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作者：Bunch, DS; Johnson, H
作者单位：University of California System; University of California Davis; University of California System; University of California Riverside
摘要：We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first-passage probabilities. This approach yields intuition for Merton's result for the perpetual put. We then consider the finite-lived case. Using (1) the fact that the put value ceases to depend on time when the critical stock price is reached and (2) the result that an American put equals a European put plus an early-exercise premium, we derive the critic...
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作者：Zingales, L
作者单位：University of Chicago; National Bureau of Economic Research
摘要：In this paper I argue that corporate finance theory, empirical research, practical applications, and policy recommendations are deeply rooted in an underlying theory of the firm. I also argue that although the existing theories have delivered very important and useful insights, they seem to be quite ineffective in helping us cope with the new type of firms that is emerging. I outline the characteristics that a new theory of the firm should satisfy and how such a theory could change the way we ...
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作者：Cao, C; Ghysels, E; Hatheway, F
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper studies Nasdaq market makers' activities during the one and one-half hour preopening period. Price discovery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, Nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bear...
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作者：Coles, JL; Suay, J; Woodbury, D
作者单位：Arizona State University; Arizona State University-Tempe; University of Arizona; Brigham Young University; Brigham Young University - Hawaii
摘要：This paper examines the relation between the premium on closed-end funds and organizational features of the funds and advisors, including the compensation scheme of the investment advisor. We find that the fund premium is larger when: (a) the advisor's compensation is more sensitive to fund performance; (b) the assets managed by the advisor are concentrated in the fund in question; (c) the advisor manages other funds with low compensation sensitivity to performance and with low concentration o...
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作者：Sundaresan, SM
作者单位：Columbia University
摘要：I survey and assess the development of continuous-time methods in finance during the last 30 years, The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen significant progres...
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作者：Chordia, T; Swaminathan, B
作者单位：Vanderbilt University; Cornell University
摘要：This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume port folios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confir...
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作者：Allen, JW; Phillips, GM
作者单位：Southern Methodist University; University System of Maryland; University of Maryland College Park
摘要：This paper examines long-term block ownership by corporations and performance changes in firms with corporate block owners. We also examine potential reasons for corporate ownership including benefits in product market relationships, alleviation of financing constraints, and board monitoring by corporate owners. We find the largest significant increases in targets' stock prices, investment, and operating profitability when ownership is combined with alliances, joint ventures, and other product...
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作者：Dufour, A; Engle, RF
作者单位：University of Reading; University of California System; University of California San Diego; New York University
摘要：We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade-related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when ...
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作者：Park, C
作者单位：Hong Kong University of Science & Technology
摘要：This paper presents a theory of optimal debt structure when the moral hazard problem is severe. The main idea is that the optimal debt contract delegates monitoring. to a single senior lender and that seniority allows the monitoring senior lender to appropriate the full return from his monitoring activities. The theory explains (i) why debt contracts are prioritized, (ii) why short-term debt is senior to long-term debt, and (iii) why financial intermediaries usually hold short-term senior debt...
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作者：Schwert, GW
作者单位：University of Rochester; National Bureau of Economic Research
摘要：This paper examines whether hostile takeovers can be distinguished from friendly takeovers, empirically, based on accounting and stock performance data. Much has been made of this distinction in both the popular and the academic literature, where gains from hostile takeovers result from replacing incumbent managers and gains from friendly takeovers result from strategic synergies. Alternatively, hostility could reflect strategic choices made by the bidder or the target. Empirical tests show th...
