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作者：Gemmill, G
摘要：This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size...
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作者：Martin, KJ
摘要：This article examines the motives underlying the payment method in corporate acquisitions. The findings support the notion that the higher the acquirer's growth opportunities, the more likely the acquirer is to use stock to finance an acquisition. Acquirer managerial ownership is not related to the probability of stock financing over small and large ranges of ownership, but is negatively related over a middle range. In addition, the likelihood of stock financing increases with higher pre-acqui...
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作者：Beneish, MD; Whaley, RE
作者单位：Duke University
摘要：This study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes five days beforehand. The new announcement practice has given rise to the ''S&P game'' and has altered the way stock prices react. We find that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announc...
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作者：Chan, KC; Foresi, S; Lang, LHP
作者单位：New York University; Chinese University of Hong Kong
摘要：A cash-in-advance model of a monetary economy is used to derive a money-based CAPM (M-CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of th...
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作者：He, J; Kan, R; Ng, LL; Zhang, C
作者单位：University of Houston System; University of Houston; University of Toronto; University of Alberta; City University of Hong Kong
摘要：In this article we generalize Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time-varying cavariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. We find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stack returns predicted by firm size and book-to...
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作者：Karolyi, GA; Stulz, RM
作者单位：National Bureau of Economic Research
摘要：This article presents a model for valuing claims subject to default by both contracting parties, such as swaps and forwards. With counterparties of different default risk, the promised cash flows of a swap are discounted by a switching discount rate that, at any given state and time, is equal to the discount rate of the counterparty for whom the swap is currently out of the money (that is, a liability). The impact of credit-risk asymmetry and of netting is presented through both theory and num...
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作者：Falkenstein, EG
摘要：This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance.
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作者：Ghysels, E
作者单位：Universite de Montreal
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作者：Houston, J; James, C
摘要：This article examines the determinants of the mix of private and public debt using detailed information on the debt structure of 250 publicly traded corporations from 1980 through 1990. We find that the relationship between bank borrowing and the importance of growth opportunities depends on the number of banks the firm uses and whether the firm has public debt outstanding. For firms with a single bank relationship, the reliance on bank debt is negatively related to the importance of growth op...
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作者：Benos, AV
作者单位：Hautes Etudes Commerciales (HEC) Paris
