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作者：Seguin, PJ; Smoller, MM
作者单位：Wayne State University; University of Michigan System; University of Michigan
摘要：We examine a sample of 5896 stocks listed on Nasdaq between 1974 and 1988 to see whether the price per share has significant statistical power in forecasting subsequent returns and attrition rates. Consistent with anecdotal evidence, we document a higher mortality rate for lower-priced stocks than for higher-priced issues. Surprisingly, mortality is not related to market capitalization. Our results also hold for subsamples partitioned by industry and issue year. On average, investors are not a...
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作者：Harris, JH; Schultz, PH
作者单位：University System of Ohio; Ohio State University; University of Notre Dame
摘要：Nasdaq's Small Order Execution System (SOES) allows orders to be submitted by computer, thereby assuring rapid execution at quoted prices. We examine trading in the 20 largest Nasdaq stocks around the time of a rule change that reduced the largest SOES trades from 1000 to 500 shares. We show that SOES trades contain information about short-term price movements and that SOES trading declined dramatically with the rule change. However, quoted and effective spreads were unaffected by the rule cha...
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作者：Kang, JK; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Korea University
摘要：This paper studies stock ownership in Japanese firms by non-Japanese investors from 1975 to 1991. Existing models predicting that foreign investors hold national market portfolios or portfolios tilted towards stocks with high expected returns are inconsistent with our evidence. We document that foreign investors hold disproportionately more shares of firms in manufacturing industries, large firms, and firms with good accounting performance, low unsystematic risk, and low leverage. Controlling ...
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作者：Kang, JK; Shivdasani, A
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Korea University
摘要：This paper documents the restructuring of 92 Japanese corporations that experienced a substantial decline in operating performance between 1986 and 1990. These firms implement a number of downsizing measures such as asset sales, plant closures, and employee layoffs. Firms also expand and diversify, and often restructure their internal operations. Compared to US firms with a similar decline in performance, however, Japanese firms are less likely to downsize, and layoffs affect a smaller fractio...
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作者：Sias, RW; Starks, LT
作者单位：University of Texas System; University of Texas Austin
摘要：We propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns. Our results demonstrate that NYSE portfolio and individual security daily return autocorrelations are an increasing function of the level of institutional ownership. Moreover, the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment. The relation between autocorrelation and institutional ...
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作者：Daley, L; Mehrotra, V; Sivakumar, R
作者单位：University of Alberta
摘要：We test a prediction from the corporate focus literature that cross-industry spinoff distributions, where the continuing and spunoff units belong to different two-digit Standard Industry Classification codes, create more value than own-industry spinoffs. Our results indicate significant value creation around the announcement of cross-industry spinoffs only. We then provide evidence on whether the value creation comes from operating performance improvements, or bonding benefits, or both, where ...
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作者：Denis, DJ; Denis, DK; Sarin, A
作者单位：Santa Clara University
摘要：We report that ownership structure significantly affects the likelihood of a change in top executive, Controlling for stock price performance, the probability of top executive turnover is negatively related to the ownership stake of officers and directors and positively related to the presence of an outside blockholder. In addition, the likelihood of a change in top executive is significantly less sensitive to stock price performance in firms with higher managerial ownership. Finally, we docum...
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作者：Jordan, BD; Kuipers, DR
作者单位：University of Houston System; University of Houston; University of Kentucky
摘要：This paper uses a unique financial instrument in the U.S. Treasury market to study the price behavior of the put option embedded in the November 2009-14 callable U.S. Treasury bond. We find that, beginning in August 1993, the estimated option value was persistently negative on nearly every day for the ensuing eight months. We show that the anomalous pricing behavior arose because the underlying callable bond became the cheapest to deliver issue against U.S. Treasury bond futures contracts. Hen...
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作者：Schwert, GW
摘要：This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eighths. The articles in this symposium bring new and interesting insights to this debate.
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作者：Kothari, SP; Warner, JB
摘要：Our simulation results show that rests for long-horizon (i.e., multi-year) abnormal security returns around firm-specific events are severely misspecified. The rejection frequencies using parametric tests sometimes exceed 30% when the significance level of the test is 5%. Our results are robust to many different abnormal-return models, Conclusions from long-horizon studies require extreme caution. Nonparametric and bootstrap tests are likely to reduce misspecification.
