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作者：KANG, JK
作者单位：University System of Ohio; Ohio State University
摘要：Japanese mergers and acquisitions in the U.S. create statistically significant wealth gains for both Japanese bidders and U.S. targets. Consistent with the literature on foreign direct investment and the market for corporate control, bidder-specific characteristics and exchange-rate movements are useful in explaining the cross-sectional variation in bidder returns: returns to Japanese bidders and to the portfolio of Japanese bidders and U.S. targets increase with the bidder's leverage, the bid...
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作者：BARCLAY, MJ; HOLDERNESS, CG; PONTIFF, J
作者单位：Boston College; University of Washington; University of Washington Seattle
摘要：The greater the managerial stock ownership in closed-end funds, the larger are the discounts to net asset value. The average discount for funds with blockholders is 14%, whereas the average discount for funds without blockholders is only 4%. This relation is robust over time and to various model specifications that control for other factors that affect discounts. We argue that blockholders receive private benefits that do not accrue to other shareholders and that they veto open-ending proposal...
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作者：BARCLAY, MJ; WARNER, JB
作者单位：University of Rochester
摘要：We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.
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作者：BOUDOUKH, J; RICHARDSON, M; SMITH, T
作者单位：University of Pennsylvania; New York University; Duke University
摘要：This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditional distribution of asset returns, and is valid under fairly weak assumptions. As an application, we test whether the ex ante risk premium is always positive. We report reliable evidence that the ex ante risk premium is negative in some states of the world; these states are related to periods of high expected inflation ...
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作者：DIAMOND, DW
摘要：This paper provides a model of how borrowers with private information about their credit prospects choose seniority and maturity of debt. Increased short-term debt leads lenders to liquidate too often. It also increases the sensitivity of financing costs to new information, although better-than-average borrowers desire information sensitivity. The model implies that short-term debt will be senior to long-term debt, and that long-term debt will allow the issue of additional future senior debt. ...
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作者：ELESWARAPU, VR; REINGANUM, MR
作者单位：University of Iowa
摘要：This paper empirically investigates the seasonal behavior of the liquidity premium in asset pricing. The evidence suggests a strong seasonal component. In the 1961-1990 period, the liquidity premium is reliably positive only during the month of January. For the non-January months, one cannot detect a positive liquidity premium. The impact of the relative bid-ask spreads on asset pricing in non-January months cannot be reliably distinguished from zero. In contrast to Amihud and Mendelson (1986)...
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作者：MECH, TS
作者单位：University of Rochester
摘要：This paper investigates whether portfolio return autocorrelation can be explained by time-varying expected returns, nontrading, stale limit orders, market maker inventory policy, or transaction costs. Evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid-ask spread. Cross-sectional tests s...
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作者：UMLAUF, SR
摘要：This paper analyzes bidding behavior in Mexican Treasury bill auctions for the period 1986-1991. The Mexican auction rules resemble those used in U.S. Treasury bill auctions closely. Results suggest the presence of collusion among large bidders throughout a large portion of the sampling period and the presence of information asymmetries between small and large bidders. Results also suggest that bidders account for the winner's curse and that participants bid more cautiously when uncertainty is...
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作者：CUSATIS, PJ; MILES, JA; WOOLRIDGE, JR
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We investigate the value created through spinoffs over the 1965-1988 period by measuring the stock returns of spinoffs, their parent firms, and parent-spinoff combinations for periods of up to three years following the spinoffs. We find significantly positive abnormal returns for spinoffs, their parents, and the spinoff-parent combinations. Both the spinoffs and parents experience an unusually high incidence of takeovers and the abnormal performance is limited to firms involved in takeover act...
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作者：SCHWERT, GW
摘要：Data for the 516 papers published in volumes 1-30 of the Journal of Financial Economics in the period 1974-91 are analyzed. 477 authors from 136 institutions contributed papers, and these papers received 16,231 citations according to the Social Science Citation Index. Lists of authors and institutions who have contributed the most papers to the JFE and a list of the mostly highly-cited JFE papers show why the Journal has been successful in influencing the finance and economics literature durin...
