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作者：Brennan, MJ; Subrahmanyam, A
作者单位：University of London; London School Economics & Political Science
摘要：Models of price formation in securities markets suggest that privately informed investors create significant illiquidity costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. We investigate the empirical relation between monthly stock returns and measures of illiquity obtained from intraday data. We find a significant relation between required rates of return and these measures after adjusting for the Fama and F...
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作者：Kang, JK; Lee, YW
作者单位：University of Rhode Island; University of California System; University of California Riverside
摘要：We present the first empirical evidence on the pricing of convertible debt offerings. Using a sample of 91 convertible debt offerings from the period 1988-1992, we show a significant mean initial excess return of 1.11%. Our underpricing result is invariant to zero/nonzero coupons, maturity, issue size, or bond ratings. Further analysis reveals that various types of risk inherent in the new convertible issues are useful in explaining the cross-sectional variation in the initial excess returns. ...
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作者：Tashjian, E; Lease, RC; McConnell, JJ
作者单位：Purdue University System; Purdue University
摘要：We provide comprehensive data on the attributes and outcomes of the restructuring process for a sample of 49 financially distressed firms that restructured by means of a prepackaged bankruptcy. Our findings complement previous research on out-of-court restructurings and traditional Chapter 11 filings. By most measures, including the time spent in reorganization, the direct fees as a percent of pre-distress assets, the recovery rates by creditors, and the incidence of violations of absolute pri...
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作者：Grenadier, SR
摘要：Despite empirical evidence pointing to a strong similarity between lease contracts and junk bonds, the theoretical modeling of equilibrium lease determination has been confined primarily to default-free leases. This paper provides a unified framework for determining the equilibrium credit spread on leases subject to default risk. The model is flexible enough to he applied to a wide variety of rear-world leasing structures, including security deposits, required up-front prepayments, embedded le...
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作者：Gompers, PA
摘要：I develop and test the hypothesis that young venture capital firms take companies pubic earlier than older venture capital firms in order to establish a reputation and successfully raise capital for new funds. Evidence from a sample of 433 IPOs suggests that companies backed by young venture capital firms are younger and more underpriced at their IPO than those of established venture capital firms. Moreover, young venture capital firms have been on the board of directors a shorter period of ti...
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作者：Jensen, MC; Long, JB; Mikkelson, WH; Ruback, RS; Schwert, GW; Smith, CW; Warner, JB
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作者：Pilotte, E; Manuel, T
作者单位：University of Montana System; University of Montana
摘要：A substantial body of literature suggests that stock splits convey information. In this paper we extend this literature by examining firms that split their stock at least twice during 1970-1988. We focus on firms with multiple splits to provide evidence on the market's use of previous split experience in interpreting a recurring event. Our major findings are that stock price responses to both stock splits and post-split earnings changes depend on earnings realizations observed after previous s...
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作者：Nyborg, KG; Sundaresan, S
作者单位：Columbia University; University of London; London Business School
摘要：We use when-issued transactions data to assess the Treasury's current experiment with uniform auctions. When-issued volume is higher under uniform as compared to discriminatory auctions, suggesting a higher information release, which should;reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, when-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that un...
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作者：Denis, DJ; Serrano, JM
作者单位：Stephen F Austin State University
摘要：We report that 34% of targets of unsuccessful control contents between 1983 and 1989 experience a change in top manager within two years following the contest. Management turnover is concentrated among poorly performing firms in which outside blockholders acquire an ownership stake. These blockholders appear to facilitate post-contest asset restructurings that increase the value of the target and improve operating performance. In the absence of an outsider blockholder, managers typically retai...
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作者：Muscarella, CJ; Vetsuypens, MR
作者单位：Southern Methodist University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Stock splits should have no effect on firm value in perfect capital markets, yet stock prices increase on split announcements. The two traditional explanations are information signaling and improved liquidity for shares that trade at lower prices. We investigate these explanations by studying splits of American Depositary Receipts (ADRs) that are not associated with splits in their home-country stock, and which represent unique illustrations of the effect of liquidity. We interpret our finding...
