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作者：Chan, LKC; Lakonishok, J; Sougiannis, T
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards, financial statements do not report intangible assets and R&D spending is expensed. Nonetheless, the average historical stock returns of firms doing R&D matches the returns of firms without R&D. However, the market is apparently too pessimistic about beaten-down R&D-intensive technology stocks' prospects. Companies with high R&D to equity ma...
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作者：Huson, MR; Parrino, R; Starks, LT
作者单位：University of Alberta; University of Texas System; University of Texas Austin
摘要：We report evidence on chief executive officer (CEO) turnover during the 1971 to 1994 period. We find that the nature of CEO turnover activity has changed over time. The frequencies of forced CEO turnover and outside succession both increased. However, the relation between the likelihood of forced CEO turnover and firm performance did not change significantly from the beginning to the end of the period we examine, despite substantial changes in internal governance mechanisms. The evidence also ...
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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...
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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...
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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...
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作者：Collin-Dufresne, P; Goldstein, RS; Martin, JS
作者单位：Carnegie Mellon University; Washington University (WUSTL); Arizona State University; Arizona State University-Tempe
摘要：Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross-correlated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and financial variables as candidate proxies, we cann...
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作者：Nissim, D; Ziv, A
作者单位：Columbia University
摘要：We investigate the relation between dividend changes and future profitability, measured in terms of either future earnings or future abnormal earnings. Supporting the information content of dividends hypothesis, we find that dividend changes provide information about the level of profitability in subsequent years, incremental to market and accounting data. We also document that dividend changes are positively related to earnings changes in each of the two years after the dividend change.
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作者：Chalmers, JMR; Edelen, RM; Kadlec, GB
作者单位：University of Oregon; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：Economic distortions can arise when financial claims trade at prices set by an intermediary rather than direct negotiation between principals. We demonstrate the problem in a specific context, the exchange of open-end mutual fund shares. Mutual funds typically set fund share price (NAV) using an algorithm that fails to account for nonsynchronous trading in the fund's underlying securities. This results in predictable changes in NAV, which lead to exploitable trading opportunities. A modificati...
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作者：Elton, EJ; Gruber, MJ; Blake, CR
作者单位：New York University; Fordham University
摘要：This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database (CRSP, 1998) and compares returns contained in it to those in Morning-star. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP, return data is missing for many and the characteristics of these funds differ from the populations. The CRSP return data is biased upward and merger months are inaccurately recorded about half the time. ...
