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作者：Farnsworth, H; Bass, R
作者单位：Washington University (WUSTL); University of Connecticut
摘要：The Federal Reserve sets targets for interest rates which it enforces through direct market intervention. These targets are changed periodically. In this paper, we develop a term structure model in which the short rate is subject to a control which keeps it close to a target which changes from time to time. The probability of target changes is not constant in the model, but changes as a function of observables. The model performs well at explaining the shifts in the yield curve that accompany ...
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作者：Benveniste, LM; Ljungqvist, A; Wilhelm, WJ Jr; Yu, XY
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK; New York University; University of Oxford; University of Virginia; Indiana University System; Indiana University Bloomington
摘要：We provide evidence that firms attempting IPOs condition offer terms and the decision whether to carry through with an offering on the experience of their primary market contemporaries. Moreover, while initial returns and IPO volume are positively correlated in the aggregate, the correlation is negative among contemporaneous offerings subject to a common valuation factor. Our findings are-consistent with investment banks implicitly bundling offerings subject to a common valuation factor to ach...
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作者：Brockman, P; Chung, DY
作者单位：Hong Kong Polytechnic University
摘要：The purpose of this study is to investigate the relation between investor protection and firm liquidity We posit that less protective environments lead to wider bid-ask spreads and thinner depths because they fail to minimize information asymmetries. The Hong Kong equity market provides a unique opportunity to compare liquidity costs across distinct investor protection environments, but still within a common trading mechanism and currency. Our empirical findings verify that firm liquidity is s...
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作者：Maxwell, WF; Stephens, CP
作者单位：University of Arizona; Louisiana State University System; Louisiana State University
摘要：Prior research has documented positive abnormal stock returns around the announcements of repurchase programs; several explanations of these returns have been suggested, including signaling, free cash flow, and wealth redistributions. This study analyzes abnormal stock, bond, and firm returns,around repurchase announcements to examine these hypotheses. We find evidence consistent with both signaling and wealth redistribution. The loss to bondholders is a function of the size of the repurchase,...
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作者：Eun, CS; Sabherwal, S
作者单位：University of Rhode Island
摘要：We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges from 0.2 percent to 98.2 percent, with an average of 38.1 percent. The U.S. share is directly related to the U.S. share of trading and to the ratio of proportions of informative trades on the US. excha...
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作者：Ljungqvist, A; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Oxford; University of Virginia
摘要：IPO underpricing reached astronomical levels during 1999 and 2000. We show that the regime shift in initial returns and other elements of pricing behavior can be at least partially accounted for by marked changes in pre-IPO ownership structure and insider selling behavior over the period, which reduced key decision, makers' incentives to control underpricing. After controlling for these changes, the difference in underpricing between 1999 and 2000 and the preceding three years is much reduced....
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作者：Cohen, RB; Polk, C; Vuolteenaho, T
作者单位：Harvard University; Northwestern University; Northeastern University; Harvard University; National Bureau of Economic Research
摘要：,We decompose the cross-sectional variance of firms' book-to-market ratios using both a long US. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20 to 25 percent) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fracti...
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作者：Almazan, A; Suarez, J
作者单位：University of Texas System; University of Texas Austin
摘要：This paper explores how motivating an incumbent CEO to undertake actions that improve the effectiveness of his management interacts with the firm's policy on CEO replacement. Such policy depends on the presence and the size of severance pay in the CEO's compensation package and on the CEO's influence on the board of directors regarding his own replacement (i.e., entrenchment). We explain when and why the combination of some degree of entrenchment and a sizeable severance package is desirable. ...
