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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：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：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...
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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...
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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...
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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...
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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...
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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：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.
