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作者：Klibanoff, P; Lamont, O; Wizman, TA
作者单位：Northwestern University; University of Chicago; National Bureau of Economic Research
摘要：We use panel data on prices and net asset values to test whether dramatic country-specific news affects the response of closed-end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times, prices react much more; the elasticity of price with respect to asset value is closer to one. These ...
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作者：Stephens, CP; Weisbach, MS
作者单位：University of Missouri System; University of Missouri Columbia; University of Arizona
摘要：Unlike Dutch auction repurchases and tender offers, open-market repurchase programs do not precommit firms to acquire a specified number of shares. In a sample of 450 programs from 1981 to 1990, firms on average acquire 74 to 82 percent of the shares announced as repurchase targets within three years of the repurchase announcement. We find that share repurchases are negatively related to prior stock price performance, suggesting that firms increase their purchasing depending on its degree of p...
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作者：Leland, HE
作者单位：University of California System; University of California Berkeley
摘要：The joint determination of capital structure and investment risk is examined. Optimal capital structure reflects both the tax advantages of debt less default costs (Modigliani and Miller (1958, 1963)), and the agency costs resulting from asset substitution (Jensen and Meekling (1976)). Agency costs restrict leverage and debt maturity and increase yield spreads, but their importance is small for the range of environments considered. Risk management is also examined. Hedging permits greater leve...
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作者：Pulvino, TC
作者单位：Northwestern University
摘要：This paper uses commercial aircraft transactions to determine whether capital constraints cause firms to liquidate assets at discounts to fundamental values. Results indicate that financially constrained airlines receive lower prices than their unconstrained rivals when selling used narrow-body aircraft. Capital constrained airlines are also more likely to sell used aircraft to industry outsiders, especially during market downturns. Further evidence that capital constraints affect liquidation ...
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作者：Brauer, GA
作者单位：Institut Polytechnique de Paris; Ecole des Ponts ParisTech
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作者：Fisher, M; Gilles, C
作者单位：Federal Reserve System - USA
摘要：We show how to construct models of the term structure of interest rates in which the expectations hypothesis holds. McCulloch (1993) presents such a model, thereby contradicting an assertion by Cox, Ingersoll, and Ross (1981), but his example is Gaussian and falls outside the class of finite-dimensional Markovian models. We generalize McCulloch's model in three ways: (i) We provide an arbitrage-free characterization of the unbiased expectations hypothesis in terms of forward rates; (ii) we ext...
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作者：Rozeff, MS
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：Mutual fund splits occur in high-priced funds after unusually high returns. Split factors are related to the deviation of a fund's price from the mean of all fund prices. Post-split prices are below the mean of other funds' prices. Post-split numbers of shareholders and assets do not increase compared with funds having similar rates of asset growth. However, I find evidence that mutual fund splits bring per account shareholdings back up to normal levels. I argue that signaling, liquidity, and ...
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作者：Asquith, D; Jones, JD; Kieschnick, R
作者单位：Deloitte Touche Tohmatsu Limited
摘要：Using data on 560 firm-commitment initial public offerings of common stock for the 1982-1983 period, we find that the cross-sectional distribution of one-day returns is modeled better as a mixture of two distributions, with the parameter estimates of one distribution being consistent with underpricing and the other with price stabilization. Further, the evidence that early IPO returns are drawn from a mixture distribution persists for at least four weeks. The implications of these results for ...
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作者：Reese, WA
作者单位：Tulane University
摘要：Prior to the Tax Reform Act of 1986 (TRA'86), long-term capital gains were taxed at a lower rate than short-term gains, presenting investors with an opportunity to increase their after-tax return by delaying the sale of appreciated assets until after they qualified for long-term status and selling depreciated assets prior to long-term qualification. Using a sample of Initial Public Offerings, I find that stocks that appreciated prior to long-term qualification exhibit increased volume and decr...
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作者：Brook, Y; Hendershott, R; Lee, D
作者单位：Santa Clara University; University System of Georgia; Kennesaw State University
摘要：This paper uses interstate banking deregulation to explore the benefits of takeover deregulation and how these benefits are distributed across different firms. We find large and significant abnormal returns around the Interstate Banking and Branching Efficiency Act of 1994 which imply it created $85 billion of value in the banking industry. Consistent with an active market for corporate control allowing beneficial consolidation and providing needed discipline, there is a strong negative relati...
