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作者：KOTHARI, SP; SHANKEN, J
摘要：This paper examines the extent to which aggregate stock return variation is explained by variables chosen to reflect revisions in expectations of future dividends. In effect, we decompose realized dividend growth into expected and unexpected components using information in aggregate investment, dividend yield, and future returns. A parsimonious specification accounts for over 70% of annual return variation. We also conduct a cross-sectional experiment using portfolios formed on the basis of an...
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作者：BESSEMBINDER, H; CHAN, K
摘要：We document that instrumental variables known to possess forecast power in equity and bond markets (Treasury bill yields equity dividend yields, and the 'junk' bond premium) also possess forecast power for prices in agricultural, metals, and currency futures markets. The pattern of forecastability in futures is consistent with economic equilibrium as embodied by a two-latent-variable model. We test whether the latent variables that explain these futures returns coincide with latent variables t...
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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：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...
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作者：COWAN, AR; NAYAR, N; SINGH, AK
作者单位：University of Oklahoma System; University of Oklahoma - Norman
摘要：Average common stock price responses to convertible preferred stock calls are significantly negative only when firms employ underwriters to assure conversion. Previous work reports similar results for convertible bond calls; we find that the stock price reaction does not depend upon the type of convertible security being called. The results support the idea that managers are more likely to have calls underwritten the more unfavorable their private information about firm value.
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作者：CHAN, KC; KAROLYI, GA; STULZ, RM
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：There is a significant foreign influence on the risk premium for U.S. assets. Using a bivariate GARCH-in-mean process, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of the return of these stocks with the return on a foreign index but is not related to its own conditional variance. Further, we are unable to reject the international version of the CAPM. We present evidence for different model specifications, multiple-day re...
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作者：HEALY, PM; PALEPU, KG; RUBACK, RS
作者单位：Harvard University
摘要：We examine post-acquisition performance for the 50 largest U.S. mergers between 1979 and mid-1984. Merged firms show significant improvements in asset productivity relative to their industries, leading to higher operating cash flow returns. This performance improvement is particularly strong for firms with highly overlapping businesses. Mergers do not lead to cuts in long-term capital and R & D investments. There is a strong positive relation between postmerger increases in operating cash flow...
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作者：MCLAUGHLIN, RM
摘要：The role of fee contracts in the agency relation between investment bankers and client firms in tender offers is investigated using a sample of offers between 1978 and 1986. Different fees have different payoff functions which can be used by firms to create incentives and by bankers to signal differences in abilities. The effectiveness of fee contracts in resolving agency problems is tested, with mixed results. The evidence suggests that fee contracts are used as a tool by both firms and banke...
