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最新文章

• SMALL SAMPLE TESTS OF PORTFOLIO EFFICIENCY AI翻译
  作者：ZHOU, G
  摘要：This paper presents an eigenvalue test of the efficiency of a portfolio when there is no riskless asset, complementing the test of Gibbons, Ross, and Shanken (1989). Besides optimal upper and lower bounds, an easily-implented numerical method is provided for computing the exact P-value. Our approach makes it possible to draw statistical inferences on the efficiency of a given portfolio both in the context of the zero-beta CAPM and with respect to other linear pricing models. As an application,...
• UNDERWRITER WARRANTS, UNDERWRITER COMPENSATION, AND THE COSTS OF GOING PUBLIC AI翻译
  作者：BARRY, CB; MUSCARELLA, CJ; VETSUYPENS, MR
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
• A MULTICOUNTRY COMPARISON OF TERM-STRUCTURE FORECASTS AT LONG HORIZONS AI翻译
  作者：JORION, P; MISHKIN, F
  作者单位：National Bureau of Economic Research
• A BAYESIAN MODEL OF INTRADAY SPECIALIST PRICING AI翻译
  作者：MADHAVAN, A; SMIDT, S
  作者单位：Cornell University
  摘要：This paper develops and tests a model of intraday security price movements which incorporates the effects of both trading volume and unanticipated information. We estimate our model using transaction data from a NYSE specialist and find strong evidence of information asymmetry, although the inventory effect appears weak. The parameter estimates are used to compute the costs of trading, and we find that implicit bid-ask spreads were significantly higher in October 1987 than in the rest of that ...
• THE POSTMERGER SHARE-PRICE PERFORMANCE OF ACQUIRING FIRMS AI翻译
  作者：FRANKS, J; HARRIS, R; TITMAN, S
  作者单位：University of Virginia; University of California System; University of California Los Angeles
• THE CONSUMPTION OF STOCKHOLDERS AND NONSTOCKHOLDERS AI翻译
  作者：MANKIW, NG; ZELDES, SP
  作者单位：University of Pennsylvania
• OPPORTUNISTIC UNDERINVESTMENT IN DEBT RENEGOTIATION AND CAPITAL STRUCTURE AI翻译
  作者：BERGMAN, YZ; CALLEN, JL
  作者单位：Hebrew University of Jerusalem
• A UNIFIED METHOD FOR PRICING OPTIONS ON DIFFUSION-PROCESSES AI翻译
  作者：GOLDENBERG, DH
• TAX OPTIONS AND THE PRICING OF TREASURY BOND TRIPLETS - THEORY AND EVIDENCE AI翻译
  作者：JORDAN, BD; JORDAN, SD
  摘要：This study uses Treasury bond triplets, which consist of three different Treasury issues with a common maturity date, to investigate the theoretical and empirical influence of tax strategies on Treasury prices. The tax-option effect, which arises from the right to optimally realize gains and losses for tax purposes, is found to induce convexity in the relation among triplet bond prices, but the effect is too small to create an arbitrage opportunity. A previous study [Litzenberger and Rolfo (19...
• UNION NEGOTIATIONS AND CORPORATE-POLICY - A STUDY OF LABOR CONCESSIONS IN THE DOMESTIC STEEL-INDUSTRY DURING THE 1980S AI翻译
  作者：DEANGELO, H; DEANGELO, L
  摘要：This paper studies managerial compensation, financial reporting, and dividend policies of the seven major domestic steel producers during requests for union concessions. Substantial layoffs, reported losses, and sacrifices by nonunion stakeholders buttressed managers' case for union concessions. From 1980 to 1988, sample firms reduced their work force by about 300,000 (almost two-thirds) and annual wage payments from $16.1 to $8.6 billion. Reported income is lower during union negotiations, co...