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作者：LaPorta, R; Lakonishok, J; Shleifer, A; Vishny, R
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Chicago
摘要：This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stacks over a 5-year period after portfolio formation. The announcement returns suggest that a significant portion of the return difference between value and glamour stocks is attributable to earnings surprises that are systematically more positive for value stocks. The...
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作者：Musto, DK
摘要：Commercial paper sells at an extra discount if it matures in the next calendar year but Treasury bills do not. The discount is apparent in downward price shifts before the year-end, and upward price shifts at the turn of the year that are significantly correlated with the simultaneous returns to small stocks, and that cannot reflect tax-loss selling. Cross-sectional and time-series tests on prices, as well as flow of funds evidence on trades by institutional investors, indicate that both the d...
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作者：Maksimovic, Vojislav; Pichler, Pegaret
作者单位：University System of Maryland; University of Maryland College Park
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作者：Mitchell, Mark L.; Stafford, Erik
作者单位：University of Chicago
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作者：Siddique, Akhtar
作者单位：Georgetown University
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作者：Stoughton, Neal M.; Zechner, Josef
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作者：Ho, TS; Stapleton, RC; Subrahmanyam, MG
作者单位：New York University
摘要：The Geske-Johnson approach provides an efficient and intuitively appealing technique for the valuation and hedging of American-style contingent claims. Here, we generalize their approach to a stochastic interest rate economy. The method is implemented using options exercisable on one of a finite number of dates. We illustrate how the value of an American-style option increases with interest rate volatility. The magnitude of this effect depends on the extent to which the option is in the money,...
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作者：Shleifer, A; Vishny, RW
作者单位：University of Chicago
摘要：This article surveys research on corporate governance, with special attention to the importance of legal protection of investors and of ownership concentration in corporate governance systems around the world.
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作者：Dutta, PK; Madhavan, A
作者单位：University of Southern California
摘要：This article develops a game-theoretic model to analyze market makers' intertemporal pricing strategies. We show that dealers who adopt noncooperative pricing strategies may set bid-ask spreads above competitive levels. This form of ''implicit collusion'' differs from explicit collusion, where dealers cooperate to fix prices. Price discreteness or asymmetric information are not required for collusion to occur. Rather, institutional arrangements that restrict access to the order now are importa...
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作者：Brennan, MJ; Cao, HH
作者单位：University of London; London Business School; University of California System; University of California Berkeley
摘要：This article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United...
