Search results: 50.
Rational Expectations and the Measurement of a Stock's Elasticity of Demand
Published: 9/1984, Volume: 39, Issue: 4 | DOI: 10.1111/j.1540-6261.1984.tb03896.x | Cited by: 10
FRANKLIN ALLEN, ANDREW POSTLEWAITE
Scholes [1] considered the effect of secondary sales of large blocks of stock on the price of the stock. However, he only looked at price changes occurring just before and just after the sale took place. It is argued here, using a simple model, that if traders have rational expectations they may anticipate the sale, and prices could reflect this possibility long before it actually occurs. To determine the full effect, it may therefore be necessary to consider the price path many months, or even years, before the sale.
Limitation of Liability and the Ownership Structure of the Firm
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04724.x | Cited by: 113
ANDREW WINTON
This paper models the optimal choice of shareholder liability. If investors want managers to be monitored, the monitors should be residual claimants (shareholders), and monitoring and firm value will increase as shareholders commit more of their wealth to the firm. When liquidating wealth is costly, contingent liability dominates direct investment as a wealth commitment device; however, if wealth is unobservable, under this regime only relatively poor investors will hold shares in equilibrium. This may be prevented at a cost by verifying shareholder wealth and restricting stock transfers. Comparative statics on various liability regimes are used to motivate actual contractual arrangements.
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters
Published: 10/1999, Volume: 54, Issue: 5 | DOI: 10.1111/0022-1082.00165 | Cited by: 65
Andrew Metrick
This paper analyzes the equity‐portfolio recommendations made by investment newsletters. Overall, there is no significant evidence of superior stock‐picking ability for this sample of 153 newsletters. Moreover, there is no evidence of abnormal short‐run performance persistence (“hot hands”). The comprehensive and bias‐free transactions database also allows for insights into the precision of performance evaluation. Using a measure of precision defined in the paper, a transactions‐based approach yields a median improvement of 10 percent over a corresponding factor model. This compares favorably with the precision gained by adding factors to the CAPM.
Time‐Consistent Individuals, Time‐Inconsistent Households
Published: 10/16/2024, Volume: 79, Issue: 6 | DOI: 10.1111/jofi.13392 | Cited by: 6
ANDREW HERTZBERG
I present a model of consumption and savings for a multiperson household in which members are imperfectly altruistic, derive utility from both private and shared public goods, and share wealth. I show that, despite having standard exponential time preferences, the household is time‐inconsistent: Members save too little and overspend on private consumption goods. The household remains time‐inconsistent even when members save separately, because the possibility of voluntary transfers or joint contribution to the public good preserves the dynamic commons problem. The household will choose to share wealth when the risk‐sharing benefits outweigh the utility cost of overconsumption.
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03685.x | Cited by: 0
ANDREW H. CHEN
Money Market Funds and Shareholder Dilution
Published: 9/1984, Volume: 39, Issue: 4 | DOI: 10.1111/j.1540-6261.1984.tb03889.x | Cited by: 24
ANDREW B. LYON
This paper analyzes the effects of a share valuation technique, amortized cost valuation, on institutional money market funds (MMFs) and their investors. The possibility of arbitrage between securities priced at market value and amortized MMFs is investigated. It is found that significant dilution has taken place as a result of this valuation technique. Losses per share have been about 10 basis points per year. Evidence that arbitrageurs will take advantage of a misvaluation of the MMF and cause losses to other shareholders may suggest that some investors should reconsider the desirability of amortized MMFs for their investments.
THE BLACK BANKS: AN ASSESSMENT OF PERFORMANCE AND PROSPECTS
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00905.x | Cited by: 34
Andrew F. Brimmer
MULTI‐NATIONAL BANKS AND THE MANAGEMENT OF MONETARY POLICY IN THE UNITED STATES
Published: 5/1973, Volume: 28, Issue: 2 | DOI: 10.1111/j.1540-6261.1973.tb01788.x | Cited by: 2
Andrew F. Brimmer
DIRECT INVESTMENT AND CORPORATE ADJUSTMENT TECHNIQUES UNDER THE VOLUNTARY U.S. BALANCE OF PAYMENTS PROGRAM
Published: 5/1966, Volume: 21, Issue: 2 | DOI: 10.1111/j.1540-6261.1966.tb00226.x | Cited by: 2
Andrew F. Brimmer
SOME STUDIES IN MONETARY POLICY, INTEREST RATES, AND THE INVESTMENT BEHAVIOR OF LIFE INSURANCE COMPANIES*
Published: 12/1958, Volume: 13, Issue: 4 | DOI: 10.1111/j.1540-6261.1958.tb04224.x | Cited by: 0
Andrew Felton Brimmer
RECENT DEVELOPMENTS IN THE COST OF DEBT CAPITAL
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02027.x | Cited by: 21
Andrew H. Chen
Is the Real Interest Rate Stable?
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03958.x | Cited by: 292
ANDREW K. ROSE
Univariate time‐series models for consumption, nominal interest rates, and prices each appear to have a single unit root before 1979. If nominal interest rates have a unit root but inflation and inflation forecast errors do not, then ex ante real interest rates have a unit root and are therefore nonstationary. This deduction does not depend on the properties of the unobservable ex post observed real return, which combines the ex ante real interest rate and inflation‐forecasting errors. The unit‐root characteristic of real interest rates is puzzling from at least two perspectives: many models imply that the growth rate of consumption and the real interest rate should have similar time‐series characteristics; also, nominal returns for other assets (e.g., stocks and bonds) appear to have different times‐series properties from those of treasury bills.
Trade Generation, Reputation, and Sell‐Side Analysts
Published: 3/2/2005, Volume: 60, Issue: 2 | DOI: 10.1111/j.1540-6261.2005.00743.x | Cited by: 596
ANDREW R. JACKSON
This paper examines the trade‐generation and reputation‐building incentives facing sell‐side analysts. Using a unique data set I demonstrate that optimistic analysts generate more trade for their brokerage firms, as do high reputation analysts. I also find that accurate analysts generate higher reputations. The analyst therefore faces a conflict between telling the truth to build her reputation versus misleading investors via optimistic forecasts to generate short‐term increases in trading commissions. In equilibrium I show forecast optimism can exist, even when investment‐banking affiliations are removed. The conclusions may have important policy implications given recent changes in the institutional structure of the brokerage industry.
THE FIRM'S OPTIMAL FINANCIAL DECISIONS: AN INTEGRATION OF CORPORATE FINANCIAL THEORY UNDER CERTAINTY*
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03148.x | Cited by: 0
Andrew J. Senchack
CREDIT CONDITIONS AND PRICE DETERMINATION IN THE CORPORATE BOND MARKET
Published: 9/1960, Volume: 15, Issue: 3 | DOI: 10.1111/j.1540-6261.1960.tb01600.x | Cited by: 8
Andrew F. Brimmer
The Limits of p‐Hacking: Some Thought Experiments
Published: 5/17/2021, Volume: 76, Issue: 5 | DOI: 10.1111/jofi.13036 | Cited by: 55
ANDREW Y. CHEN
Suppose that the 300+ published asset pricing factors are all spurious. How much p‐hacking is required to produce these factors? If 10,000 researchers generate eight factors every day, it takes hundreds of years. This is because dozens of published t‐statistics exceed 6.0, while the corresponding p‐value is infinitesimal, implying an astronomical amount of p‐hacking in a general model. More structure implies that p‐hacking cannot address 100 published t‐statistics that exceed 4.0, as they require an implausibly nonlinear preference for t‐statistics or even more p‐hacking. These results imply that mispricing, risk, and/or frictions have a key role in stock returns.
Optimal Debt and Profitability in the Trade‐Off Theory
Published: 12/14/2017, Volume: 73, Issue: 1 | DOI: 10.1111/jofi.12590 | Cited by: 79
ANDREW B. ABEL
I develop a dynamic model of leverage with tax deductible interest and an endogenous cost of default. The interest rate includes a premium to compensate lenders for expected losses in default. A borrowing constraint is generated by lenders' unwillingness to lend an amount that would trigger immediate default. When the borrowing constraint is not binding, the trade‐off theory of debt holds: optimal debt equates the marginal interest tax shield and the marginal expected cost of default. Contrary to conventional interpretation, but consistent with empirical findings, increases in current or future profitability reduce the optimal leverage ratio when the trade‐off theory holds.
REPLY
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03030.x | Cited by: 0
Andrew F. Brimmer
Index Options: The Early Evidence
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04998.x | Cited by: 52
JEREMY EVNINE, ANDREW RUDD
Index options became the most important traded contracts during their first year of existence. Two contracts, namely those on the S&P100 and the Major Markets Index, have a trading volume which typically surpasses the trading volume in all individual stock option contracts. In this paper, we examine the pricing of the options on the S&P100 and the Major Markets Index. Using intra‐day prices, we find the options frequently violate the arbitrage boundary, put/call parity, and are substantially mispriced relative to theoretical values. Our results suggest that tests of option pricing models may be more difficult than previously realized due to nonsynchronous prices, even using “real‐time” data from the exchanges.
The Value of the Tax Treatment of Original‐Issue Deep‐Discount Bonds: A Note
Published: 3/1984, Volume: 39, Issue: 1 | DOI: 10.1111/j.1540-6261.1984.tb03873.x | Cited by: 0
MARCELLE ARAK, ANDREW SILVER
A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00867.x | Cited by: 15
Andrew H. Y. Chen
The “Market Model” In Investment Management
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02192.x | Cited by: 3
ANDREW RUDD, BARR ROSENBERG
Ownership Structure, Speculation, and Shareholder Intervention
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.45483 | Cited by: 552
Charles Kahn, Andrew Winton
An institution holding shares in a firm can use information about the firm both for trading (“speculation”) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervention. We examine key factors that affect the intervention decision, the usefulness of “short‐swing” provisions and restricted shares in encouraging institutional intervention, and implications for ownership structure across different firms.
How to Discount Cashflows with Time‐Varying Expected Returns
Published: 12/2004, Volume: 59, Issue: 6 | DOI: 10.1111/j.1540-6261.2004.00715.x | Cited by: 117
ANDREW ANG, JUN LIU
While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time‐varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk‐free rates, predictable risk premiums, and conditional betas in the context of a conditional CAPM. Practical valuation is accomplished with an analytic term structure of discount rates, with different discount rates applied to expected cashflows at different horizons. Using constant discount rates can produce large misvaluations, which, in portfolio data, are mostly driven at short horizons by market risk premiums and at long horizons by time variation in risk‐free rates and factor loadings.
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies
Published: 9/10/2013, Volume: 68, Issue: 5 | DOI: 10.1111/jofi.12057 | Cited by: 645
ANDREW ELLUL, VIJAY YERRAMILLI
We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these results suggest that a strong and independent risk management function can curtail tail risk exposures at banks.
Covenants and Collateral as Incentives to Monitor
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04052.x | Cited by: 856
RAGHURAM RAJAN, ANDREW WINTON
Although monitoring borrowers is thought to be a major function of financial institutions, the presence of other claimants reduces an institutional lender's incentives to do this. Thus loan contracts must be structured to enhance the lender's incentives to monitor. Covenants make a loan's effective maturity, and the ability to collateralize makes a loan's effective priority, contingent on monitoring by the lender. Thus both covenants and collateral can be motivated as contractual devices that increase a lender's incentive to monitor. These results are consistent with a number of stylized facts about the use of covenants and collateral in institutional lending.
Factor‐Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03575.x | Cited by: 18
BARR ROSENBERG, ANDREW RUDD
Mortgage Redlining: Race, Risk, and Demand
Published: 3/1994, Volume: 49, Issue: 1 | DOI: 10.1111/j.1540-6261.1994.tb04421.x | Cited by: 78
ANDREW HOLMES, PAUL HORVITZ
Charges that geographical redlining is widely practiced by mortgage lenders and is associated with racial discrimination have received much attention. However, empirical research in this area has yet to document a convincing answer to the question of whether redlining even exists. Much of the previous research in this area has suffered from failure to account for variations in risk, and/or failure to adequately control for geographical differences in demand. This study addresses these problems in an effort to determine whether the disparity in the flow of mortgage credit can be explained by differences in risk and demand.
Moral Hazard and Optimal Subsidiary Structure for Financial Institutions
Published: 12/2004, Volume: 59, Issue: 6 | DOI: 10.1111/j.1540-6261.2004.00708.x | Cited by: 88
CHARLES KAHN, ANDREW WINTON
Banks and related financial institutions often have two separate subsidiaries that make loans of similar type but differing risk, for example, a bank and a finance company, or a “good bank/bad bank” structure. Such “bipartite” structures may prevent risk shifting, in which banks misuse their flexibility in choosing and monitoring loans to exploit their debt holders. By “insulating” safer loans from riskier loans, a bipartite structure reduces risk‐shifting incentives in the safer subsidiary. Bipartite structures are more likely to dominate unitary structures as the downside from riskier loans is higher or as expected profits from the efficient loan mix are lower.
Incomplete‐Market Equilibria Solved Recursively on an Event Tree
Published: 9/12/2012, Volume: 67, Issue: 5 | DOI: 10.1111/j.1540-6261.2012.01775.x | Cited by: 38
BERNARD DUMAS, ANDREW LYASOFF
Because of non‐traded human capital, real‐world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide‐open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous‐agents incomplete‐market equilibrium prices of primitive securities. Extant methods work forward and backward, requiring a guess of the way investors forecast the future. In our method, the future is part of the current solution of each backward time step.
A DYNAMIC PROGRAMMING APPROACH TO THE VALUATION OF WARRANTS*
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01708.x | Cited by: 0
Andrew Houng‐Yhi Chen
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
Published: 3/7/2013, Volume: 68, Issue: 2 | DOI: 10.1111/jofi.12008 | Cited by: 169
ANDREW J. PATTON, TARUN RAMADORAI
We propose a new method to model hedge fund risk exposures using relatively high‐frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within‐month variation is more important for hedge funds than for mutual funds. We consider different within‐month functional forms, and uncover patterns such as day‐of‐the‐month variation in risk exposures. We also find that changes in portfolio allocations, rather than in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation.
Financial Protectionism? First Evidence
Published: 9/12/2014, Volume: 69, Issue: 5 | DOI: 10.1111/jofi.12184 | Cited by: 48
ANDREW K. ROSE, TOMASZ WIELADEK
We examine large public interventions in the financial sector, such as bank nationalizations and search for “financial protectionism,” a decrease in the quantity and/or an increase in the price of loans that banks from one country make to borrowers resident in another. We use a bank‐level panel data set spanning all U.K.‐resident banks between 1997Q3 and 2010Q1. After nationalization, foreign banks reduced their fraction of British loans by about 11% and increased their effective interest rates by about 70 basis points. In contrast, nationalized British banks did not significantly change either their loan mix or effective interest rates.
Optimal Hedging in Futures Markets with Multiple Delivery Specifications
Published: 9/1987, Volume: 42, Issue: 4 | DOI: 10.1111/j.1540-6261.1987.tb03924.x | Cited by: 50
AVRAHAM KAMARA, ANDREW F. SIEGEL
Nearly all futures contracts allow delivery of any of several qualities of the underlying asset. Consequently, the price of the futures contract is associated more with the price of the expected cheapest deliverable variety than with the price of the par‐delivery variety. The delivery specifications introduce a delivery risk for every hedger in the market. We derive the optimal hedging strategies in these markets. Their hedging effectiveness is evaluated for wheat futures contracts in Chicago. Hedging optimally would have significantly reduced the variance of the rates of return on hedges while yielding similar mean returns.
Implementing Option Pricing Models When Asset Returns Are Predictable
Published: 3/1995, Volume: 50, Issue: 1 | DOI: 10.1111/j.1540-6261.1995.tb05168.x | Cited by: 159
ANDREW W. LO, JIANG WANG
The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely‐sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black‐Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longer maturity options. We propose several continuous‐time linear diffusion processes that can capture broader forms of predictability, and provide numerical examples that illustrate their importance for pricing options.
An Economic Analysis of Interest Rate Swaps
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04527.x | Cited by: 71
JAMES BICKSLER, ANDREW H. CHEN
Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps. Alternative uses of and the appropriate valuation procedure for interest rate swaps are described.
Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
Published: 12/2006, Volume: 61, Issue: 6 | DOI: 10.1111/j.1540-6261.2006.01005.x | Cited by: 87
ANDREW W. LO, JIANG WANG
We derive an intertemporal asset pricing model and explore its implications for trading volume and asset returns. We show that investors trade in only two portfolios: the market portfolio, and a hedging portfolio that is used to hedge the risk of changing market conditions. We empirically identify the hedging portfolio using weekly volume and returns data for U.S. stocks, and then test two of its properties implied by the theory: Its return should be an additional risk factor in explaining the cross section of asset returns, and should also be the best predictor of future market returns.
Pricing New Corporate Bond Issues: An Analysis of Issue Cost and Seasoning Effects
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04525.x | Cited by: 36
W. K. H. FUNG, ANDREW RUDD
The pricing of new corporate bond issues is examined, with particular emphasis on the seasoning effect and the cost of underwriting. Considerable attention is paid to some special features of the corporate bond market, including the use of actual trader quotes so as to accurately measure holding period returns. Our results suggest that the cost of issuing corporate bonds is less than previously reported.
Joint Effects of Interest Rate Deregulation and Capital Requirements on Optimal Bank Portfolio Adjustments
Published: 6/1985, Volume: 40, Issue: 2 | DOI: 10.1111/j.1540-6261.1985.tb04973.x | Cited by: 27
CHUN H. LAM, ANDREW H. CHEN
The 1980 Depository Institution Deregulation and Monetary Control Act (DIDMCA) mandates that Regulation Q be phased out by 1986. With deregulation of interest rate ceilings, the cost of raising capital funds for commercial banks would become more volatile and more closely related with interest rates in the money and capital markets. Thus, value‐maximizing bank managers would need to be concerned not only with the internal risk, but also with the external risk in bank portfolio management decisions. Based upon the cash flow version of the capital asset pricing model, this paper analyzes the joint impact of interest rate deregulation and capital requirements on the portfolio behavior of a banking firm.
Explaining Forward Exchange Bias…Intraday
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04061.x | Cited by: 3
RICHARD K. LYONS, ANDREW K. ROSE
Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of fixed‐rate crisis, since it suggests an immunity to the central bank's interest rate defense. In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs. That is, currencies under attack should typically appreciate intraday. Using data on intraday exchange rate changes within the European Monetary System, we find this prediction is borne out.
The Integration of Insurance and Taxes in Corporate Pension Strategy
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05022.x | Cited by: 33
JAMES L. BICKSLER, ANDREW H. CHEN
This paper examines the implications of the joint effects of insurance and taxes for the optimal corporate pension strategy. It is shown that neither the “mini‐max” nor the “maxi‐min” strategy advocated by previous authors is necessarily best in corporate pension management. In the presence of capital market imperfections, the analysis via a single‐period contingent‐claims model indicates that optimal corporate pension strategy in both asset‐allocation and funding decisions can be a noncorner interior solution.
The Efficient Use of Conditioning Information in Portfolios
Published: 6/2001, Volume: 56, Issue: 3 | DOI: 10.1111/0022-1082.00351 | Cited by: 151
Wayne E. Ferson, Andrew F. Siegel
We study the properties of unconditional minimum‐variance portfolios in the presence of conditioning information. Such portfolios attain the smallest variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing.
Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02713.x | Cited by: 410
G. ANDREW KAROLYI, RENÉ M. STULZ
This article explores the fundamental factors that affect cross‐country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE‐traded American Depository Receipts (ADRs) and a matched‐sample portfolio of U. S. stocks. We find that U. S. macroeconomic announcements, shocks to the Yen/Dollar foreign exchange rate and Treasury bill returns, and industry effects have no measurable influence on U.S. and Japanese return correlations. However, large shocks to broad‐based market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations.
WEALTH ACCUMULATION OF BLACK AND WHITE FAMILIES: THE EMPIRICAL EVIDENCE
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00904.x | Cited by: 1
Andrew F. Brimmer, Henry S. Terrell
Regulatory Arbitrage and Cross‐Border Bank Acquisitions
Published: 11/12/2015, Volume: 70, Issue: 6 | DOI: 10.1111/jofi.12262 | Cited by: 229
G. ANDREW KAROLYI, ALVARO G. TABOADA
We study how differences in bank regulation influence cross‐border bank acquisition flows and share price reactions to cross‐border deal announcements. Using a sample of 7,297 domestic and 916 majority cross‐border deals announced between 1995 and 2012, we find evidence of a form of “regulatory arbitrage” whereby acquisition flows involve acquirers from countries with stronger regulations than their targets. Target and aggregate abnormal returns around deal announcements are positive and larger when acquirers come from more restrictive bank regulatory environments. We interpret this evidence as more consistent with a benign form of regulatory arbitrage than a potentially destructive one.
A Note on Optimal Credit and Pricing Policy under Uncertainty: A Contingent‐Claims Approach
Published: 12/1986, Volume: 41, Issue: 5 | DOI: 10.1111/j.1540-6261.1986.tb02536.x | Cited by: 2
CHUN H. LAM, ANDREW H. CHEN
Reputation Effects in Trading on the New York Stock Exchange
Published: 5/8/2007, Volume: 62, Issue: 3 | DOI: 10.1111/j.1540-6261.2007.01235.x | Cited by: 56
ROBERT BATTALIO, ANDREW ELLUL, ROBERT JENNINGS
Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post‐move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.
Performance Incentives within Firms: The Effect of Managerial Responsibility
Published: 7/15/2003, Volume: 58, Issue: 4 | DOI: 10.1111/1540-6261.00579 | Cited by: 205
Rajesh K. Aggarwal, Andrew A. Samwick
We show that top management incentives vary by responsibility. For oversight executives, pay‐performance incentives are $1.22 per thousand dollar increase in shareholder wealth higher than for divisional executives. For CEOs, incentives are $5.65 higher than for divisional executives. Incentives for the median top management team are substantial at $32.32. CEOs account for 42 to 58 percent of aggregate team incentives. For divisional executives, the pay–divisional performance sensitivity is positive and increasing in the precision of divisional performance and the pay–firm performance sensitivity is decreasing in the precision of divisional performance. These results support principal–agent models with multiple signals of managerial effort.
An Analysis of Divestiture Effects Resulting from Deregulation
Published: 12/1986, Volume: 41, Issue: 5 | DOI: 10.1111/j.1540-6261.1986.tb02527.x | Cited by: 15
ANDREW H. CHEN, LARRY J. MERVILLE
Capital market data were used to examine the divestiture effects pertaining to deregulation, the dropping of antitrust charges, and the reversing of the co‐insurance effect associated with the recent breakup of AT&T. The empirical results of the study indicate that significant economic events took place during the breakup process, which led to transfers of wealth from various parties to the securityholders of AT&T. The results also indicate that the buffering effect of regulation was reduced as AT&T went through the total deregulation process. This is in accordance with Peltzman's prediction.