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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...
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作者：Duffee, GR
摘要：Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment-grade corporate bonds. Although yield spreads on both callable and noncallable corporate bonds fall when Treasury yields rise, this relation is much stronger for callable bonds. This result has important im...
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作者：Domowitz, I; Glen, J; Madhavan, A
作者单位：Northwestern University; University of Southern California
摘要：Policymakers in emerging markets are increasingly concerned about the consequences for the domestic equity market when companies list stock abroad. We show that the effects of cross-listing depend on the quality of intermarket information linkages. We investigate these issues with unique data from the Mexican equity market. The impact of cross-listing is complex-balancing the costs of order flow migration against the benefits of increased intermarket competition. These effects are exacerbated ...
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作者：Gompers, P; Lerner, J
作者单位：Harvard University; National Bureau of Economic Research
摘要：Venture capital distributions, a legal form of insider trading, provides an ideal arena for examining the share price impact of transactions by informed parties. These sales, which occur after substantial run-ups in share value, generate a substantial price reaction immediately around the event. In the months after distribution, returns apparently continue to be negative. When the short- and long-run reactions are decomposed, they are consistent with the view that venture capitalists use insid...
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作者：Dumas, B; Fleming, J; Whaley, RE
作者单位：Duke University; National Bureau of Economic Research; Rice University; Duke University
摘要：Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly. Using S&P 500 options from June 1988 through December 1993, we examine the predictive and hedging performance of the DVF option valuation model and find it is no better than an ad...
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作者：Bittlingmayer, G
作者单位：University of California System; University of California Davis
摘要：Why does volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. How...
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作者：Naranjo, A; Nimalendran, M; Ryngaert, M
作者单位：State University System of Florida; University of Florida
摘要：Using an improved measure of a common stock's annualized dividend yield, we document that risk-adjusted NYSE stack returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to Various specifications of multifactor asset pricing models that incorporate the Fama-French factors. The magnitude of the yield effect is too large to be explained by a tax penalty on dividend income and is not explained by previously documented anomalies. In...
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作者：Cornett, MM; Mehran, H; Tehranian, H
作者单位：Southern Illinois University System; Southern Illinois University; Northwestern University; Boston College
摘要：This paper examines firm performance around announcements of common stock issues. We study the banking industry in which some stock issues are made voluntarily by managers, and other issues are involuntary. We find that hanks that voluntarily issue common stock experience a significant drop in the matched adjusted operating performance following the issue, a significant drop in benchmark firms' adjusted stock prices following the issue, and systematically negative market reactions to post-issu...
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作者：Teoh, SH; Welch, I; Wong, TJ
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Los Angeles; Hong Kong University of Science & Technology
摘要：Issuers of initial public offerings (IPOs) can report earnings in excess of cash flows by taking positive accruals. This paper provides evidence that issuers with unusually high accruals in the IPO year experience poor stock return performance in the three years thereafter. IPO issuers in the most aggressive quartile of earnings managers have a three-year aftermarket stock return of approximately 20 percent less than IPO issuers in the most conservative quartile. They also issue about 20 perce...
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作者：Odean, T
作者单位：University of California System; University of California Davis
摘要：People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfid...
