-
作者：Conrad, JS; Johnson, KM; Wahal, S
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Emory University
摘要：Proprietary data allow us to distinguish between institutional investors' orders directed to soft-dollar brokers and those directed to other types of brokers. We find that soft-dollar brokers execute smaller orders in larger market Value stocks. Allowing for differences in order characteristics, we estimate the incremental implicit cost of soft-dollar execution at 29 (24) basis points for buyer- (seller-) initiated orders. Far large orders, incremental implicit costs are 41 (30) basis points f...
-
作者：Elton, EJ; Gruber, MJ; Agrawal, D; Mann, C
作者单位：New York University
摘要：The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Bath our time series and cross-sectional tests support the exist...
-
作者：Fleming, J; Kirby, C; Ostdiek, B
作者单位：Rice University
摘要：Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimati...
-
作者：Christoffersen, SEK
作者单位：McGill University
摘要：Over half of money fund managers Voluntarily waive fees they have a contractual right to claim. Moreover, as a consequence of fee waivers, funds on average collect one half of reported expense ratios. Variation in fee waivers is significant and relates to differences in relative performance. Both low-performing retail and institutional funds waive fees to improve their net performance. More interestingly, high-performing retail, but not institutional, funds use fee waivers to strategically adj...
-
作者：Datta, S; Iskandar-Datta, M; Raman, K
作者单位：Bentley University; Suffolk University
摘要：By examining how executive compensation structure determines corporate acquisition decisions, we document a strong positive relation between acquiring managers' equity-based compensation (EBC) and stock price performance around and following acquisition announcements. This relation is highly robust when we control for acquisition mode (mergers), means of payment, managerial ownership, and previous option grants. Compared to low EBC managers, high EBC managers pay lower acquisition premiums, ac...
-
作者：Bollen, NPB; Busse, JA
作者单位：Utah System of Higher Education; University of Utah; Emory University
摘要：Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mut...
-
作者：Cornelli, F; Goldreich, D
作者单位：Duke University; University of London; London Business School
摘要：In the bookbuilding procedure, an investment banker solicits bids for shares from institutional investors prior to pricing an equity issue. The banker then prices the issue and allocates shares at his discretion to the investors. We examine the books for 39 international equity issues. We find that the investment banker awards more shares to bidders who provide information in their bids. Regular investors receive favorable allocations, especially when the issue is heavily oversubscribed. The i...
-
作者：Longstaff, FA; Santa-Clara, P; Schwartz, ES
作者单位：University of California System; University of California Los Angeles
摘要：Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a string market model, we solve for the correlation matrix implied by swaptions and examine the relative valuation of caps and swaptions. We find that swaption prices are generated by four factors and that implied correlations are lower than historical correlations. Long-dated swaptions appear mispriced and there were major pricing distortions...
-
作者：Collin-Dufresne, P; Solnik, B
作者单位：Carnegie Mellon University; Hautes Etudes Commerciales (HEC) Paris
摘要：Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relation between corporate yields and swap rates (the LIBOR-swap spread), they imply that the term structure of corporate yields and swap rates should be identical. As documented previously (e.g., in Sun, Sundaresan, and Wang (1993)) this is counte...
-
作者：Huberman, G; Regev, T
作者单位：Columbia University
摘要：A Sunday Neu, York Times article on a potential development of new cancer-curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. It closed above 30 in the three following weeks. The enthusiasm spilled over to other biotechnology stocks. The potential breakthrough in cancer research already had been reported, however, in the journal Nature, and in various popular newspapers (including the Times) more than five months earlie...
