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作者：Vjh, Anand M.
作者单位：University of Iowa
摘要：I examine whether firms exploit a publicly traded parent-subsidiary structure to issue equity of the overvalued firm regardless of which firm needs funds, and whether this conveys opposite information about firm values. Using 90 subsidiary and 37 parent seasoned equity offering (SEO) announcements during 1981-2002, I document negative returns to issuers but insignificant returns to nonissuers in both samples, and insignificant changes in combined firm value and parent's nonsubsidiary equity va...
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作者：Barclay, Michael J.; Hendershott, Terrence; Kotz, Kenneth
作者单位：University of Rochester; University of California System; University of California Berkeley
摘要：This paper examines the choice of trading venue by dealers in U.S. Treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systems. When Treasury securities go off the run their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in les...
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作者：Campbell, John Y.
作者单位：Harvard University; National Bureau of Economic Research
摘要：The study of household finance is challenging because household behavior is difficult to measure, and households face constraints not captured by textbook models. Evidence on participation, diversification, and mortgage refinancing suggests that many households invest effectively, but a minority make significant mistakes. This minority appears to be poorer and less well educated than the majority of more successful investors. There is some evidence that households understand their own limitati...
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作者：Almeida, Heitor V.; Wolfenzon, Daniel
作者单位：New York University; National Bureau of Economic Research
摘要：We provide a new rationale for pyramidal ownership in family business groups. A pyramid allows a family to access all retained earnings of a firm it already controls to set up a new firm, and to share the new firm's nondiverted payoff with shareholders of the original firm. Our model is consistent with recent evidence of a small separation between ownership and control in some pyramids, and can differentiate between pyramids and dual-class shares, even when either method can achieve the same d...
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作者：Dong, M; Hirshleifer, D; Richardson, S; Teoh, SH
作者单位：York University - Canada; University System of Ohio; Ohio State University; University of Pennsylvania
摘要：This paper uses pre-offer market valuations to evaluate the misvaluation and Q theories of takeovers. Bidder and target valuations (price-to-book, or price-to-residual-income-model-value) are related to means of payment, mode of acquisition, premia, target hostility, offer success, and bidder and target announcement-period returns. The evidence is broadly consistent with both hypotheses. The evidence for the Q hypothesis is stronger in the pre-1990 period than in the 1990-2000 period, whereas ...
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作者：Graham, John R.; Kumar, Alok
作者单位：Duke University; University of Notre Dame
摘要：We study stock holdings and trading behavior of more than 60,000 households and find evidence consistent with dividend clienteles. Retail investor stock holdings indicate a preference for dividend yield that increases with age and decreases with income, consistent with age and tax clienteles, respectively. Trading patterns reinforce this evidence: Older, low-income investors disproportionally purchase stocks before the exdividend day. Furthermore, among small stocks, the ex-day price drop decr...
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作者：Haruvy, Ernan; Noussair, Charles N.
作者单位：University of Texas System; University of Texas Dallas; Emory University
摘要：A series of experiments illustrate that relaxing short-selling constraints lowers prices in experimental asset markets, but does not induce prices to track fundamentals. We argue that prices in experimental asset markets are influenced by restrictions on short-selling capacity and limits on the cash available for purchases. Restrictions on short sales in the form of cash reserve requirements and quantity limits on short positions behave in a similar manner. A simulation model, based on DeLong ...
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作者：Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal
作者单位：Imperial College London; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
摘要：We apply a new bootstrap statistical technique to examine the performance of the US. open-end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk-taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a siz...
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作者：Ang, A; Hodrick, RJ; Xing, YH; Zhang, XY
作者单位：Columbia University; National Bureau of Economic Research; Rice University; Cornell University
摘要：We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, ...
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作者：Ljungqvist, A; Marston, F; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Virginia; University of Oxford
摘要：We investigate whether analyst behavior influenced banks' likelihood of winning underwriting mandates for a sample of 16,625 U.S. debt and equity offerings in 1993-2002. We control for the strength of the issuer's investment banking relationships with potential competitors for the mandate, prior lending relationships, and the endogeneity of analyst behavior and the bank's decision to provide analyst coverage. Although analyst behavior was influenced by economic incentives, we find no evidence ...
