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作者：Easterwood, JC; Nutt, SR
作者单位：Virginia Polytechnic Institute & State University; Virginia Polytechnic Institute & State University
摘要：A rational analysis of analyst behavior predicts that analysts immediately and without bias incorporate information into their forecasts. Several studies document analysts' tendency to systematically underreact to information. Underreaction is inconsistent with rationality. Other studies indicate that analysts systematically overreact to new information or that they are systematically optimistic. This study discriminates between these three hypotheses by examining the interaction between the n...
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作者：Fleming, MJ; Remolona, EM
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The arrival of public information in the U.S. Treasury market sets off a two-stage adjustment process for prices, trading volume, and bid-ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a p...
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作者：Hansch, O; Naik, NY; Viswanathan, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of London; London Business School; Duke University; University of London; Birkbeck University London; University of Pennsylvania
摘要：The practices of preferencing and internalization have been alleged to support collusion, cause worse execution, and lead to wider spreads in dealership style markets relative to auction style markets. For a sample of London Stock Exchange stocks, we find that preferenced trades pay higher spreads, however they do not generate higher dealer profits. Internalized trades pay lower, not higher, spreads. We do not find a relation between the extent of preferencing or internalization and spreads ac...
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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：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...
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作者：Sullivan, R; Timmermann, A; White, H
作者单位：University of California System; University of California San Diego; University of London; London School Economics & Political Science
摘要：In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26...
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作者：Greene, J; Smart, S
作者单位：University System of Georgia; Georgia State University; Indiana University System; Indiana University Bloomington
摘要：How does increased noise trading affect market liquidity and trading costs? We use The Wall Street Journal's Investment Dartboard column, which stimulates noise trading, as a natural experiment to evaluate models of the bid-ask spread. We find that substantial increases in trading Volume and significant but temporary abnormal returns occur when analysts recommend stocks in this column, especially when recommendations come from analysts with successful contest track records. We also find an inc...
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作者：Shivdasani, A; Yermack, D
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University
摘要：We study whether CEO involvement in the selection of new directors influences the nature of appointments to the board. When the CEO serves on the nominating committee or no nominating committee exists, firms appoint fewer independent outside directors and more gray outsiders with conflicts of interest; Stock price reactions to independent director appointments are significantly lower when the CEO is involved in director selection. Our evidence may illuminate a mechanism used by CEOs to reduce ...
