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作者：Coles, JL; Hoi, CK
作者单位：Arizona State University; Arizona State University-Tempe; Rochester Institute of Technology
摘要：We examine the relation between a boards decision to reject antitakeover provisions of Pennsylvania Senate Bill 1310 and subsequent labor market opportunities of those same board members. Compared to directors retaining all provisions, directors rejecting all protective provisions of SB1310 are three times as likely to gain additional external directorships and are 30 percent more likely to retain their internal slot on the board of that same Pennsylvania company. For external board seats, the...
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作者：Poteshman, AM; Serbin, V
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper analyzes the early exercise of exchange-traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of full-service brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is t...
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作者：Gentry, WM; Kemsley, D; Mayer, CJ
作者单位：Columbia University; National Bureau of Economic Research; Yale University; University of Pennsylvania
摘要：Prior empirical evidence regarding the impact of dividend taxes on firm valuation is mixed. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their limited discretion over dividend policy and the relative transparency of REIT assets. We regress the market value of equity on the market value of assets and tax basis, which creates tax deductions that lower future dividend taxes without affecting future...
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作者：Bradley, DJ; Jordan, BD; Ritter, JR
作者单位：Clemson University; University of Kentucky; State University System of Florida; University of Florida
摘要：We examine the expiration of the IPO quiet period, which occurs after the 25th calendar day following the offering. For IPOs during 1996 to. 2000, we find that analyst coverage is initiated immediately for 76 percent of these firms, almost always with a favorable rating. Initiated firms experience a five-day abnormal return of 4.1 percent versus 0.1 percent for firms with no coverage. The abnormal returns are concentrated in the days just before the quiet period expires. Abnormal returns are m...
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作者：Wang, KQ
作者单位：University of Toronto
摘要：This paper presents a new test of conditional versions of the Sharpe-Lintner CAPM, the Jagannathan and Wang (1996) extension of the CAPM, and the Fama and French (1993) three-factor model. The test is based on a general non-parametric methodology that avoids functional form misspecification of betas, risk premia, and the stochastic discount factor. Our results provide a novel view of empirical performance of these models. In particular, we find that a nonparametric version of the Fama and Fren...
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作者：Detemple, JB; Garcia, R; Rindisbacher, M
作者单位：Boston University; Universite de Montreal; University of Toronto
摘要：This paper proposes a new simulation-based approach for optimal portfolio allocation in realistic environments with complex dynamics for the state variables and large numbers of factors and assets. A first illustration involves a choice between equity and cash with nonlinear interest rate and market price of risk dynamics. Intertemporal hedging demands significantly increase the demand for stocks and exhibit low volatility. We then analyze settings where stock returns are also predicted by div...
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作者：Fisman, R; Love, I
作者单位：Columbia University; The World Bank
摘要：Recent work suggests that financial development is important for economic growth, since financial markets more effectively allocate capital to firms with high value projects. For firms in poorly developed financial markets, implicit borrowing in the form of trade credit may provide an alternative source of funds. We show that industries with higher dependence on trade credit financing exhibit higher rates of growth in countries with weaker financial institutions. Furthermore, consistent with b...
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作者：Hong, H; Kubik, JD
作者单位：Stanford University; Syracuse University
摘要：We examine security analysts' career concerns by relating their earnings forecasts to job separations. Relatively accurate forecasters are more likely to experience favorable career outcomes like moving up to a high-status brokerage house.. Controlling for accuracy, analysts who are optimistic relative to the consensus are more likely to experience favorable job separations. For analysts who cover stocks underwritten by their houses, job separations depend less on accuracy and more on optimism...
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作者：Pilotte, EA
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：One explanation for the negative relationship between short-horizon stock returns and inflation is that inflation proxies (inversely) for expected future real output. In this paper, I examine the possibility that inflation also proxies for variation in real price/dividend ratios (excess returns). I show that when the covariance between real price/dividend ratios and inflation is nonzero, the relationship between returns and expected inflation differs for the two components of returns: dividend...
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作者：Goldman, E; Slezak, SL
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati
摘要：This paper examines how information becomes reflected in prices when investment decisions are delegated to fund managers whose tenure may be shorter than the time it takes for their private information to become public. We consider a sequence of managers, where each subsequent manager inherits the portfolio of their predecessor. We show that the inherited portfolio distorts the subsequent manager's incentive to trade on long-term information. This allows erroneous past information to persist, ...
