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作者：Lewellen, K
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Immediately following an initial public offering, underwriters often repurchase shares of poorly performing offerings in an apparent attempt to stabilize the price. Using proprietary Nasdaq data, I study the price effects and determinants of price support. Some of the key findings are (1) Stabilization is substantial, inducing price rigidity at and below the offer price; (2) I find no evidence that stocks with larger information asymmetries are stabilized more strongly; (3) Larger underwriters...
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作者：Garmaise, MJ; Moskowitz, TJ
作者单位：University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
摘要：Using a unique sample of commercial loans and mergers between large banks, we provide micro-level (within-county) evidence linking credit conditions to economic development and find a spillover effect on crime. Neighborhoods that experience more bank mergers are subject to higher interest rates, diminished local construction, lower prices, an influx of poorer households, and higher property crime in subsequent years. The elasticity of property crime with respect to merger-induced banking conce...
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作者：Jin, YB; Jorion, P
作者单位：California State University System; California State University Northridge; University of California System; University of California Irvine
摘要：This paper studies the hedging activities of 119 U.S. oil and gas producers from 1998 to 2001 and evaluates their effect on firm value. Theories of hedging based on market imperfections imply that hedging should increase the firm's market value (MV). To test this hypothesis, we collect detailed information on the extent of hedging and on the valuation of oil and gas reserves. We verify that hedging reduces the firm's stock price sensitivity to oil and gas prices. Contrary to previous studies, ...
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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：Huberman, G; Jiang, W
摘要：Records of over half a million participants in more than 600 401(k) plans indicate that participants tend to allocate their contributions evenly across the funds they use, with the tendency weakening with the number of funds used. The number of funds used, typically between three and four, is not sensitive to the number of funds offered by the plans, which ranges from 4 to 59. A participant's propensity to allocate contributions to equity funds is not very sensitive to the fraction of equity f...
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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：Franzoni, F; Marín, JM
作者单位：Hautes Etudes Commerciales (HEC) Paris; Pompeu Fabra University
摘要：The paper argues that the market significantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least 5 years after the first emergence of the underfunding. The low returns are not explained by risk, price momentum, earnings momentum, or accruals. Further, the evidence suggests that investors do not anticipate the impact of the pension liability on future earnings, and they are surprised when the n...
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作者：Petkova, R
作者单位：University System of Ohio; Case Western Reserve University
摘要：The Fama-French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. A model that includes shocks to the aggregate dividend yield and term spread, default spread, and one-month Treasury-bill yield explains the cross section of average returns better than the Fama-French model. When loadings on the innovations in the predictive variables are present in the model, loadings on HML and SMB lose their explanatory power for the cross section of ret...
