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作者：Rubinstein, M
作者单位：University of California System; University of California Berkeley
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作者：Chalmers, JMR; Dann, LY; Harford, J
作者单位：University of Oregon
摘要：We analyze a sample of 72 IPO firms that went public between 1992 and 1996 for which we have detailed proprietary information about the amount and cost of D&O liability insurance. If managers of IPO firms are exploiting superior inside information, we hypothesize that the amount of insurance coverage chosen will be related to the post-offering performance of the issuing firm's shares. Consistent with the hypothesis, we find a significant negative relation between the three-year post-IPO stock ...
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作者：Bell, L; Jenkinson, T
作者单位：University of Oxford; University of Oxford
摘要：This paper examines the impact of a major change in dividend taxation introduced in the United Kingdom in July 1997, The reform was structured in such a way that the immediate impact fell almost entirely on the largest investor class in the United Kingdom, namely pension funds. We find significant changes in the valuation of dividend income after the reform, in particular for high-yielding companies. These results provide strong support for the hypothesis that taxation affects the valuation of...
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作者：Carhart, MM; Kaniel, R; Musto, DK; Reed, AV
作者单位：University of Texas System; University of Texas Austin; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：We present evidence that fund managers inflate quarter-end portfolio prices with last-minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large-cap funds to well over 2 percent for small-cap funds. We find that the cross section of inflation matches the cross section of incentives from the flow/performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is ...
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作者：Schoar, A
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Using plant-level observations from the Longitudinal Research Database I show that conglomerates are more productive than stand-alone firms at a given point in time. Dynamically, however, firms that diversify experience a net reduction in productivity. While the acquired plants increase productivity, incumbent plants suffer. Moreover, stock prices track firm productivity and this tracking is equally strong for diversified and stand-alone firms. Therefore, lower transparency of conglomerates is...
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作者：Dennis, PJ; Strickland, D
作者单位：University of Virginia
摘要：We investigate the relationship between the ownership structure and returns of firms on days when the absolute value of the market's return is two percent or more. We find that a firm's abnormal return on these days is related to the percentage of institutional ownership, that there is abnormally high turnover in the firm's shares on these days, and that this abnormal turnover is significantly related to the percentage of institutional ownership in the firm. Taken together, these results are c...
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作者：Huang, RD
作者单位：University of Notre Dame
摘要：This paper compares the quality of quotes submitted by electronic communication networks (ECNs) and by traditional market makers to the Nasdaq quote montage. An analysis of the most active Nasdaq stocks shows that ECNs not only post informative quotes, but also, compared to market makers, ECNs post quotes rapidly and are more often at the inside. Additionally, ECN quoted spreads are smaller than dealer quoted spreads. The evidence suggests that the proliferation of alternative trading venues, ...
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作者：De Frutos, MA; Manzano, C
作者单位：Universidad Carlos III de Madrid; Universitat Rovira i Virgili
摘要：Using a model of market making with inventories based on Biais (1993), we find that investors obtain more favorable execution prices, and they hence invest more, when markets are fragmented. In our model, risk-averse dealers use less aggressive price strategies in more transparent markets (centralized) because quote dissemination alleviates uncertainty about the prices quoted by other dealers and, hence, reduces the need to compete aggressively for order flow. Further, we show that the move to...
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作者：Ritter, JR; Welch, I
作者单位：State University System of Florida; University of Florida; Yale University; National Bureau of Economic Research
摘要：We review the theory and evidence on IPO activity: why firms go public, why they reward first-day investors with considerable underpricing, and how. IPOs perform in the long run. Our perspective is threefold: First, we believe that many IPO phenomena are not stationary. Second, we believe research into share allocation issues is the most promising area of research in IPOs at the moment. Third, we argue that asymmetric information is not the primary driver of many IPO phenomena. Instead, we bel...
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作者：Ellis, K; Michaely, R; O'Hara, M
作者单位：University of California System; University of California Davis; Cornell University
摘要：This paper provides an analysis of the nature and evolution of a dealer market for Nasdaq stocks. Despite size differences in sample stocks, there is a surprising consistency to their trading. One dealer tends to dominate trading in a stock. Markets are concentrated and spreads are increasing in the volume and market share of the dominant dealer. Entry and exit are ubiquitous. Exiting dealers are those with very low profits and trading volume. Entering market makers fail to capture a meaningfu...
