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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：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：Carter, RB; Dark, FH; Singh, AK
作者单位：Iowa State University
摘要：We find that the underperformance of IPO stocks relative to the market over a three-year holding period is less severe for IPOs handled by more prestigious underwriters. Consistent with prior studies, we also find that IPOs managed by more reputable underwriters are associated with less short-run underpricing. Among the various existing proxies for underwriter reputation, the Carter-Manaster measure is the most significant in the context of initial returns and also in the context of the three-...
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作者：Evans, MDD
作者单位：Georgetown University
摘要：This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index-linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time-varying inflation risk premia throughout the term structure.
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作者：Canina, L; Michaely, R; Thaler, R; Womack, K
作者单位：Cornell University; University of Chicago; National Bureau of Economic Research
摘要：This paper issues a warning that compounding daily returns of the Center for Research in Security Prices (CRSP) equal-weighted index can lead to surprisingly large biases. The differences between the monthly returns compounded from the daily tapes and the monthly CRSP equal-weighted indices is almost 0.43 percent per month, or 6 percent per year. This difference amounts to one third of the average monthly return, and is large enough to reverse the conclusions of a paper using the daily tape to...
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作者：Bolton, P; von Thadden, EL
作者单位：Universite Libre de Bruxelles; Tilburg University; University of Lausanne
摘要：The paper develops a simple model of corporate ownership structure in which costs and benefits of ownership concentration are analyzed. The model compares the liquidity benefits obtained through dispersed corporate ownership with the benefits from efficient management control achieved by some degree of ownership concentration. The paper reexamines the free-rider problem in corporate control in the presence of liquidity trading, derives predictions for the trade and pricing of blocks, and provi...
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作者：Andersen, TG; Bollerslev, T
作者单位：Northwestern University; University of Virginia
摘要：This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the ...
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作者：Swidler, S; Goldreyer, E
作者单位：University of Texas System; University of Texas Arlington; University of Denver
摘要：The empirical analysis examines the salary and publication records of 311 finance professors at public research universities to calculate the worth of a top finance journal article. Within rank, salary regressions provide measures of the direct returns of a journal publication, while probit models consider the indirect returns that result from promotion. Ultimately, the analysis uses a reduced form salary equation to measure both the direct and indirect effects of publishing a journal article....
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作者：Allen, JW; McConnell, JJ
作者单位：Southern Methodist University; Purdue University System; Purdue University
摘要：This study proposes a managerial discretion hypothesis of equity carve-outs in which managers value control over assets and are reluctant to carve out subsidiaries. Thus, managers undertake carve-outs only when the firm is capital constrained. Consistent with this hypothesis, firms that carve out subsidiaries exhibit poor operating performance and high leverage prior to carve-outs. Also consistent with this hypothesis, in carve-outs wherein funds raised are used to pay down debt, the average e...
