-
作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups (micro, small, and big) in cross-section regressions, and they are also strong in sorts, at least in the extremes. The asset growth and profitability anomalies are less robust. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. Among profitable firms, higher profitability tends to be associated with abnorm...
-
作者：Brav, Alon; Jiang, Wei; Partnoy, Frank; Thomas, Randall
作者单位：Duke University; Columbia University; University of San Diego; Vanderbilt University
摘要：Using a large hand-collected data set from 2001 to 2006, we find that activist hedge funds in the United States propose strategic, operational, and financial remedies and attain success or partial success in two-thirds of the cases. Hedge funds seldom seek control and in most cases are nonconfrontational. The abnormal return around the announcement of activism is approximately 7%, with no reversal during the subsequent year. Target firms experience increases in payout, operating performance, a...
-
作者：Liu, Yi; Szewczyk, Samuel H.; Zantout, Zaher
作者单位：University of North Texas System; University of North Texas Denton; Drexel University; Rider University
摘要：Using a sample of 2,337 cash dividend reduction or omission announcements over the 1927 to 1999 period, this study reports significant negative post-announcement long-term abnormal returns, which last 1 year only. However, this long-term abnormal performance is driven by the post-earnings-announcement drift. After controlling for the earnings performance and the skewness of buy-and-hold abnormal returns, there is no compelling evidence of a post-dividend-reduction or post-dividend-omission pri...
-
作者：Gutierrez, Roberto C., Jr.; Kelley, Eric K.
作者单位：University of Oregon; University of Arizona
摘要：Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In additi...
-
作者：Kaustia, Markku; Knuepfer, Samuli
作者单位：Aalto University
摘要：We find a strong positive link between past IPO returns and future subscriptions at the investor level in Finland. Our setting allows us to trace this effect to the returns personally experienced by investors; the effect is not explained by patterns related to the IPO cycle, or wealth effects. This behavior is consistent with reinforcement learning, where personally experienced outcomes are overweighted compared to rational Bayesian learning. The results provide a microfoundation for the argum...
-
作者：Lel, Ugur; Miller, Darius P.
作者单位：Southern Methodist University
摘要：We examine a primary outcome of corporate governance, namely, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross-listed firms. We find that firms from weak investor protection regimes that are cross-listed on a major U.S. Exchange are more likely to terminate poorly performing CEOs than non-cross-listed firms. Cross-listings on exchanges that do not require the adoption of stringent...
-
作者：Chacko, George C.; Jurek, Jakub W.; Stafford, Erik
作者单位：Santa Clara University; Harvard University; Harvard University
摘要：This paper models transaction costs as the rents that a monopolistic market maker extracts from impatient investors who trade via limit orders. We show that limit orders are American options. The limit prices inducing immediate execution of the order are functionally equivalent to bid and ask prices and can be solved for various transaction sizes to characterize the market maker's entire supply curve. We find considerable empirical support for the model's predictions in the cross-section of NY...
-
作者：Ang, Andrew; Bekaert, Geert; Wei, Min
作者单位：Columbia University; National Bureau of Economic Research; Columbia University; Center for Economic & Policy Research (CEPR)
摘要：Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the United States is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium t...
-
作者：Gondat-Larralde, Celine; James, Kevin R.
作者单位：University of London; London School Economics & Political Science; Universite de Bordeaux
摘要：Since an underwriter sets an IPO's offer price without knowing its market value, investors can acquire information about its value and avoid overpriced deals (lemon-dodge). To mitigate this well-known risk, the bank enters into a repeat game with a coalition of investors who do not lemon-dodge in exchange for on-average underpriced shares. We (i) derive and test a quantitative IPO pricing rule (showing that tech IPOs were not excessively underpriced during the boom of the 1990s); and (ii) anal...
-
作者：Mathews, Richmond D.; Robinson, David T.
作者单位：Duke University
摘要：We study how the creation of an internal capital market (ICM) can invite strategic responses in product markets that, in turn, shape firm boundaries. ICMs provide ex post resource flexibility, but come with ex ante commitment costs. Alternatively, stand-alones possess commitment ability but lack flexibility. By creating flexibility, integration can sometimes deter a rival's entry, but commitment problems can also invite predatory capital raising. These forces drive different organizational equ...
