-
作者：Parrino, R
摘要：This paper examines changes in bondholder and shareholder wealth resulting from the 1993 Marriott spinoff. It documents a wealth transfer from bondholders to shareholders and a decline in the total value of the firm following the spinoff announcement. Subsequent modifications to the spinoff plan reduced the bondholders' loss, but the value of Marriott's notes and debentures remained $194.6 million below their pre-announcement level on the distribution date. Industry-adjusted shareholder gains ...
-
作者：Stambaugh, RF
作者单位：National Bureau of Economic Research
摘要：This study explores multivariate methods for investment analysis based on return histories that differ in length across assets. The longer histories provide greater information about moments of return, not only for the longer-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or 'estimation risk', portfolio opportunities are characterized by a Bayesian predictive distribution. Examples involving emerging markets demonstrate the value...
-
作者：LaPlante, M; Muscarella, CJ
作者单位：Santa Clara University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：The trading structure differences between the NYSE and the Nasdaq market could produce different levels of trading liquidity. Several studies have attempted to measure these differences by comparing bid-ask spreads. This paper uses an alternative approach to compare liquidity. We analyze three issues: (1) the frequencies of the sizes and types of block trades found in the two markets, (2) the immediate price effects of the block transactions, and (3) the temporary and permanent price effects o...
-
作者：Esty, BC
摘要：I analyze the investment and funding strategies of two thrifts, one stock owned and one mutually owned, from 1983 to 1988, Despite their similarities prior to 1983, the stock thrift implemented a riskier financial strategy and did so only after converting to stock ownership, Although this strategy ultimately led to its failure, the stock thrift still made significant payouts to its controlling shareholders, This case study illustrates in stark terms the relation between organizational form and...
-
作者：Dechow, PM; Sloan, RG
作者单位：University of Pennsylvania
摘要：This paper examines the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer, and Vishny (1994), we find no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth. Building on Bauman and Dowen (1988) and La Porta (1995), however, we find that stock prices appear to naively reflect analysts' biased forecasts of future earnings growth. Further, we fi...
-
作者：Amihud, Y; Mendelson, H; Lauterbach, B
作者单位：Stanford University; New York University; Bar Ilan University
摘要：This paper examines the value effects of improvements in the trading mechanism. Selected stocks on the Tel Aviv Stock Exchange were transferred gradually from a daily call auction to a mechanism where the call auction was followed by iterated continuous trading sessions. This event was associated with a positive and permanent price appreciation. The cumulative average market-adjusted return over a period that started five days prior to the announcement and ended 30 days after the stocks starte...
-
作者：Lee, SJ; Mayers, D; Smith, CW
作者单位：University of Rochester; Gardner Webb University; University of California System; University of California Riverside
摘要：This paper examines changes in property-liability insurers' risk-taking around enactments of stare guaranty fund laws. Our evidence suggests that the risk of insurers' asset portfolios increases following enactments. But this increase in risk is significant only for stock insurers. Our evidence of increased risk-taking following guaranty-fund adoptions suggests that the way these funds are organized creates counterproductive investment incentives, especially for stock companies, Because these ...
-
作者：Barber, BM; Lyon, JD
摘要：We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (empirical rejection rates exceed theoretical rejection rates) and identify three reasons for this misspecification. We correct for the three identified sources of misspecification by matching sample f...
-
作者：Hotchkiss, ES; Mooradian, RM
作者单位：Northeastern University
摘要：This paper investigates the role of vulture investors in the governance and reorganization of a sample of 288 firms that default on their public debt. The improvement in post-restructuring operating performance relative to the pre-default level is greater when the vulture investor becomes CEO or chairman or gains control of the target firm. We also find positive abnormal returns for the target's common stock and bonds in the two days surrounding the announcement of a vulture purchase of public...
-
作者：Cotter, JF; Shivdasani, A; Zenner, M
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of North Carolina; University of North Carolina Chapel Hill
摘要：We examine the role of the target firm's independent outside directors during takeover attempts by tender offer. We find that when the target's board is independent, the initial tender offer premium, the bid premium revision, and :he target shareholder gains over the entire tender offer period are higher, and that the presence of a poison pill and takeover resistance lead to greater premiums and shareholder gains. We conclude that independent outside directors enhance target shareholder gains ...
