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作者：Aggarwal, RK; Samwick, AA
作者单位：Dartmouth College; National Bureau of Economic Research; University of Virginia
摘要：We show that top management incentives vary by responsibility. For oversight executives, pay-performance incentives are $1.22 per thousand dollar increase in shareholder wealth higher than for divisional executives. For CEOs, incentives are $5.65 higher than for divisional executives. Incentives for the median top management team are substantial at $32.32. CEOs account for 42 to 58 percent of aggregate team incentives. For divisional executives, the pay divisional performance sensitivity is po...
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作者：Hotchkiss, ES; Strickland, D
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Boston College
摘要：We examine whether institutional ownership composition is related to parameters of the market reaction to negative earnings announcements. When firms report earnings below analysts' expectations, the stock price response is more negative for firms with higher levels of ownership by momentum or aggressive growth investors. There is no evidence, however, that these institutions cause an overreaction to earnings news. Ownership structure is also related to trading volume and to stock price volati...
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作者：Cornelli, F; Goldreich, D
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We examine the institutional bids submitted under the bookbuilding procedure for a sample of international equity issues. We find that information in bids which include a limit price, especially those of large and frequent bidders, affects the issue price. Oversubscription has a smaller but significant effect for IPOs. Public information affects the issue price to the extent that it is reflected in the bids. Oversubscription and demand elasticity are positively correlated with the first-day af...
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作者：Gompers, PA; Lerner, J
作者单位：University of Hartford; National Bureau of Economic Research
摘要：Financial economists have intensely debated the performance of IPOs using data after the formation of Nasdaq. This paper sheds light on this controversy by undertaking a large, out-of-sample study: We examine the performance for five years after listing of 3,661 U.S. IPOs from 1935 to 1972. The sample displays some underperformance when event-time buy-and-hold abnormal returns are used. The underperformance disappears, however, when cumulative abnormal returns are utilized. A calendar-time ana...
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作者：Ferson, WE; Sarkissian, S; Simin, TT
作者单位：Boston University; National Bureau of Economic Research; McGill University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. Our simulations suggest that many of the regression...
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作者：Connolly, R; Stivers, C
作者单位：University System of Georgia; University of Georgia; University of North Carolina; University of North Carolina Chapel Hill
摘要：We document new patterns in the dynamics between stock returns and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has unexpectedly high (low) turnover. This pattern is evident in equity indices, index futures, and individual stocks. Similarly, we also find that the autocorrelation in equity-index returns is increasing with the unexpected dispersion across the latter week's firm-level returns. Weeks with extreme turnover...
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作者：Lemmon, ML; Lins, KV
作者单位：Utah System of Higher Education; University of Utah
摘要：We use a sample of 800 firms in eight East Asian countries to study the effect of ownership structure on value during the regions financial crisis. The crisis negatively impacted firms' investment opportunities, raising the incentives of controlling shareholders to expropriate minority investors. Crisis period stock returns of firms in which managers have high levels of control rights, but have separated their control and cash flow ownership, are 10-20 percentage points lower than those of oth...
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作者：Milevsky, MA
作者单位：York University - Canada
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作者：Van Bommel, J
作者单位：University of Oxford
摘要：A Kyle (1985) model with private information diffusion is used to examine the motivation to spread stock tips. An informed investor with limited investment capacity spreads imprecise rumors to an audience of followers. Followers trade on the advice and move the price. Due to the imprecision of the rumor, the price overshoots with positive probability. This gives the rumormonger the opportunity to trade twice: First when she receives information, then when she knows the price to be overshooting...
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作者：Callaghan, SR; Barry, CB
作者单位：Texas Christian University
摘要：We examine ex-dividend date trading of American Depositary Receipts (ADRs) using a sample of 1,043 dividends over the period 1988 to 1995. ADR dividends are often subject to foreign withholding taxes, creating incentives for certain investors to avoid the distribution. ADRs exhibit negative abnormal ex-dividend day returns, and their prices behave consistently with their related withholding taxes. Abnormal trading volume for taxable issues exceeds 130 percent and 300 percent of normal volume o...
