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作者：Dhaliwal, D; Li, OZ
作者单位：University of Arizona; University of Auckland; University of Notre Dame
摘要：We propose that ex-dividend day excess volume is motivated by tax heterogeneity among investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our measure of heterogeneity. Since investor heterogeneity is a concave function of institutional ownership, we hypothesize that ex-day volume is a concave function of institutional ownership. Cross-sectional tests support the tax-motivated trading hypothesis. Additional tests, using trade size and pension ownership as...
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作者：Baker, Malcolm; Taliaferro, Ryan; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time-series version of Schultz's (2003, Journal of Finance 58, 483-517) pseudo market-timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, ins...
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作者：[Anonymous]
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作者：Gaspar, JM; Massa, M; Matos, P
作者单位：ESSEC Business School; INSEAD Business School; University of Southern California
摘要：We investigate whether mutual fund families strategically transfer performance across member funds to favor those more likely to increase overall family profits. We find that high family value funds (i.e., high fees or high past performers) overperform at the expense of low value funds. Such a performance gap is above the one existing between similar funds not affiliated with the same family. Better allocations of underpriced initial public offering deals and opposite trades across member fund...
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作者：Alti, Aydogan
作者单位：University of Texas System; University of Texas Austin
摘要：This paper examines the capital structure implications of market timing. I isolate timing attempts in a single major financing event, the initial public offering, by identifying market timers as firms that go public in hot issue markets. I find that hot-market IPO firms issue substantially more equity, and lower their leverage ratios by more, than cold-market firms do. However, immediately after going public, hot-market firms increase their leverage ratios by issuing more debt and less equity ...
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作者：Pirinsky, Christo; Wang, Qinghai
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Wisconsin System; University of Wisconsin Milwaukee
摘要：We document strong comovement in the stock returns of firms headquartered in the same geographic area. Moreover, stocks of companies that change their headquarters location experience a decrease in their comovement with stocks from the old location and an increase in their comovement with stocks from the new location. The local comovement of stock returns is not explained by economic fundamentals and is stronger for smaller firms with more individual investors and in regions with less financia...
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作者：Brandt, Michael W.; Santa-Clara, Pedro
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider conditional portfolios, which invest in each asset an amount proportional to conditioning variables, and timing portfolios, which invest in each asset for a single period and in the risk-free asset for all other periods. The static choice ...
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作者：Boot, AWA; Gopalan, R; Thakor, AV
作者单位：University of Amsterdam; University of Michigan System; University of Michigan; Washington University (WUSTL)
摘要：We analyze an entrepreneur/manager's choice between private and public ownership. The manager needs decision-making autonomy to optimally manage the firm and thus trades off an endogenized control preference against the higher cost of capital accompanying greater managerial autonomy. Investors need liquid ownership stakes. Public capital markets provide liquidity, but stipulate corporate governance that imposes generic exogenous controls, so the manager may not attain the desired trade-off bet...
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作者：Boyer, BH; Kumagai, T; Yuan, K
作者单位：Brigham Young University; Wayne State University; University of Michigan System; University of Michigan
摘要：We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods,...
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作者：Anderson, CW; Garcia-Feijóo, L
作者单位：University of Kansas; Creighton University
摘要：Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the cross section of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment-growth options results in changes in both valuation and ex...
