-
作者：Hasbrouck, J
摘要：This paper is an econometric analysis of the information content of automated orders arriving at the NYSE. The model captures the joint behavior of automated orders and also the return on the stock index future and the futures-spot basis. The results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades. Furthermore, program and index-arbitrage orders contain information beyond that available from the futures return ...
-
作者：Lang, L; Ofek, E; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Chinese University of Hong Kong; New York University; National Bureau of Economic Research
摘要：We show that there is a negative relation between leverage and future growth at the firm level and, for diversified firms, at the business segment level. This negative relation between leverage and growth holds for firms with low Tobin's q ratio, but not for high-q firms or firms in high-q industries. Therefore, leverage does not reduce growth for firms known to have good investment opportunities, but is negatively related to growth for firms whose growth opportunities are either not recognize...
-
作者：Jensen, GR; Mercer, JM; Johnson, RR
作者单位：Creighton University
摘要：We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results v...
-
作者：Chordia, T
摘要：This paper provides an explanation for the diversity in investment strategies and fees of open-end mutual funds. Mutual funds seek to dissuade redemptions through front- and back-end load fees. The empirical evidence is consistent with model predictions that such fees dissuade redemptions in open-end funds, and that funds hold more cash when there is uncertainty about redemptions. Furthermore, funds with load and redemption fees hold less cash that their no-load counterparts. The results sugge...
-
作者：Jensen, MC; Long, JB; Mikkelson, WH; Ruback, RS; Schwert, GW; Smith, CW; Warner, JB
作者单位：University of Rochester; University of Oregon
