Showing papers in "Journal of Financial Economics in 1986"

TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.

TL;DR: In this paper, the authors present a model for the underpricing of initial public offerings based on the existence of a group of investors whose information is superior to that of the firm as well as that of all other investors.

TL;DR: In this paper, the authors demonstrate that there is a monotone relation between the expected underpricing of an initial public offering and the uncertainty of investors regarding its value, and they also argue that the resulting under-pricing equilibrium is enforced by investment bankers, who have reputation capital at stake.

TL;DR: The authors found that the returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices.

TL;DR: In this paper, the authors consider three explanations for the volatility of asset prices during exchange trading hours than during non-trading hours: public information which is more likely to arrive during normal business hours, private information which affects prices when informed investors trade, and pricing errors that occur during trading.

TL;DR: In this article, the authors investigated the effect on stock prices of seasoned equity offerings and found that announcement day price reduction is significantly and negatively related to the size of the equity offering.

TL;DR: In this article, the authors examined the stock price effects of security offerings and investigated the nature of information inferred by investors from offering announcements, finding that changes in share price are unrelated to characteristics of offerings such as the net amount of new financing, relative offering size, and the quality rating of debt issues.

TL;DR: In this paper, the anomalous findings of the previous insider trading studies that any investor can earn abnormal profits by reading the Ofi&/Summan were investigated by using approximately 60,000 insider sale and purchase transactions from 1975 to 1981.

TL;DR: In this article, the authors review the theory and evidence on the process by which corporations raise debt and equity capital and the associated effects on security prices, and test hypotheses about the stock price patterns accompanying announcements of security offerings.

TL;DR: In this paper, the authors developed a theory of the role of the underwriter in certifying that risky issue prices reflect potentially adverse inside information, based on the literature on the use of reputational capital to guarantee product quality.

TL;DR: In this paper, the authors examined weekly and intradaily patterns in common stock prices using transaction data and found that negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day.

TL;DR: In this article, the authors examined common stock price adjustments to announcements of underwritten common stock offerings and found that on average, a negative stock price change is observed, which is larger for industrials than for public utilities.

TL;DR: In this paper, the authors show that negative abnormal stock returns are associated with announcements of additions to the Standard and Poor's Credit Watch List, if either a potential downgrade or a potential upgrade is indicated.

TL;DR: In this paper, the authors developed a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory, and showed that the Jensen coefficient and the appraisal ratio of Treynor and Black are theoretically compatible with the arbitrage pricing theory.

TL;DR: In this article, the effect of corporate debt offerings on stock prices was analyzed, and the authors found no relation between offer-induced price effects and offering size, rating, post-offer changes in abnormal earnings or debt-related tax shields.

TL;DR: In this paper, the authors examined the performance of various classes of merging firms' securities and found that acquired companies' common stockholders, convertible and non-convertible preferred stockholders and convertible bondholders gain in merger.

TL;DR: In this article, share price reactions of parent firms to announcements of public offerings of stock of wholly-owned subsidiaries are investigated and four features distinguishing equity carve-outs from parent equity offerings are discussed.

TL;DR: In this paper, the authors examine an economy in which aggregate shocks are not dispersed equally throughout the population, instead, while these shocks affect all individuals ex ante, they are concentrated among a few ex post.

TL;DR: In this paper, trading volume increases significantly around the ex-dividend day for high yield, actively traded stocks and after brokerage commissions became negotiable, which is consistent with the hypothesis that short-term traders have an impact on ex-day price behavior, at least for taxable distributions.

TL;DR: This paper examined day-of-the-week effects using hourly values of the Dow Jones Industrial Average and found that over the 1963-1983 period the weekend effect has shifted from characterizing active trading on Monday to characterizing the non-trading weekend.

TL;DR: This paper investigated the term structure relations implied by a model in which preferences are non-separable functions of the service flows from two goods and the parameters characterizing preferences were estimated and restrictions on the co-movements of consumptions and Treasury bill returns were examined.

TL;DR: In this article, a study of 862 press recommendations demonstrates that the size effect can distort longer-term performance measures, and hence event studies, when the measurement interval is long and event securities differ systematically in size or weighting from the index constituents.

TL;DR: In this paper, the authors investigate the implication of clientele theories that changes in dividend policy should result in a marked increase in trading volume as shareholder clienteles change and find that volume increases primarily in response to the signal about future earnings contained in the dividend.

TL;DR: In this paper, a general conclusion is that variation in forward rates is primarily variation in current epected returns rather than in forecasts of changes in interest rates, and that humps and inversions in the term structure of expected returns are common during recessions.

TL;DR: The existence of price limits in certain futures markets is explained by demonstrating that price limits may act as a partial substitute for margin requirements in ensuring contract performance as discussed by the authors, and the theory predicts that no limits will exist in the markets for financial futures.

TL;DR: In this paper, the authors examine an unusual sample of firms within the life insurance industry: 30 firms which switched from a common-stock to a mutual-ownership structure and conclude that changing from a stock to an ownership structure is on average efficiency-enhancing.

TL;DR: This paper used discrete-time and continuous-time models to derive equilibrium relations among real and nominal interest rates and the expected growth, variance and covariance parameters of optimally chosen paths for aggregate real consumption and aggregate production.

TL;DR: In this article, the authors present the results of an empirical investigation of whether there is any difference in the cost incurred by public utilities if they issue new equity through a negotiated or competitive underwriting.

TL;DR: In this article, the authors found that the market expects bad news to be delivered late and that these expectations are confirmed, and that the proportion and magnitude of dividend reductions associated with late announcements are significantly larger than in the complete universe of announcements.

TL;DR: In this paper, a framework for valuing floating-rate notes is developed to examine the effects of lags in the coupon formula, special contractual features and default risk on their performance.