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作者：Butler, Alexander W.; Grullon, Gustavo; Weston, James P.
作者单位：University of Texas System; University of Texas Dallas; Rice University
摘要：This paper provides a rational explanation for the apparent ability of managers to successfully time the maturity of their debt issues. We show that a structural break in excess bond returns during the early 1980s generates a spurious correlation between the fraction of long-term debt in total debt issues and future excess bond returns. Contrary to Baker, Taliaferro, and Wurgler (2006), we show that the presence of structural breaks can lead to nonsense regressions, whether or not there is any...
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作者：Hou, Kewei; Robinson, David T.
作者单位：University System of Ohio; Ohio State University; Duke University
摘要：Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing on work in industrial organization, we posit that either barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, or firms in highly concentrated industries ...
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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：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：Frazzini, Andrea
作者单位：University of Chicago
摘要：This paper tests whether the disposition effect, that is the tendency of investors to ride losses and realize gains, induces underreaction to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post-announcement price drift is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced ...
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作者：Baker, Malcolm; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：We study how investor sentiment affects the cross-section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and dist...
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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：Daniel, Kent; Titman, Sheridan
作者单位：Northwestern University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：The book-to-market effect is often interpreted as evidence of high expected returns on stocks of distressed firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the intangible return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good pro...
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作者：Lehn, Kenneth M.; Zhao, Mengxin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Bentley University
摘要：We examine the relation between bidder returns and the probability of chief executive officer (CEO) turnover in acquiring firms. Using a sample of 714 acquisitions during 1990 to 1998, we find that 47% of CEOs of acquiring firms are replaced within 5 years, including 27% by internal governance, 16% by takeovers, and 4% by bankruptcy. A significant inverse relation exists between bidder returns and the likelihood of CEO turnover. This relation is not associated with governance structure. It als...
