Showing papers in "Journal of Financial Economics in 1992"

TL;DR: The authors examine explanations for corporate financing-, dividend-, and compensation-policy choices and find that contracting theories are more important in explaining cross-sectional variation in observed financial, dividend, and compensation policies than either tax-based or signaling theories.

TL;DR: This article developed a formal model of the volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model).

TL;DR: In this paper, the authors used new data on the holdings of 769 tax-exempt (predominantly pension) funds, to evaluate the potential effect of their trading on stock prices.

TL;DR: In this article, the authors categorize outside directors as either independent of or having some affiliation with managers, and find that bidding firms on which independent outside directors hold at least 50% of the seats have significantly higher announcement-date abnormal returns than other bidders.

TL;DR: The authors investigated the effect of bankruptcy announcements on the equity value of the bankrupt firm's competitors and found that bankruptcy announcements decrease the value of a value-weighted portfolio of competitors by 1%.

TL;DR: In this paper, the authors find that extreme prior losers outperform extreme prior winners by 5-10% per year during the subsequent five years, and that the overreaction effect is substantially stronger for smaller firms than for larger firms.

TL;DR: In this paper, the authors argue that corporations may use convertible bonds as an indirect way to get equity into their capital structures when adverse-selection problems make a conventional stock issue unattractive.

TL;DR: In this paper, the authors estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables, recognizing that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly-spaced time intervals.

TL;DR: The authors examined the post-acquisition performance of large bank mergers between 1982 and 1987 and found that the merged banks outperformed the banking industry on the whole, their better performance appeared to result from improvements in the ability to attract loans and deposits, in employee productivity, and in profitable asset growth.

TL;DR: In this article, the dynamic behavior of market volatility is assessed by forecasting the volatility implied in the transaction prices of Standard & Poor's 100 index options, showing that predictable time-varying volatility is consistent with market efficiency.

TL;DR: In this paper, the authors developed an analytical framework to explain firm's choice of equity flotation method and the near disappearance of rights offers by U.S. exchange-listed firms.

TL;DR: In this paper, a broker who actively attempts to differentiate between informed and uninformed traders can achieve equilibria that Pareto-dominate an equilibrium in which the two types of trades are pooled.

TL;DR: The authors found that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of the return of these stocks with the return on a foreign index but is not related to its own conditional variance.

TL;DR: This article examined whether monitoring-related contract costs are reflected in bank loan spreads and found evidence that cross-monitoring by senior and subordinate claimholders is associated with smaller spreads and also found that loan spreads reflect financial contract costs of controlling borrower behavior toward the assets being financed.

TL;DR: In this paper, the authors show that instrumental variables known to possess forecast power in equity and bond markets (Treasury bill yields, equity dividend yields, and the ‘junk’ bond premium) also possess forecast powers for prices in agricultural, metals, and currency futures markets.

TL;DR: In this article, a statistically significant average return of −2.82% on the first trading day for a sample of 87 initial public offerings of real estate investment trusts during the 1971-1988 period was found.

TL;DR: The authors examine employee stock ownership plan (ESOP) announcements to study the effects of an increase in managerial voting rights without a proportional increase in the ownership of cash flow claims, finding that when managers initially control few votes firm value increases with the fraction of shares contributed to the ESOP supports the view that managerial vote control serves shareholder interests.

TL;DR: In this article, the authors examined the extent to which aggregate stock return variation is explained by variables chosen to reflect revisions in expectations of future dividends and found that nearly 90% of the portfolio return variation was explained by dividend and expected return variables.

TL;DR: In this paper, the authors investigated the impact of Pennsylvania Senate Bill 1310 on the share prices of Pennsylvania corporations and found that SB1310 significantly decreased share values, and estimated the loss to shareholders of Pennsylvania firms at $4 billion.

TL;DR: In this paper, the role of fee contracts in the agency relation between investment bankers and client firms in tender offers is investigated using a sample of offers between 1978 and 1986, with mixed results.

TL;DR: This paper investigated the relation between the Value Line enigma and post-earnings-announcement drift and found that most rank changes occur within eight trading days of an earnings announcement.

TL;DR: This paper showed that Longstaff's pricing formula is not the solution to the pricing problem which he poses, due to a failure to properly account for a boundary condition, and they introduced a new model economy and derived a new endogenous interest rate process, and found the Green's function and the price of a zero-coupon bond for our model economy.

TL;DR: In this paper, share price reactions of commercial bank common stock issues were examined and negative effects on rival commercial and investment banking firms were found, with no such intra-industry effects for equity issues by industrial firms.

TL;DR: The authors showed that regression is unambiguously more powerful than grouping, even when the independent variable is measured with error, and that test power is maximized when the two extreme groups each contain 27% of the sample, a much larger percentage than that typically used in the literature.

TL;DR: In this article, the authors show that the Cox, Ingersoll, and Ross term structure framework can allow a variety of alternative equilibrium solutions for discount bond prices, and they also show that alternative equilibria can occur in other term structure models.

TL;DR: In this paper, the authors investigated the returns to acquiring-firm stockholders in federally assisted mergers in the savings and loan industry and found that shareholders of acquiring firms earn significant positive returns.

TL;DR: In this paper, the authors reexamine existing evidence regarding the monotonicity of the term premium and propose and conduct tests for whether the term premiums are monotonic and reach different conclusions from those implied by individual t-statistics on term premiums.

TL;DR: This article found that the stock price reaction does not depend upon the type of convertible security being called and that managers are more likely to have calls underwritten the more unfavorable their private information about firm value.