is consistent with arguments that poor CEOs are easier to identify and less costly to replace in industries that consist of similar firms than in heterogeneous industries. The like...
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作者：Brown, SJ; Goetzmann, WN
作者单位：Yale University; New York University
摘要：Mutual funds are typically grouped by their investment objectives or the 'style' of their managers. We propose a new empirical to the determination of manager 'style.' This approach is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles, Our classifications are superior to common industry classifications in predicting cross-sectional future performance, as well as past performance, and they also outperform classificat...
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作者：Grenadier, SR; Weiss, AM
作者单位：University of Southern California
摘要：This paper develops a model of the optimal investment strategy for a firm confronted with a sequence of technological innovations. We incorporate many of the most important characteristics of real-world technology markets. For example, we permit innovations to be stochastic in their arrival times and their profitability. We also incorporate learning so that firms adopting current innovations become better able to benefit from future innovations. The model yields four distinct investment strate...
