-
作者：Booth, JR; Chua, L
作者单位：University of Hawaii System
摘要：We develop an explanation for IPO underpricing in which the issuer's demand for ownership dispersion creates an incentive to underprice. Promoting oversubscription allows broad initial ownership, which in turn increases secondary-market liquidity. Increased liquidity reduces the required return to investors. Broad initial ownership, however, requires an increase in investor-borne information costs. These information costs are offset through initial underpricing. Empirical results are consisten...
-
作者：Kho, BC
摘要：This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM; The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual pr...
-
作者：Benveniste, LM; Busaba, WY; Wilhelm, WJ
作者单位：Boston College; University of Minnesota System; University of Minnesota Twin Cities; University of Arizona
摘要：Underwriters have an incentive to overstate investor interest in order to persuade some investors to purchase shares at a price in excess of their initial estimate of the fair value. We show that this incentive is eliminated when the underwriter commits to secondary market price stabilization. Destroying the underwriter's incentive to overstate interest reduces the total surplus captured by initial investors in initial public offerings. Further efficiency gains are associated with penalty bid ...
-
作者：Berger, PG; Ofek, E; Swary, I
作者单位：New York University; University of Pennsylvania; Tel Aviv University
摘要：We investigate whether investors price the option to abandon a firm at its exit value. Theory prices this real option as an American put with both a stochastic strike price (exit value) and a stochastic value of the underlying security (the value of cash flows). The empirical implications are that firm value increases in exit value, after controlling for expected going-concern cash flows, and that more generalizable assets produce more abandonment option value. Using discounted earnings foreca...
-
作者：Strickland, D; Wiles, KW; Zenner, M
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：From 1986 to 1993, the United Shareholders Association (USA) provided a conduit through which small shareholders could unite and attempt to influence the governance of large US corporations. We show that the USA targeted large firms that underperformed the market, that its influence increased from 1990 to 1993, and that USA-sponsored proposals were more successful when the target firm was a poor performer with high institutional ownership. The announcement of 53 USA-negotiated agreements is as...
-
作者：Schwert, GW
作者单位：National Bureau of Economic Research
摘要：This paper studies the relation between the premiums in takeover bids involving exchange-listed target firms from 1975-91 and the pre-announcement stock price runups. The evidence shows that the pre-bid runup and the post-announcement increase in the target's stock price (the 'markup') are generally uncorrelated. With little substitution between the runup and the markup, the runup is an added cost to the bidder. This finding has important implications for assessing the costs of insider trading...
-
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：Jensen, MC; Long, JB; Mikkelson, WH; Ruback, RS; Schwert, GW; Smith, CW; Warner, JB
作者单位：University of Rochester; University of Oregon
