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作者：Domowitz, I; Sartain, RL
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; ABT Associates
摘要：Qualitative choice models of consumers' decisions to file for bankruptcy and their choice of bankruptcy chapter are estimated jointly, combining choice-based sampling techniques with a nested estimation procedure. Medical and credit card debt are found to be the strongest contributors to bankruptcy, with homeownership playing an important role with respect to both the decision to declare bankruptcy and the choice of bankruptcy alternative. The potential effects of legal changes relating to pro...
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作者：Helwege, J
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper analyzes junk bond defaults during 1980 to 1991 to determine which factors affect the length of time spent in default. Bondholder holdouts are not a significant problem, as firms with proportionately more bonds have shorter default spells. In contrast, bank debt is associated with slower restructurings. Bargaining problems arising from contingent liabilities, lawsuits, and size delay the process, although multiple bond classes do not. Neither information problems nor firm value appe...
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作者：Jones, DM
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作者：Fama, EF; French, KR
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：We estimate the internal rates of return earned by nonfinancial firms on (i) the initial market values of their securities and (ii) the cost of their investments, The return on value is an estimate of the overall corporate cost of capital. The estimate of the real cost of capital for 1950-96 is 5.95 percent. The real return on cost is larger, 7.38 percent, so on average corporate investment seems to be profitable. A by-product of calculating these returns is information about the history of co...
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作者：Shumway, T; Warther, VA
作者单位：University of Michigan System; University of Michigan
摘要：We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are la;ge and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of -55 percent for missing performance-related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that th...
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作者：Berk, JB; Green, RC; Naik, V
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Carnegie Mellon University; University of British Columbia
摘要：As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time-series relation between the book-to-market ratio and asset returns; (ii) the cross-sectional relation between book-to-market, market value, and return; (iii) contrarian effects at short ...
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作者：Metrick, A
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper analyzes the equity-portfolio recommendations made by investment newsletters. Overall, there is no significant evidence of superior stock-picking ability for this sample of 153 newsletters. Moreover, there is no evidence of abnormal short-run performance persistence (hot hands). The comprehensive and bias-free transactions database also allows for insights into the precision of performance evaluation. Using a measure of precision defined in the paper, a transactions-based approach y...
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作者：Brandt, MW
作者单位：University of Pennsylvania
摘要：This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time-varying investment opportunities. I estimate single-period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one-month to 20-year horizon. The investor allocates wealth to the NYSE index and a 30-day Treasury bill. I find that the portfolio choice varies significantly with the dividend yield, default premium...
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作者：Hargis, K
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作者：Eberhart, AC; Altman, EI; Aggarwal, R
作者单位：Georgetown University; New York University
摘要：This study assesses the stock return performance of 131 firms emerging from Chapter 11. Using differing estimates of expected returns, we consistently find evidence of large, positive excess returns in 200 days of returns following emergence. We also examine the reaction of our sample firms' equity returns to their earnings announcements after emergence from Chapter II. The positive and significant reactions suggest that our results are driven by the market's expectational errors, not mismeasu...
