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作者：Gong, Guojin; Louis, Henock; Sun, Amy X.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Both post-repurchase abnormal returns and reported improvement in operating performance are driven, at least in part, by pre-repurchase downward earnings management rather than genuine growth in profitability. The downward earnings management increases with both the percentage of the company that managers repurchase and CEO ownership. Pre-repurchase abnormal accruals are also negatively associated with future performance, with the association driven mainly by those firms that report the larges...
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作者：Eisdorfer, Assaf
作者单位：University of Connecticut
摘要：This paper provides evidence of risk-shifting behavior in the investment decisions of financially distressed firms. Using a real options framework, I show that shareholders' risk-shifting incentives can reverse the expected negative relation between volatility and investment. I test two hypotheses that are consistent with risk-shifting behavior: (i) volatility has a positive effect on distressed firms' investment; (ii) investments of distressed firms generate less value during times of high un...
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作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Columbia University; Cornell University
摘要：We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16% over the following 20 trading days (15.6% annualized). Institutional nonprogram short sales are the most informative; stocks heavily shorted...
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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...
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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...
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作者：Longstaff, Francis A.; Rajan, Arvind
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three-factor portfolio credit model explains virtually all of the time-series and cross-sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65% of the CDX spread is due to firm-s...
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作者：Dai, Zhonglan; Maydew, Edward; Shackelford, Douglas A.; Zhang, Harold H.
作者单位：University of Texas System; University of Texas Dallas; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
摘要：This paper demonstrates that the equilibrium impact of capital gains taxes reflects both the capitalization effect (i.e., capital gains taxes decrease demand) and the lock-in effect (i.e., capital gains taxes decrease supply). Depending on time periods and stock characteristics, either effect may dominate. Using the Taxpayer Relief Act of 1997 as our event, we find evidence supporting a dominant capitalization effect in the week following news that sharply increased the probability of a reduct...
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作者：Dorn, Daniel; Huberman, Gur; Sengmueller, Paul
作者单位：Drexel University; Columbia University; Tilburg University; University of Amsterdam
摘要：A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably d...
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作者：Maksimovic, Vojislav; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine the effect of industry life-cycle stages on within-industry acquisitions and capital expenditures by conglomerates and single-segment firms controlling for endogeneity of organizational form. We find greater differences in acquisitions than in capital expenditures, which are similar across organizational types. In particular, 36% of the growth recorded by conglomerate segments in growth industries comes from acquisitions, versus 9% for single-segment firms. In growth industries, the...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, Christopher S.
作者单位：University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Southern California
摘要：Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation has more identifiable parameters than the maximal model of Dai and Singleton (2000). We implement this new representation for select three-factor models ...
