3期

最新文章

• Market timing ability and volatility implied in investment newsletters' asset allocation recommendations AI翻译
  作者：Graham, JR; Harvey, CR
  作者单位：Duke University; Utah System of Higher Education; University of Utah; National Bureau of Economic Research
  摘要：We analyze the advice contained in a sample of 237 investment newsletter strategies over 1980-1992. Each newsletter strategy recommends a mix of equity and cash. We find no evidence that letters systematically increase equity weights before market rises or decrease weights before market declines. While there is no information in the newsletter strategies about future market returns, we document that disagreement among the newsletters is correlated with future realized and implied volatility.
• An empirical analysis of strategic competition and firm values - The case of R&D competition AI翻译
  作者：Sundaram, AK; John, TA; John, K
  作者单位：New York University
  摘要：We operalionalize a firm's competitive strategy through a new empirical measure, and develop a framework for empirical analysis of the market value of strategic behavior. Using this framework, we study announcement effects of R&D spending. The announcing firm's stock prices are positively influenced by a change in spending, and negatively by our competitive strategy measure (CSM). Competitors' stock prices are positively influenced by the interaction between the market's reaction to the announ...
• Changes in the management structure of the JFE AI翻译
  作者：Jensen, MC; Schwert, GW
  作者单位：University of Rochester
• Market microstructure and asset pricing: On the compensation for illiquidity in stock returns AI翻译
  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...
• Leasing and credit risk AI翻译
  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...
• Is there a pecking order? Evidence from a panel of IPO firms AI翻译
  作者：Helwege, J; Liang, N
  作者单位：Federal Reserve System - USA
  摘要：We test the pecking order model of capital structure by examining the financing of firms that went public in 1983, We estimate a legit to predict external financing, and a multinomial legit to predict the type of financing using data on the IPO firms' security offerings during 1984-1992. Our results indicate that the probability of obtaining external funds is unrelated to the shortfall in internally generated funds, although firms with cash surpluses avoid external financing. Firms that access...
• Corporate governance and shareholder initiatives: Empirical evidence AI翻译
  作者：Karpoff, JM; Malatesta, PH; Walkling, RA
  作者单位：University of Washington; University of Washington Seattle; University System of Ohio; Ohio State University
  摘要：Shareholder-initiated proxy proposals on corporate governance issues became popular in the late 1980s as corporate takeover activity declined. We find firms attracting governance proposals have poor prior performance, as measured by the market-to-book ratio, operating return, and sales growth. There is little evidence that operating returns improve after proposals. The proposals also have negligible effects on company share values and top management turnover. Even proposals that receive a majo...
• Top management turnover - An empirical investigation of mutual fund managers AI翻译
  作者：Khorana, A
  摘要：This paper examines the relation between the replacement of mutual fund managers and their prior performance. Using the growth rate in a fund's asset base and its portfolio returns as two separate measures of performance, I document an inverse relation between the probability of managerial replacement and fund performance. The sample of departing fund managers exhibits higher portfolio turnover rates and higher expenses relative to an objective-matched sample of nonreplaced fund managers. The ...
• Commonality in the determinants of expected stock returns AI翻译
  作者：Haugen, RA; Baker, NL
  摘要：We find that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. Out-of-sample predictions of expected return are strongly and consistently accurate. Two findings distinguish this paper from others in the contemporary literature: First, stocks with higher expected and realized rates of return are unambiguously lower in risk than stocks with lower returns. Second, the important determinants...
• Detecting abnormal operating performance: The empirical power and specification of test statistics AI翻译
  作者：Barber, BM; Lyon, JD
  摘要：This research evaluates methods used in event studies that employ accounting-based measures of operating performance. We examine the choice of an accounting-based performance measure, a statistical test, and a model of expected operating performance. We document the impact of these choices on the test statistics designed to detect abnormal operating performance. We find that commonly used research designs yield test statistics that are misspecified in cases where sample firms have performed ei...