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作者：Andrade, G; Kaplan, SN
作者单位：University of Chicago; National Bureau of Economic Research
摘要：This paper studies thirty-one highly leveraged transactions (HLTs) that become financially, not economically, distressed. The net effect of the HLT and financial distress (from pretransaction to distress resolution, market- or industry-adjusted) is to increase value slightly. This finding strongly suggests that, overall, the HLTs of the late 1980s created value. We present quantitative and qualitative estimates of the (direct and indirect) costs of financial distress and their determinants. We...
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作者：Boatler, RW
作者单位：Texas Christian University
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作者：Easley, D; O'Hara, M; Srinivas, PS
作者单位：Cornell University; Cornell University; The World Bank
摘要：This paper investigates the informational role of transactions volume in options markets. We develop an asymmetric information model in which informed traders may trade in option or equity markets. We show conditions under which informed traders trade options, and we investigate the implications of this for the linkage between markets. Our model predicts an important informational role for the volume of particular types of option trades. We empirically test our model's hypotheses with intraday...
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作者：Fama, EF; French, KR
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：Value stocks have higher returns than growth stocks in markets around the world. For the period 1975 through 1995, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7.68 percent per year, and value stocks outperform growth stocks in twelve of thirteen major markets. An international capital asset pricing model cannot explain the value premium, but a two-factor model that includes a risk factor for relative distress captures the value premi...
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作者：Mudambi, R
作者单位：University of Reading
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作者：Bethel, JE; Liebeskind, JP; Opler, T
作者单位：Babson College; University of Southern California; University System of Ohio; Ohio State University
摘要：This paper investigates the causes and consequences of activist flock share purchases in the 1980s. We find that activist investors were most likely to purchase large blocks of shares in highly diversified firms with poor profitability. Activists were not less likely to purchase blocks in firms with shark repellents and employee stock ownership plans. Activist block purchases were followed by increases in asset divestitures, decreases in mergers and acquisitions, and abnormal share price appre...
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作者：Aitken, MJ; Frino, A; McCorry, MS; Swan, PL
作者单位：University of Sydney
摘要：This paper investigates the market reaction to short sales on an intraday basis in a market setting where short sales are transparent immediately following execution. We find a mean reassessment of stock value following short sales of up to -0.20 percent with adverse information impounded within fifteen minutes or twenty trades. Short sales executed near the end of the financial year and those related to arbitrage and hedging activities are associated with a smaller price reaction; trades near...
