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作者：La Porta, R; Lopez-de-Silanes, F; Shleifer, A; Vishny, RW
作者单位：Harvard University; University of Chicago
摘要：This paper outlines and tests two agency models of dividends. According to the outcome model, dividends are paid because minority shareholders pressure corporate insiders to disgorge cash. According to the substitute model, insiders interested in issuing equity in the future pay dividends to establish a reputation for decent treatment of minority shareholders. The first model predicts that stronger minority shareholder rights should be associated with higher dividend payouts; the second model ...
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作者：Davis, JL; Fama, EF; French, KR
作者单位：Kansas State University; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：The Value premium in U.S. stock returns is robust. The positive relation between average return and beak-to-market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three-factor risk model explains the value premium better than the hypothesis that the book-to-market characteristic is compensated irrespective of risk loadings.
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作者：Chapman, DA; Pearson, ND
作者单位：University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Ait-Sahalia (1996) and Stanton (1997). Combined with the results of a weig...
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作者：Schultz, P
作者单位：University of Notre Dame
摘要：A traditional explanation for stock splits is that they increase the number of small shareholders who own the stock. A possible reason for the increase is that the minimum bid-ask spread is wider after a split and brokers have more incentive to promote a stock. I document a large number of small buy orders following Nasdaq and NYSE/AMEX splits during 1993 to 1994. I also find strong evidence that trading costs increase, and weak evidence that costs of market making decline following splits. Th...
