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Showing papers in "Journal of Financial Economics in 1997"


Journal Article•DOI•
TL;DR: In this paper, the authors show that standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993), and these large standard errors are the result of uncertainty about true factor risk premiums and imprecise estimates of the loadings of industries on the risk factors.

6,064 citations


Journal Article•DOI•
TL;DR: In this paper, the empirical power and specification of test statistics in event studies designed to detect long-run (one to five-year) abnormal stock returns were analyzed and three reasons for this misspecification were identified.

2,946 citations


Journal Article•DOI•
TL;DR: In this article, the relative importance of world and local information to change through time in both the expected returns and conditional variance processes is analyzed, and the authors find that capital market liberalization often increase the correlation between local market returns and the world market but do not drive up local market volatility.

1,423 citations


Journal Article•DOI•
TL;DR: In this paper, the authors examined the factors that affect the likelihood of voluntary and forced turnover of chief executive officers and found that poor CEOs are easier to identify and less costly to replace in industries that consist of similar firms than in heterogeneous industries.

1,307 citations


Journal Article•DOI•
TL;DR: The authors studied stock ownership in Japanese firms by non-Japanese investors from 1975 to 1991 and found that foreign investors hold disproportionately more shares of firms in manufacturing industries, large firms, and firms with good accounting performance, low unsystematic risk, and low leverage.

1,288 citations


Journal Article•DOI•
TL;DR: In this article, simulation results show that tests for long-horizon (i.e., multi-year) abnormal security returns around firm-specific events are severely misspecified.

962 citations


Journal Article•DOI•
TL;DR: In this paper, the role of independent outside directors in a firm's independent board during a tender offer was examined, and the authors concluded that independent outside board members enhance target shareholders' gains from the tender offer.

902 citations


Journal Article•DOI•
TL;DR: In this article, ownership structure significantly affects the likelihood of a change in top executive and the probability of top executive turnover is negatively related to the ownership stake of officers and directors and positively related to presence of an outside blockholder.

842 citations


Journal Article•DOI•
TL;DR: For example, this article found that the median ownership stake of officers and directors declines significantly from the year before going public to ten years later, and that operating performance both within one year of the offering and during the first ten years of public trading is unrelated to ownership of officers.

785 citations


Journal Article•DOI•
TL;DR: In this paper, the authors find reliable evidence that both book-to-market and dividend yield track time-series variation in expected real stock returns over the period 1926 91 and the subperiod 1941-1991.

766 citations


Journal Article•DOI•
TL;DR: In this paper, the authors examine how separation of ownership and control evolves as a result of an Initial Public Offering (IPO) and how the underpricing of the issue can be used by insiders to retain control.

Journal Article•DOI•
TL;DR: In this article, the authors examined the magnitude and determinants of transactions costs for a sample of institutional traders with different investment styles and found that trading costs are economically significant and increase with trade difficulty.

Journal Article•DOI•
TL;DR: In this paper, the authors examine the effects of bank M&As on small business lending using data on over 6000 recent U.S. bank mergers and find that the static effects of consolidation are mostly offset by the reactions of other banks, and in some cases also by refocusing efforts of the consolidating institutions themselves.

Journal Article•DOI•
TL;DR: In this paper, the authors examine the relation between managers' financial interests and firm performance and find no evidence that larger stockholdings lead to better performance, however, it may not be necessary for top executives to own stock to be residual claimants.

Journal Article•DOI•
TL;DR: In this paper, share price responses to the formation of 345 strategic alliances spanning 1983-1992 are investigated, and the average stock price response is positive, with no evidence of wealth transfers.

Journal Article•DOI•
Stacey R. Kole1•
TL;DR: In this paper, a cross-sectional examination of share-holder-authorized compensation arrangements is presented, showing that the terms of stock option and restricted stock plans, and the flexibility afforded the board of directions in negotiating with managers, vary systematically with the characteristics of the assets being managed.

Journal Article•DOI•
TL;DR: In this paper, the authors investigate the sensitivity of loan growth at bank holding companies and examine the extent to which holding companies establish an internal capital market to allocate capital among their various subsidiaries.

Journal Article•DOI•
TL;DR: This article examined the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies and found no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth.

Journal Article•DOI•
TL;DR: In this paper, the authors examined the value effects of improvements in the trading mechanism of the Tel Aviv Stock Exchange and found positive liquidity externalities across related stocks, and improved in the value discovery process due to the improved trading method.

Journal Article•DOI•
TL;DR: In this article, the authors test a prediction from the corporate focus literature that cross-industry spinoff distributions, where the continuing and spunoff units belong to different two-digit Standard Industry Classification codes, create more value than own industry spinoffs.

Journal Article•DOI•
TL;DR: In this paper, the authors investigate whether inside managers are added to corporate boards for efficiency or entrenchment purposes, and find that the expected benefits of an inside manager's expert knowledge clearly out weigh the expected costs of managerial entrenchments only when managerial and outside shareholders interests are closely aligned.

Journal Article•DOI•
TL;DR: In this article, the authors propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns and conclude that institutional investors correlated trading patterns contribute to axial correlation.

Journal Article•DOI•
TL;DR: In this paper, the authors developed a model of the optimal investment strategy for a firm confronted with a sequence of technological innovations and used this model to predict actual firm policy, which yields four distinct investment strategies.

Journal Article•DOI•
TL;DR: In this paper, the authors propose a new empirical approach to the determination of manager style, which is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles.

Journal Article•DOI•
TL;DR: In this article, the authors compare turnover in unacquired U.S. industrial companies during an active takeover market (1984-1988) and a less active market (1989-1993) and conclude that turnover and performance are related only in the active takeover period.

Journal Article•DOI•
TL;DR: In this article, the restructuring of 92 Japanese corporations that experienced a substantial decline in operating performance between 1986 and 1990 is described. But Japanese firms are less likely to downsize, and layoffs affect a smaller fraction of their workforce.

Journal Article•DOI•
TL;DR: In this paper, the authors used a new database to describe the composition and compensation of boards of directors of U.S. open-end mutual funds and examined the relation between board structure and the fees charged by a fund to its shareholders.

Journal Article•DOI•
TL;DR: In this article, the authors examined the methods commonly employed to estimate Tobin's q ratios and found them to be flawed in design and arbitrary in implementation, and proposed an alternative procedure which is both simpler and more accurate.

Journal Article•DOI•
TL;DR: In this article, the authors examine execution costs for trades in NYSE issues completed on the NYSE, the NASD dealer market, and the regional stock exchanges during 1994 and find that effective bid-ask spreads are only slightly smaller at the New York Stock Exchange than off-the-shelf market makers.

Journal Article•DOI•
TL;DR: This article derived approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate, and then conduct Monte Carlo experiments based on a bias-adjusted firstorder auto-regression process for short rate and for a more realistic bias adjusted VAR-GARCH model incorporating the short rates and three term spreads.