摘要:

AbstractThis paper show that corporate insiders earn abnormal returns by adjusting their own firm's stock trading to future market movements. Insider trading activity in bear markets is characterized by decreases in insider sales and increases in purchases, consistent with the view that those markets are followed by improved economic conditions. Conversely, insider sales increase and purchases decrease in bull markets, consistent with the view that inferior market conditions tend to follow those periods.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00830.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractThe purpose of this study is to empirically examine the pricing of Nikkei put warrants, which are long‐term put options written on the Nikkei 225 index. Using warrants traded on the Toronto Stock Exchange, this study performs various tests on the pricing models proposed by Dravid, Richardson, and Sun [11], Reiner [24], and Wei [31]. It is found that the models tend to overprice the warrants. The overpricing, possibly caused by the omission of the credit risk and the Extraordinary Event Clause, is found to be positively related to the degree to which the warrants are in the money, the volatility level, and the trading volum

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00831.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper examines the effect of investment constraints on performance measurement of institutionally managed funds. Assuming that these funds have a power utility function and using an optimal portfolio choice model, one can show that the Security Market Line remains a valid benchmark for these constrained funds under the perfect market assumption. Relaxing the perfect market assumption, one can prove that a non‐stationary constrained investment policy will bias traditional measures of timing ability differently across managers types. Finally, the magnitude of this bias is illustrated with a numerical exampl

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00832.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper examines the return of the original class of common stock around the announcement of the creation of a second class of stock. As in previous studies, this one finds a generally ambiguous market reaction on the first public announcement. However, this paper offers new evidence that both the voting rights and the compensation for loss of voting rights are important determinants of the market's reaction. Specifically, it demonstrates that a second class stock issue that contains no compensation for the lost voting rights results in negative returns. When the original stockholders are compensated for lost voting rights, they experience positive abnormal returns.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00833.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractThis study demonstrates that under conditions of information asymmetry, shareholders earn positive returns around the shelf registration date of straight debt. The results provide evidence to support Miller and Rock's conclusion that new expected financing by firms can result in positive returns to shareholders and Blazenko's contention that positive returns around the announcement date of straight debt issuance may be found by studying firms with asymmetric information. Firms with reported research and development expenses are assumed to have a higher level of asymmetric information and a greater chance of requiring new outside financing. Research and development expense intensity and abnormal earnings in future periods are found to be significant in a cross‐sectional regression explaining abnormal returns for days surrounding the announcement perio

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00834.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractThe separation of ownership from control in large corporations can cause agency problems. This study analyzes the effects of the dispersion of corporate ownership on the compensation of the top executives of Fortune 500 companies. The effects are estimated across the executive hierarchy and for different components of the compensation package in contrast to more limited previous studies. The results indicate that there is a significant agency effect on executive pay, though the magnitude is small relative to company size. The effects are greatest for the most liquid form of remuneration, salaries, and are nonuniform across executive categories, with the strongest effect found for the Chairman of the Board.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00835.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractRitter [14] documents that best efforts IPOs are, on average, more costly to issue than firm commitment IPOs. This paper explains the phenomenon. Two component costs of going public are analyzed: underpricing and underwriter compensation. The model, based on a disagreement about firm value between underwriters and issuers, shows that underpricing is higher for firms using best efforts contracts as these firms, on average, are more speculative. Underwriter compensation is hypothesized to be higher for firms using best efforts contracts because of the high costs of market making for these firms in the aftermarket and the high distribution costs associated with the high risk of a failed offer. Empirical tests strongly support the propositions.

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00836.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

AbstractAgency theory posits that the dividend mechanism provides an incentive for managers to reduce the costs associated with the principal/agent relationship. Distributing resources in the form of cash dividends forces managers to seek outside capital, thus causing them to reduce agency costs as they subject themselves to the scrutiny of the capital marketplace. Under this scenario the optimum level of dividend payout is that which minimizes the agency cost structure relative to the cost of raising needed funds. A test of this theory employing time‐series cross‐sectional analysis and more direct measures of the agency cost structure shows that these tenets of agency theory may be valid. Managers do appear to adjust the dividend payout in response to the agency cost/transaction cost structure, both through time as well as across fi

ISSN:0732-8516    

DOI:10.1111/j.1540-6288.1995.tb00837.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY