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作者：Jones, CM; Kaul, G
作者单位：University of Michigan System; University of Michigan
摘要：We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than...
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作者：Guedes, J; Opler, T
作者单位：Universidade Catolica Portuguesa; University System of Ohio; Ohio State University
摘要：We document the determinants of the term to maturity of 7,369 bonds and notes issued between 1982 and 1993. Our main finding is that large firms with investment grade credit ratings typically borrow at the short end and at the long end and of the maturity spectrum, while firms with speculative grade credit ratings typically borrow in the middle of the maturity spectrum. This pattern is consistent with the theory that risky firms do not issue short-term debt in order to avoid inefficient liquid...
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作者：Ghysels, E
作者单位：Universite de Montreal
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作者：Krinsky, I; Lee, J
作者单位：New York University; Hong Kong Polytechnic University
摘要：This study investigates the behavior of the components of the bid-ask spread around earnings announcements. We find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Our results suggest that the directional change in the total bid-ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreas...
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作者：Wedig, GJ; Hassan, M; Morrisey, MA
作者单位：University of Alabama System; University of Alabama Birmingham
摘要：The availability of tax-exempt financing provides nonprofit (NP) organizations with their own tax-based incentives to issue debt. In this article, we develop a theoretical model in which NPs gain an indirect arbitrage from tax-exempt debt issuance, constrained by: 1) the requirement that fixed investment exceed tax-exempt debt flows (the project financing constraint), and 2) the constraint against share issuance. These constraints cause them to impute tax benefits to projects that afford acces...
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作者：Berger, PG; Ofek, E
作者单位：New York University
摘要：We examine whether the value loss from diversification affects takeover and breakup probabilities. We estimate diversification's value effect by imputing stand-alone values for individual business segments and find that firms with greater value losses are more likely to be taken over. Moreover, those acquired firms whose losses are greatest are most likely to be bought by LBO associations, which frequently break up their targets. For a subsample of large diversified targets: (1) higher value l...
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作者：McQueen, G; Pinegar, M; Thorley, S
摘要：This article examines the conflict of interest between shareholders and bondholders in a setting in which firms can renegotiate the terms of existing debt with public debtholders. In particular, we consider one of the most common types of debt restructuring: the exit-exchange offer. Our analysis explores the relation between exit-exchange offers and investment choice by the manager, and it concludes that managers, acting strategically on behalf of shareholders, may select inefficient investmen...
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作者：Loughran, T; Ritter, JR
作者单位：State University System of Florida; University of Florida
摘要：Conrad and Kaul (1993) report that most of De Bondt and Thaler's (1985) long-term overreaction findings can be attributed to a combination of bid-ask effects when monthly cumulative average returns (CARs) are used, and price, rather than prior returns. In direct tests, we find little difference in test-period returns whether CARs or buy-and-hold returns are used, and that price has little predictive ability in cross-sectional regressions. The difference in findings between this study and Conra...
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作者：Cai, J; Chan, KC; Yamada, T
作者单位：Hong Kong University of Science & Technology
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作者：Jagannathan, R; Wang, ZY
作者单位：Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Columbia University
摘要：Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. We assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. We include the return on human capital when measuring the r...
