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作者：Boudoukh, Jacob; Michaely, Roni; Richardson, Matthew; Roberts, Michael R.
作者单位：National Bureau of Economic Research; Cornell University; New York University; University of Pennsylvania
摘要：We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceed...
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作者：Back, Kerry; Baruch, Shmuel
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Utah System of Higher Education; University of Utah
摘要：We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to...
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作者：Hansen, Lars Peter
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作者：Adams, Renee B.; Ferreira, Daniel
作者单位：Stockholm School of Economics; University of London; London School Economics & Political Science
摘要：We analyze the consequences of the board's dual role as advisor as well as monitor of management. Given this dual role, the CEO faces a trade-off in disclosing information to the board: If he reveals his information, he receives better advice; however, an informed board will also monitor him more intensively. Since an independent board is a tougher monitor, the CEO may be reluctant to share information with it. Thus, management-friendly boards can be optimal. Using the insights from the model,...
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作者：Delong, Gayle; Deyoung, Robert
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Federal Deposit Insurance Corporation (FDIC); Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We offer a new explanation for why academic studies typically fail to find value creation in bank mergers. Our conjectures are predicated on the idea that, until recently, large bank acquisitions were a new phenomenon, with no best practices history to inform bank managers or market investors. We hypothesize that merging banks, and investors pricing bank mergers, learn by observing information that spills over from previous bank mergers. We find evidence consistent with these conjectures for 2...
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作者：Lettau, Martin; Wachter, Jessica A.
作者单位：New York University; University of Pennsylvania
摘要：We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-lived assets distinguished by the timing of cash flows. The stochastic discount factor is specified so that shocks to aggregate dividends are priced, but shocks to the discount rate are not. The model implies that growth firms covary more with the discount rate than do value firms, which covary more with cash flows. When calibrated to explain aggregate stock market behavior, the model accounts for ...
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作者：Sadka, Ronnie; Scherbina, Anna
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作者：Boone, Audra L.; Mulherin, J. Harold
作者单位：University of Kansas; University System of Georgia; University of Georgia
摘要：As measured by the number of bidders that publicly attempt to acquire a target, the takeover arena in the 1990s appears noncompetitive. However, we provide novel data on the pre-public, private takeover process that indicates that public takeover activity is only the tip of the iceberg of actual takeover competition during the 1990s. We show a highly competitive market where half of the targets are auctioned among multiple bidders, while the remainder negotiate with a single bidder. In event s...
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作者：Board, Simon
作者单位：University of Toronto
摘要：This paper investigates auctions where bidders have limited liability. First, we analyze bidding behavior under different auction formats, showing that the second-price auction induces higher prices, higher bankruptcy rates, and lower utilities than the first-price auction. Second, we show that the cost of bankruptcy critically affects the seller's preference over the choice of auction. If bankruptcy is very costly, the seller prefers the first-price auction over the second-price auction. Alte...
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作者：Jang, Bong-Gyu; Koo, Hyeng Keun; Liu, Hong; Loewenstein, Mark
