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作者：Battalio, R; Hatch, B; Jennings, R
作者单位：University of Notre Dame; University System of Ohio; University of Cincinnati; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions a...
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作者：Barclay, MJ; Hendershott, T
作者单位：University of Rochester; University of California System; University of California Berkeley
摘要：This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to four times larger than during the trading day. The higher spreads reflect greater adverse selection and order persistence, but not higher dealer profits. Because liquidity provision remains competitive af...
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作者：Maheu, JM; McCurdy, TH
作者单位：University of Toronto; University of Toronto
摘要：This paper models components of the return distribution, which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. A heterogeneous Poisson process with a time-varying conditional intensity parameter governs the likelihood of jumps. Unlike typical jump models with stochastic volatility, previous realizations of both jump and normal innovations can feed back asymmetrically into expected volatility. T...
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作者：Vassalou, M; Xing, YH
作者单位：Columbia University; Rice University
摘要：This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that...
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作者：Dyck, A; Zingales, L
作者单位：Harvard University; University of Chicago
摘要：We estimate private benefits of control in 39 countries using 393 controlling blocks sales. On average the value of control is 14 percent, but in some countries can be as low as -4 percent, in others as high a +65 percent. As predicted by theory, higher private benefits of control are associated with less developed capital markets, more concentrated ownership, and more privately negotiated privatizations. We also analyze what institutions are most important in curbing private benefits. We find...
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作者：Grullon, G; Michaely, R
作者单位：Rice University; Cornell University
摘要：Contrary to the implications of many payout theories, we find that announcements of open-market share repurchase programs are not followed by an increase in operating performance. However, we find that repurchasing firms experience a significant reduction in systematic risk and cost of capital relative to non-repurchasing firms. Further, consistent with the free cash-flow hypothesis, we find that the market reaction to share repurchase announcements is more positive among those firms that are ...
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作者：Eberhart, AC; Maxwell, WF; Siddique, AR
作者单位：Georgetown University; University of Arizona
摘要：We examine a sample of 8,313 cases, between 1951 and 2001, where firms unexpectedly increase their research and development (R&D) expenditures by a significant amount. We find consistent evidence of a misreaction, as manifested in the significantly positive abnormal stock returns that our sample firms' shareholders experience following these increases. We also find consistent evidence that our sample firms experience significantly positive long-term abnormal operating performance following the...
