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作者：BOOTH, JR
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：I examine whether monitoring-related contract costs are reflected in bank loan spreads and find evidence that cross-monitoring by senior and subordinate claimholders is associated with smaller spreads. I also find that loan spreads reflect financial contract costs of controlling borrower behavior toward the assets being financed. These results support the importance of contract costs in firms' financing decisions and provide evidence of the importance of monitoring in bank lending arrangements.
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作者：RICHARDSON, M; RICHARDSON, P; SMITH, T
作者单位：Duke University
摘要：This paper reexamines existing evidence regarding the monotonicity of the term premium. Using a recently developed approach for testing inequality constraints, we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t-statistics on term premiums (even under a Bonferroni-type adjustment). Our results generally support McCulloch's (1987) view that the liquidity preference hypothesis remains unrefuted.
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作者：BYRD, JW; HICKMAN, KA
作者单位：Fort Lewis College; Gonzaga University
摘要：Examining 128 tender offer bids made from 1980 through 1987, we categorize outside directors as either independent of or having some affiliation with managers, and find that bidding firms on which independent outside directors hold at least 50% of the seats have significantly higher announcement-date abnormal returns than other bidders. However, the relationship between bidding firms' abnormal stock returns and the proportion of board seats held by independent outside directors is nonlinear, s...
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作者：CHOPRA, N; LAKONISHOK, J; RITTER, JR
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：A highly controversial issue in financial economics is whether stocks overreact. In this paper we find an economically-important overreaction effect even after adjusting for size and beta. In portfolios formed on the basis of prior five-year returns, extreme prior losers outperform extreme prior winners. by 5-10% per year during the subsequent five years. Although we find a pronounced January seasonal, our evidence suggests that the overreaction effect is distinct from tax-loss selling effects...
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作者：WANG, K; CHAN, SH; GAU, GW
作者单位：University of Texas System; University of Texas Austin
摘要：In contrast with numerous studies that find significant underpricing for initial public offerings of industrial firms, we document a statistically significant average return of - 2.82% on the first trading day for a sample of 87 initial public offerings of real estate investment trusts during the 1971-1988 period. Our overpricing result is invariant to offer price, issue size, distribution method, offer period, and underwriter reputation. Newly issued REITs, on average, substantially underperf...
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作者：SMITH, CW; WATTS, RL
摘要：We examine explanations for corporate financing-, dividend-, and compensation-policy choices. We document robust empirical relations among corporate policy decisions and various firm characteristics. Our evidence suggests contracting theories are more important in explaining cross-sectional variation in observed financial, dividend, and compensation policies than either tax-based or signaling theories.
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作者：STEIN, JC
摘要：This paper argues that corporations may use convertible bonds as an indirect way to get equity into their capital structures when adverse-selection problems make a conventional stock issue unattractive. Unlike other theories of convertible bond issuance, the model here highlights: 1) the importance of call provisions on convertibles and 2) the significance of costs of financial distress to the information content of a convertible issue.
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作者：HARVEY, CR; WHALEY, RE
作者单位：University of Chicago
摘要：Most models of market volatility use either past returns or ex post volatility to forecast volatility. In this paper, the dynamic behavior of market volatility is assessed by forecasting the volatility implied in the transaction prices of Standard & Poor's 100 index options. We test and reject the hypothesis that volatility changes are unpredictable. However, while our statistical model delivers precise forecasts, abnormal returns are not possible in a trading strategy (based on daily out-of-s...
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作者：AFFLECKGRAVES, J; MENDENHALL, RR
摘要：We investigate the relation between the Value Line enigma and post-earnings-announcement drift. The ability of Value Line's 'timeliness' ranks to predict future abnormal returns is well-documented. However, we show that most rank changes occur within eight trading days of an earnings announcement. Once we control for post-earnings-announcement drift, differences in abnormal returns across Value Line timeliness ranks are no longer significant. Moreover, we find that timeliness ranks have no pre...
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作者：CORNETT, MM; TEHRANIAN, H
作者单位：Boston College
摘要：This paper examines the post-acquisition performance of large bank mergers between 1982 and 1987. On the whole, the merged banks outperform the banking industry. Their better performance appears to result from improvements in the ability to attract loans and deposits, in employee productivity, and in profitable asset growth. Further, we find a significant correlation between announcement-period abnormal stock returns and the various performance measures, showing that market participants are ab...
