作者：HUFFMAN, GW
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：A dynamic equilibrium model is constructed in which agents with access to different information sets participate in the capital market. Agents must use the equilibrium price of capital to make optimal forecasts of the return to holding capital. Examples show that the volume of trade, as well as the price of capital, can be highly correlated with a measure of the information content of prices. This measure of information is the difference between the unconditional entropy of the dividend and th...
作者：AGRAWAL, A; JAFFE, JF; MANDELKER, GN
作者单位：University of Pennsylvania; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：The existing literature on the post-merger performance of acquiring firms is divided. We re-examine this issue, using a nearly exhaustive sample of mergers between NYSE acquirers and NYSE/AMEX targets. We find that stockholders of acquiring firms suffer a statistically significant loss of about 10% over the five-year post-merger period, a result robust to various specifications. Our evidence suggests that neither the firm size effect nor beta estimation problems are the cause of the negative p...
