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作者：Demirguc-Kunt, A; Maksimovic, V
作者单位：The World Bank; University System of Maryland; University of Maryland College Park
摘要：We investigate how differences in legal and financial systems affect firms' use of external financing to fund growth. We show that in countries whose legal systems score high on an efficiency index, a greater proportion of firms use long-term external financing. An active, though not necessarily large, stock market and a large banking sector are also associated with externally financed firm growth. The increased reliance on external financing occurs in part because established firms in countri...
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作者：Daniel, K; Hirshleifer, D; Subrahmanyam, A
作者单位：Northwestern University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of California System; University of California Los Angeles
摘要：We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes. We show that overconfidence implies negative long-lag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, public-event-based return predi...
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作者：Ikenberry, DL
作者单位：Rice University
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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：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...
