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作者：Graham, JR; Rogers, DA
作者单位：Duke University; Portland State University
摘要：There are two tax incentives for corporations to hedge: to increase debt capacity and interest tax deductions, and to reduce expected tax liability if the tax function is convex. We test whether these incentives affect the extent of corporate hedging with derivatives. Using an explicit measure of tax function convexity, we find no evidence that firms hedge in response to tax convexity. Our analysis does, however, indicate that firms hedge to increase debt capacity, with increased tax benefits ...
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作者：Maksimovic, V; Phillips, G
作者单位：University System of Maryland; University of Maryland College Park
摘要：We develop a profit - maximizing neoclassical model of optimal firm size and growth across different industries based on differences in industry fundamentals and firm productivity. In the model, a conglomerate discount is consistent with profit maximization. The model predicts how conglomerate firms will allocate resources across divisions over the business cycle and how their responses to industry shocks will differ from those of single-segment firms. Using plant level data, we find that grow...
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作者：Lerner, J
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper empirically examines patents for financial formulas and methods, whose patentability was recently confirmed in the litigation between State Street Bank and Trust and Signature Financial Group. The number of such filings and awards has been accelerating. Patent filings by academics have been very infrequent, which appears to be a consequence of a lack of awareness or interest on the part of faculty members, rather than any fundamental unsuitability of their research for patenting. Th...
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作者：Mayhew, S
作者单位：University System of Georgia; University of Georgia
摘要：This paper examines the effects of competition and market structure on equity option bid-ask spreads from 1986 to 1997. Options listed on multiple exchanges have narrower spreads than those listed on a single exchange, but the difference diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a Designated Primary Marketmaker (DPM) have narrower quoted spreads than those traded in a traditional open outcry crowd. Effe...
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作者：Boehme, RD; Sorescu, SM
作者单位：University of Houston System; University of Houston
摘要：We examine the long-term stock performance following dividend initiations and resumptions from 1927 to 1998. We show that post announcement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when the portfolios are value weighted. Moreover, the equally weighted results are not robust across subsamples. We also document postannouncement reductions in the risk factor loadings of underlying stocks. Cross-sectionally, these reduction...
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作者：Shivdasani, A
作者单位：University of North Carolina; University of North Carolina Chapel Hill
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作者：Mitchell, M; Pulvino, T; Stafford, E
作者单位：Harvard University; Northwestern University
摘要：We examine 82 situations where the market value of a company is less than its subsidiary, These situations imply arbitrage opportunities, providing an ideal setting to study the risks and market frictions that prevent arbitrageurs from immediately forcing prices to fundamental values. For 30 percent of the sample, the link between the parent and its subsidiary is severed before the relative value discrepancy is corrected. Furthermore, returns to a specialized arbitrageur would be 50 percent la...
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作者：Graham, JR; Lemmon, ML; Wolf, JG
作者单位：Duke University; Utah System of Higher Education; University of Utah; Clemson University
摘要：We analyze several hundred firms that expand via acquisition and/or increase their number of business segments. The combined market reaction to acquisition announcements is positive but acquiring firm excess values decline after the diversifying event. Much of the excess value reduction occurs because our sample firms acquire already discounted business units, and not because diversifying destroys value. This implies that the standard assumption that conglomerate divisions can be benchmarked t...
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作者：Johnson, TC
作者单位：University of London; London Business School
摘要：Momentum effects in stock returns need not imply investor irrationality, heterogeneous information, or market frictions. A simple, single-firm model with a standard pricing kernel can produce such effects when expected dividend growth rates vary over time. An enhanced model, under which persistent growth rate shocks occur episodically, can match many of the features documented by the empirical research. The same basic mechanism could potentially account for underreaction anomalies in general.
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作者：Coughenour, JF; Deli, DN
作者单位：University of Delaware; Arizona State University; Arizona State University-Tempe
摘要：We examine the influence of NYSE specialist firm organizational form on the nature of liquidity provision. We compare closely held firms whose specialists provide liquidity with their own capital to widely held firms whose specialists provide liquidity with diffusely owned capital. We argue that specialists using their own capital have a greater incentive and ability to reduce adverse selection costs, but face a greater cost of capital. Differences in the proportion of spreads due to adverse s...
