-
作者：Griffin, JM; Harris, JH; Topaloglu, S
作者单位：University of Texas System; University of Texas Austin; University of Delaware; Queens University - Canada
摘要：We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negati...
-
作者：Allayannis, G; Brown, GW; Klapper, LF
作者单位：University of Virginia; University of North Carolina; University of North Carolina Chapel Hill
摘要：Using a data set of East Asian nonfinancial companies, we examine a firm's choice between local, foreign, and synthetic local currency (hedged foreign currency) debt. We find evidence of unique as well as common factors that determine each debt type's use, indicating the importance of examining debt at a disaggregated level. We exploit the Asian financial crisis as a natural experiment to investigate the role of debt type in firm performance. Surprisingly, we find that the use of synthetic loc...
-
作者：Dittmar, A; Shivdasani, A
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：We study a sample of diversified firms that alter their organizational structure by divesting a business segment. These firms experience a reduction in the diversification discount after the divestiture. We show that the efficiency of segment investment increases substantially following the divestiture and that this improvement is associated with a decrease in the diversification discount. Our results support the corporate focus and financing hypotheses for corporate divestitures. We demonstra...
-
作者：Bailey, W; Li, HT; Mao, CX; Zhong, R
作者单位：Cornell University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Fordham University
摘要：With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst forecast dispersion increases, and increases in other measures of disagreement and difference of opinion suggest greater difficulty in forming forecasts beyond the current quarter. Corporations increase the qu...
-
作者：De Fontnouvelle, P; Fishe, RPH; Harris, JH
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Richmond; University of Delaware
摘要：In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale i...
-
作者：Hasbrouck, J
摘要：The market for U.S. equity indexes presently comprises floor-traded index futures contracts, exchange-traded funds (ETFs), electronically traded, small-denomination futures contracts (E-minis), and sector ETFs that decompose the S&P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S&P 500 and Nasdaq-100 indexes, most of the price discovery occurs in the E-mini market. For the S&P 400 MidCap index, price discovery is ...
-
作者：Claessens, S; Laeven, L
作者单位：University of Amsterdam
摘要：In countries with more secure property rights, firms might allocate resources better and consequentially grow faster as the returns on different types of assets are more protected against competitors' actions. Using data on sectoral value added for a large number of countries, we find evidence consistent with better property rights leading to higher growth through improved asset allocation. Quantitatively, the growth effect is as large as that of improved access to financing due to greater fin...
-
作者：Graham, JR; Michaely, R; Roberts, MR
作者单位：Duke University; Cornell University; Duke University
摘要：By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of exday price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in th...
