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• FOREIGN OWNERSHIP RESTRICTIONS AND STOCK-PRICES IN THE THAI CAPITAL-MARKET AI翻译
  作者：BAILEY, W; JAGTIANI, J
  作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
  摘要：We study the effects of barriers to capital flows using data from the Stock Exchange of Thailand, which segments local and foreign trading of securities that have reached foreign ownership limits. Cross-sectional differences between local and foreign prices are correlated with proxies for the severity of foreign ownership limits, liquidity, and information availability. Time-series variability in the spread between local and foreign returns is consistent with differences in risk exposures and ...
• CAMPEAUS ACQUISITION OF FEDERATED - POST-BANKRUPTCY RESULTS AI翻译
  作者：KAPLAN, SN
  摘要：This paper updates Kaplan (1989) by comparing Federated Department Stores' value before its purchase by Campeau Corporation to its post-bankruptcy value. The post-bankruptcy value includes all direct and indirect costs of bankruptcy and financial distress. Federated's assets increased in value by $3.1 billion in 1992 dollars (or $1.6 billion in 1987 dollars). This increase is only slightly below that in Kaplan (1989), suggesting that net bankruptcy costs were modest, and, possibly, nonexistent...
• MARKUPS, QUANTITY RISK, AND BIDDING STRATEGIES AT TREASURY COUPON AUCTIONS AI翻译
  作者：SIMON, DP
  摘要：This study uses intraday when-issued rate quotes to examine the rewards and risks of the Treasury coupon auctions for bidders who face different tradeoffs between the winner's curse and quantity risk. The data indicate that markups of auction average rates over bid when-issued rates at auction times average 3/8 basis point. I also find that when-issued rates react as strongly to bidding aggressiveness at auctions before the auction results are announced as they do afterward, and that quantity ...
• THE NATURE OF INFORMATION CONVEYED BY PURE CAPITAL STRUCTURE CHANGES AI翻译
  作者：SHAH, K
  摘要：This study investigates the information conveyed by intrafirm exchange offers. I find that leverage increases and leverage decreases convey qualitatively different information. Leverage-increasing offers appear to lower investors' assessment of risk of the firm's common stock, but do not appear to change their expectations of cash flows; leverage-decreasing offers appear to lower investors' expected cash flows, but do not appear to change their assessment of risk. The nature of changes in leve...
• THE TERM STRUCTURE OF REAL INTEREST-RATES AND THE COX, INGERSOLL, AND ROSS MODEL AI翻译
  作者：BROWN, RH; SCHAEFER, SM
  作者单位：University of London; London Business School
  摘要：This paper estimates real term structures from cross-sections of British government index-linked ('real') bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the same data; the model closely approximates the shapes of the directly-estimated term structures. In contrast to similar studies of the nominal term structure, the long-term zero-coupon yield is quite stable, as the CIR model predicts, and in common with previous studies, the level of implied short rate volatility c...
• DOES INDUSTRIAL-STRUCTURE EXPLAIN THE BENEFITS OF INTERNATIONAL DIVERSIFICATION AI翻译
  作者：HESTON, SL; ROUWENHORST, KG
  作者单位：Yale University
  摘要：We examine the influence of industrial structure on the cross-sectional volatility and correlation structure of country index returns for 12 European countries between 1978 and 1992. We find that industrial structure explains very little of the cross-sectional difference in country return volatility, and that the low correlation between country indices is almost completely due to country-specific sources of return variation. Diversification across countries within an industry is a much more ef...
• AN EXAMINATION OF VOLUNTARY VERSUS INVOLUNTARY SECURITY ISSUANCES BY COMMERCIAL-BANKS - THE IMPACT OF CAPITAL REGULATIONS ON COMMON-STOCK RETURNS AI翻译
  作者：CORNETT, MM; TEHRANIAN, H
  作者单位：Boston College; Southern Illinois University System; Southern Illinois University
  摘要：This paper examines differences in stock price reactions following voluntary capital injections by commercial banks and involuntary capital injections required to meet regulatory capital requirements. Empirical tests document that stock price declines associated with voluntary common stock issues are significantly greater than those associated with involuntary common stock injections, consistent with Ross (1977). Empirical tests also confirm that for both voluntary and involuntary stock issuan...
• UNTITLED AI翻译
  作者：JENSEN, MC; LONG, JB; MIKKELSON, WH; RUBACK, RS; SCHWERT, GW; SMITH, CW; WARNER, JB
• HOW MANAGERIAL WEALTH AFFECTS THE TENDER OFFER PROCESS AI翻译
  作者：COTTER, JF; ZENNER, M
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Iowa
  摘要：We present empirical evidence on the relation between changes in managerial wealth and tender offer characteristics. Changes in managerial wealth resulting from a tender offer are negatively related to the likelihood of managerial resistance to a tender offer and positively related to the likelihood of tender offer success. We also document that the abnormal returns to tender offers are lower for hostile than for friendly offers if we control for the tender offer premium. Finally, we find that...
• FINITE-SAMPLE PROPERTIES OF THE GENERALIZED-METHOD OF MOMENTS IN TESTS OF CONDITIONAL ASSET PRICING-MODELS AI翻译
  作者：FERSON, WE; FOERSTER, SR
  作者单位：Western University (University of Western Ontario)
  摘要：We develop evidence on the finite sample properties of the Generalized Method of Moments (GMM) in an asset pricing context. The models imply nonlinear, cross-equation restrictions on predictive regressions for security returns. We find that a two-stage GMM approach produces goodness-of-fit statistics that reject the restrictions too often. An iterated GMM approach has superior finite sample properties. The coefficient estimates are approximately unbiased in simpler models, but their asymptotic...