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作者：CHAN, LKC; LAKONISHOK, J
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines the price effect of institutional stock trading, using a unique data set that reports the transactions (large and small) of 37 large institutional money management firms. The direction of each trade and the identity of the management firm behind each trade are known. Although institutional trades are associated with some price pressure, we find that the average effect is small. There is also a marked asymmetry between the price impact of buys versus sells. We relate our fin...
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作者：BROUS, PA; KINI, O
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine analysts' earnings forecasts for a sample of takeover targets and document that the announcement-month forecasts are systematically revised upward, supporting the hypothesis that a takeover announcement conveys favorable information about the target firm. In addition, we find that abnormal forecast revisions of future stand-alone earnings are significantly greater for targets with low Tobin's q-ratios relative to targets with high q-ratios, lending further support to the information...
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作者：UMLAUF, SR
摘要：This paper studies the effects of transaction taxes on the behavior of Swedish equity returns during the 1980-1987 period. Sweden provides an excellent laboratory-style setting for such a study, as taxes were imposed for political purposes rather than to alter the behavior of the stock market. Volatility did not decline in response to the introduction of taxes although stock price levels and turnover did. Large proportions of trading activity migrated overseas to London when the tax rate was i...
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作者：RUUD, JS
摘要：This paper reassesses the apparent systematic underpricing of initial public offerings (IPOs). Investigation of the distribution of initial returns following IPOs shows that positive mean initial returns may reflect the existence of a partially unobserved left (negative) tail. Moreover, most IPOs with zero one-day returns subsequently fall in price, suggesting that underwriter price support may account for the skewed distribution and hence the phenomenon of positive average initial IPO returns...
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作者：HANLEY, KW; KUMAR, AA; SEGUIN, PJ
摘要：This study examines price stabilization in new equity issues. Stabilization truncates the distribution of post-issue prices at a floor price, lowering the risk of adverse price moves and hence, in a competitive dealer market, reducing the bid-ask spread. Using 1,523 NASDAQ-traded firm-commitment initial public offerings issued between 1982 and 1987, we find that spreads narrow when the market price is close to the offer price and stabilization is most likely. Moreover, significant negative ret...
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作者：COONEY, JW; KALAY, A
作者单位：Utah System of Higher Education; University of Utah; Tel Aviv University
摘要：The Myers and Majluf (1984) model predicts a nonpositive price reaction to an announcement of a new issue of equity. This paper shows that the Myers and Majluf result is a direct outcome of their assumption that all potential projects facing the firm have a nonnegative net present value. Refining the Myers and Majluf model, by allowing for the realistic possibility of potential projects having negative net present values, leads to different predictions. The refined model predicts positive as w...
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作者：LOUGHRAN, T
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Reinganum (1990) reports that small NYSE securities have average returns about 6% per year higher than those of similarly-sized NASDAQ securities during the 1973-1988 period. He attributes the return differential to market microstructure differences. In contrast, this paper demonstrates that differences in the characteristics of the companies listed on the two exchanges explain much of the disparity. About 60% of the return differential can be attributed to the poor performance of recent initi...
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作者：JEGADEESH, N; WEINSTEIN, M; WELCH, I
作者单位：University of California System; University of California Los Angeles; University of Southern California
摘要：Several recent papers present signaling models in which firms underprice their initial public offerings of equity (IPOs) so that they can subsequently issue scasoned equity at more favorable prices. We test the implications of these models. We find a positive relation between IPO underpricing and the probability and size of subsequent seasoned offerings. Although these results are consistent with the implications of the signaling hypotheses, the economic significance appears weak. We conduct a...
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作者：KELOHARJU, M
摘要：Rationing data for initial public offerings (IPOs) in the Finnish market make possible a test of Rock's (1986) winner's curse hypothesis. The evidence from 80 IPOs issued between 1984 and 1989 confirms the presence of the winner's curse: average returns adjusted for the bias in allocation are lower than average unadjusted returns. But the initial returns of these IPOs appear unrelated to lawsuit avoidance, as the sample firms seem unlikely to incur legal liabilities. In the long run, consisten...
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作者：HANLEY, KW
摘要：This paper documents that the relation of the final offer price to the range of anticipated offer prices disclosed in the preliminary prospectus is a good predictor of initial returns. Issues that have final offer prices which exceed the limits of the offer range have greater underpricing than all other initial public offerings, and are also more likely to increase the number of shares issued. These results are consistent with the pricing and allocation schedule proposed by Benveniste and Spin...
