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作者：PONTIFF, J
摘要：This paper examines the relation between closed-end fund premia and returns. Additional evidence is provided on Thompson's (1978) finding that fund premia are negatively correlated with future returns. Funds with 20% discounts have expected twelve-month returns that are 6% greater than nondiscounted funds. This correlation is attributed to premium mean-reversion, not to anticipated future portfolio performance. Economically motivated explanations do not account for this effect.
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作者：BRENNAN, MJ; SUBRAHMANYAM, A
作者单位：University of California System; University of California Los Angeles; University of London; London Business School; Columbia University
摘要：This paper investigates the relation between the number of analysts following a security and the estimated adverse selection cost of transacting in the security, controlling for the effects of previously identified determinants of liquidity. Using intraday data for the year 1988, we find that greater analyst following tends to reduce: adverse selection costs based on the Kyle (1985) notion of market depth. This result is consistent with the analysis of Admati and Pfleiderer (1988). Estimates o...
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作者：LODERER, C; JACOBS, A
摘要：On November 17, 1988, the board of directors of Nestle AG decided to allow foreign investors to hold Nestle registered stock, reversing a longstanding practice. This decision had a tremendous impact on the prices of the firm's three classes of common stock, as well as on the prices of several other corporations traded on the Zurich stock exchange. These price changes can be explained by the hypothesis that demand curves slope down.
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作者：KEIM, DB; MADHAVAN, A
作者单位：University of Southern California
摘要：This paper examines the behavior of institutional traders. We use unique data on the equity transactions of 21 institutions of differing investment styles which provide a detailed account of the anatomy of the trading process. The data include information on the number of days needed to fill an order and types of order placement strategies employed. We analyze the motivations for trade, the determinants of trade duration, and the choice of order type. The analysis provides some support for the...
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作者：DIAL, J; MURPHY, KJ
作者单位：Harvard University
摘要：In 1991, defense contractor General Dynamics engaged a new management team which adopted an explicit corporate objective of creating shareholder value. The company tied executive compensation to shareholder wealth creation, and subsequently implemented a strategy that included downsizing, restructuring, and exit. Paying large executive cash bonuses amid layoffs ignited controversy. However, by 1993 shareholders realized gains approaching $4.5 billion, representing a dividend-reinvested return ...
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作者：SPIESS, DK; AFFLECKGRAVES, J
摘要：We document that firms making seasoned equity offerings during 1975-1989 substantially underperformed a sample of matched firms from the same industry and of similar size that did not issue equity. This underperformance persists even after controlling for trading system, offer size, and the issuing firm's age and book-to-market ratio. It is similar to that previously documented for initial public offerings, suggesting that managers take advantage of overvaluation in both the initial and season...
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作者：CHAN, LKC; JEGADEESH, N; LAKONISHOK, J
摘要：We examine whether sample selection bias explains the difference in returns between 'value' stocks (high book-to-market ratios) and 'glamour' stocks (low book-to-market ratios). Selection bias on Compustat is not a severe problem: for CRSP primary domestic firms, the proportion missing from Compustat is not large and the average return is not very different from the Compustat sample. Mechanical problems with matching Cusip identifiers account for much of the discrepancy between CRSP and Compus...
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作者：GRENADIER, SR
摘要：Using a real-options approach to endogenously derive the entire term structure of lease rates, I develop a unified framework for pricing a wide variety of leasing contracts. The structure of the model is analogous to traditional models of the term structure of interest rates. I show how the model is flexible enough to determine equilibrium lease rates for leases of any term and practically any structure, including forward leases, leases with options to renew or cancel, lease insurance contract...
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作者：DEWENTER, KL
摘要：This paper examines shareholder wealth gains from domestic and foreign takeover announcements in the U.S. chemical and retail industries. Contrary to results in several recent papers, these data indicate there is no significant difference in within industry mean takeover premia levels. There is evidence, though, that the sensitivity of takeover premia levels to standard transaction characteristics does differ across buyers: Foreign investors do pay more than domestic investors in hostile trans...
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作者：CHATTERJEE, S; DHILLON, US; RAMIREZ, GG
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; Fordham University
摘要：This paper examines a recent sample of public workouts for distressed high-yield debt. The nature of holdouts and the effectiveness of coercive tactics in alleviating the holdout problem is analyzed. Tender offers are in relatively less financial distress, exhibit more severe holdouts, and are more coercive than exchange offers. Tender offers also have higher completion rates and fewer Chapter 11 filings. Security prices react positively to announcements of tender offers, negatively to exchang...
