Search results: 50.
Equity Carve‐Outs and Managerial Discretion
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.65022 | Cited by: 129
Jeffrey W. Allen, John J. McConnell
This study proposes a managerial discretion hypothesis of equity carve‐outs in which managers value control over assets and are reluctant to carve out subsidiaries. Thus, managers undertake carve‐outs only when the firm is capital constrained. Consistent with this hypothesis, firms that carve out subsidiaries exhibit poor operating performance and high leverage prior to carve‐outs. Also consistent with this hypothesis, in carve‐outs wherein funds raised are used to pay down debt, the average excess stock return of + 6.63 percent is significantly greater than the average excess stock return of −0.01 percent for carve‐outs wherein funds are retained for investment purposes.
Corporate Equity Ownership, Strategic Alliances, and Product Market Relationships
Published: 12/2000, Volume: 55, Issue: 6 | DOI: 10.1111/0022-1082.00307 | Cited by: 481
Jeffrey W. Allen, Gordon M. Phillips
This paper examines long‐term block ownership by corporations and performance changes in firms with corporate block owners. We also examine potential reasons for corporate ownership including benefits in product market relationships, alleviation of financing constraints, and board monitoring by corporate owners. We find the largest significant increases in targets' stock prices, investment, and operating profitability when ownership is combined with alliances, joint ventures, and other product market relationships between purchasing and target firms, especially in industries with high research and development. Our findings are consistent with the conclusion that block ownership by corporations has significant benefits in product market relationships.
Selection Editor's Introduction
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00258 | Cited by: 0
Franklin Allen
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02163.x | Cited by: 0
Beth Allen
THE ORIGIN AND IMPACT OF 12 U.S.C. 84: THE EVOLUTION OF THE 10 PER CENT LENDING LIMIT GOVERNING NATIONAL BANKS*
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00612.x | Cited by: 0
Allen Rappaport
Do Financial Institutions Matter?
Published: 8/2001, Volume: 56, Issue: 4 | DOI: 10.1111/0022-1082.00361 | Cited by: 184
Franklin Allen
In standard asset pricing theory, investors are assumed to invest directly in financial markets. The role of financial institutions is ignored. The focus in corporate finance is on agency problems. How do you ensure that managers act in shareholders' interests? There is an inconsistency in assuming that when you give your money to a financial institution there is no agency problem, but when you give it to a firm there is. It is argued that both areas need to take proper account of the role of financial institutions and markets. Appropriate concepts for analyzing particular situations should be used.
The Prevention of Default
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00439.x | Cited by: 12
FRANKLIN ALLEN
A THEORETICAL AND EMPIRICAL STUDY OF FIXED INVESTMENT IN THE UNITED STATES STEEL INDUSTRY, 1947–1965*
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00888.x | Cited by: 0
Allen L. Sinai
RATIONAL DECISION‐MAKING IN PORTFOLIO MANAGEMENT*
Published: 9/1959, Volume: 14, Issue: 3 | DOI: 10.1111/j.1540-6261.1959.tb00132.x | Cited by: 1
Henry Allen Latané
THE MONEY DEMAND AND SUPPLY DETERMINANTS OF STOCK PRICES*
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01334.x | Cited by: 0
Neal Allen Pepper
TERMS ON CONVENTIONAL MORTGAGE LOANS ON EXISTING HOUSES
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04298.x | Cited by: 7
Allen F. Jung
MONEY AND GROWTH IN OPEN ECONOMIES: A NEOCLASSICAL APPROACH*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01760.x | Cited by: 0
Polly Reynolds Allen
A STUDY OF THE DELINEATION OF GEOGRAPHIC MARKETS FOR BUSINESS LOANS*
Published: 6/1971, Volume: 26, Issue: 3 | DOI: 10.1111/j.1540-6261.1971.tb01736.x | Cited by: 0
Robert Allen Eisenbeis
INTERBANK DEPOSITS AND EXCESS RESERVES*
Published: 3/1956, Volume: 11, Issue: 1 | DOI: 10.1111/j.1540-6261.1956.tb00687.x | Cited by: 0
William R. Allen
A BORROWER‐ORIENTED MODEL OF U.S.‐CANADIAN LONG‐TERM FIXED‐INTEREST CAPITAL FLOWS*
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00048.x | Cited by: 0
Allen B. Frankel
INDIVIDUAL RISK PREFERENCE IN PORTFOLIO SELECTION
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04835.x | Cited by: 5
Henry Allen Latané
Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market
Published: 6/2001, Volume: 56, Issue: 3 | DOI: 10.1111/0022-1082.00348 | Cited by: 185
Allen M. Poteshman
This paper investigates options market reaction to changes in the instantaneous variance of the underlying asset. There are three main findings. First, options market investors underreact to individual daily changes in instantaneous variance. Second, these same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance. Third, they tend to underreact (overreact) to current daily changes in instantaneous variance that are preceded mostly by daily changes of the opposite (same) sign. The third finding can reconcile the first two and is also consistent with well‐established cognitive biases.
The Effects of Mission‐Oriented Public R & D Spending on Private Industry
Published: 6/1981, Volume: 36, Issue: 3 | DOI: 10.1111/j.1540-6261.1981.tb00648.x | Cited by: 16
JEFFREY CARMICHAEL
This paper addresses the question of how government mission‐oriented R & D spending affects private R & D spending and thereby the total investment in technology. The problem is approached within the context of the capital asset pricing model in which the firm views investment projects in terms of their risk and return characteristics. The firm is assumed to produce jointly an established product and an R & D‐intensive product, where the latter generates an additional output of technology, or spillover, that is used as an input into the former. By investing in R & D the firm alters its risk and return characteristics in two ways: through the expected profits from the sale of the R & D‐intensive good; and through the expected profits from the spillover. In this model, government mission‐oriented R & D contracting affects the firm by enabling it to separate to some extent these two sources of risk and return. The main implication of the analysis is that while some public crowding out of private R & D is likely, this is almost certain to be incomplete. The empirical evidence from the U.S. transport industry supports the model and suggests that each dollar of government funding adds around 92 cents to total R & D spending; crowding out private investment by as little as eight percent.
Dynamic Competition in Negotiated Price Markets
Published: 12/13/2024, Volume: 80, Issue: 1 | DOI: 10.1111/jofi.13408 | Cited by: 7
JASON ALLEN, SHAOTENG LI
Using contract‐level data for the Canadian mortgage market, this paper provides evidence of an “invest‐and‐harvest” pricing pattern. We build a dynamic model of price negotiation with search and switching frictions to capture key market features. We estimate the model and use it to investigate the effects of market frictions and the resulting dynamic competition on borrowers' and banks' payoffs. We show that dynamic pricing and the presence of search and switching costs have important implications for public policies.
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.
Persuading Investors: A Video‐Based Study
Published: 8/14/2025, Volume: 80, Issue: 5 | DOI: 10.1111/jofi.13471 | Cited by: 30
ALLEN HU, SONG MA
Persuasive communication functions through not only content but also delivery—facial expression, tone of voice, and diction. This paper examines the persuasiveness of delivery in startup pitches. Using machine learning algorithms to process full pitch videos, we quantify persuasion in visual, vocal, and verbal dimensions. We find that positive (i.e., passionate, warm) pitches increase funding probability. However, conditional on funding, startups with higher levels of pitch positivity underperform. Women are more heavily judged on delivery when evaluated in single‐gender teams, but they are neglected when copitching in mixed‐gender teams. Using an experiment, we show that persuasion delivery works mainly through leading investors to form inaccurate beliefs.
Optimal Financial Crises
Published: 8/1998, Volume: 53, Issue: 4 | DOI: 10.1111/0022-1082.00052 | Cited by: 669
Franklin Allen, Douglas Gale
Empirical evidence suggests that banking panics are related to the business cycle and are not simply the result of “sunspots.” Panics occur when depositors perceive that the returns on bank assets are going to be unusually low. We develop a simple model of this. In this setting, bank runs can be first‐best efficient: they allow efficient risk sharing between early and late withdrawing depositors and they allow banks to hold efficient portfolios. However, if costly runs or markets for risky assets are introduced, central bank intervention of the right kind can lead to a Pareto improvement in welfare.
Thirty Years of Shareholder Rights and Firm Value
Published: 5/8/2014, Volume: 69, Issue: 3 | DOI: 10.1111/jofi.12138 | Cited by: 193
MARTIJN CREMERS, ALLEN FERRELL
This paper introduces a new hand‐collected data set that tracks restrictions on shareholder rights at approximately 1,000 firms from 1978 to 1989. In conjunction with the 1990 to 2006 IRRC data, we track shareholder rights over 30 years. Most governance changes occurred during the 1980s. We find a robustly negative association between restrictions on shareholder rights (using
G‐Index
as a proxy) and Tobin's
Q
. The negative association only appears after judicial approval of antitakeover defenses in the 1985 landmark Delaware Supreme Court decision of
Moran v. Household
. This decision was an unanticipated exogenous shock that increased the importance of shareholder rights.
A NOTE ON EARNINGS RISK AND THE COEFFICIENT OF VARIATION: COMMENT
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00877.x | Cited by: 4
Jeffrey E. Jarrett
DISCUSSION
Published: 5/1973, Volume: 28, Issue: 2 | DOI: 10.1111/j.1540-6261.1973.tb01784.x | Cited by: 0
Jeffrey E. Jarrett
Taxes and the Capital Structure of Partnerships, REIT's, and Related Entities
Published: 3/1991, Volume: 46, Issue: 1 | DOI: 10.1111/j.1540-6261.1991.tb03757.x | Cited by: 41
JEFFREY F. JAFFE
Academic finance has explored the effect of taxes on corporate capital structure in great detail. By contrast, the effect of taxes on the capital structure of partnerships, REIT's, and related entities has received little attention. The present paper shows that, under general conditions, the values of partnerships and REIT's are invariant to leverage, contradicting the sparse literature in the area. A proof similar to that of Modigliani‐Miller is employed. The effect of real world imperfections is also examined.
ON THE USE OF PUBLIC INFORMATION IN FINANCIAL MARKETS
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01853.x | Cited by: 14
Jeffrey F. Jaffe
A NOTE ON TAXATION AND INVESTMENT
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03430.x | Cited by: 11
Jeffrey F. Jaffe
Relative Risk in Municipal and Corporate Debt
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02274.x | Cited by: 25
JEFFREY L. SKELTON
Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options
Published: 2/2003, Volume: 58, Issue: 1 | DOI: 10.1111/1540-6261.00518 | Cited by: 173
Allen M. Poteshman, Vitaly Serbin
This paper analyzes the early exercise of exchange‐traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of fullservice brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is triggered for discount and full‐service customers by the underlying stock price attaining its highest level over the past year and by high returns on the underlying stock.
Share Issuance and Cross‐sectional Returns
Published: 4/2008, Volume: 63, Issue: 2 | DOI: 10.1111/j.1540-6261.2008.01335.x | Cited by: 530
JEFFREY PONTIFF, ARTEMIZA WOODGATE
Post‐1970, share issuance exhibits a strong cross‐sectional ability to predict stock returns. This predictive ability is more statistically significant than the individual predictive ability of size, book‐to‐market, or momentum. Our finding is related to research that finds that long‐run returns are associated with share repurchase announcements, seasoned equity offerings, and stock mergers, although our results remain strong even after exclusion of the data used in these studies. We estimate the issuance relation pre‐1970 and find no statistically significant predictive ability for most holding periods.
A Catering Theory of Dividends
Published: 6/2004, Volume: 59, Issue: 3 | DOI: 10.1111/j.1540-6261.2004.00658.x | Cited by: 951
Malcolm Baker, Jeffrey Wurgler
We propose that the decision to pay dividends is driven by prevailing investor demand for dividend payers. Managers cater to investors by paying dividends when investors put a stock price premium on payers, and by not paying when investors prefer nonpayers. To test this prediction, we construct four stock price‐based measures of investor demand for dividend payers. By each measure, nonpayers tend to initiate dividends when demand is high. By some measures, payers tend to omit dividends when demand is low. Further analysis confirms that these results are better explained by catering than other theories of dividends.
The Equity Share in New Issues and Aggregate Stock Returns
Published: 10/2000, Volume: 55, Issue: 5 | DOI: 10.1111/0022-1082.00285 | Cited by: 818
Malcolm Baker, Jeffrey Wurgler
The share of equity issues in total new equity and debt issues is a strong predictor of U.S. stock market returns between 1928 and 1997. In particular, firms issue relatively more equity than debt just before periods of low market returns. The equity share in new issues has stable predictive power in both halves of the sample period and after controlling for other known predictors. We do not find support for efficient market explanations of the results. Instead, the fact that the equity share sometimes predicts significantly negative market returns suggests inefficiency and that firms time the market component of their returns when issuing securities.
Do Taxes Affect Corporate Financing Decisions?
Published: 12/1990, Volume: 45, Issue: 5 | DOI: 10.1111/j.1540-6261.1990.tb03724.x | Cited by: 673
JEFFREY K. MacKIE‐MASON
This paper provides clear evidence of substantial tax effects on the choice between issuing debt or equity; most studies fail to find significant effects. The relationship between tax shields and debt policy is clarified. Other papers miss the fact that most tax shields have a negligible effect on the marginal tax rate for most firms. New predictions are strongly supported by an empirical analysis; the method is to study incremental financing decisions using discrete choice analysis. Previous researchers examined debt/equity ratios, but tests based on incremental decisions should have greater power.
The Week‐End Effect in Common Stock Returns: The International Evidence
Published: 6/1985, Volume: 40, Issue: 2 | DOI: 10.1111/j.1540-6261.1985.tb04966.x | Cited by: 280
JEFFREY JAFFE, RANDOLPH WESTERFIELD
This paper examines the daily stock market returns for four foreign countries. We find a so‐called “week‐end effect” in each country. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday.The remainder of the paper answers four questions. Are seasonal patterns in foreign stock markets independent of those previously reported in the U.S.? Do Japan and Australia exhibit a seasonal one day out of phase due to different time zones? Do settlement procedures across countries bias week‐end effects? Does the seasonal pattern in foreign exchange offset the week‐end effect in stocks for Americans investing overseas?
Market Timing and Capital Structure
Published: 2/2002, Volume: 57, Issue: 1 | DOI: 10.1111/1540-6261.00414 | Cited by: 2473
Malcolm Baker, Jeffrey Wurgler
It is well known that firms are more likely to issue equity when their market values are high, relative to book and past market values, and to repurchase equity when their market values are low. We document that the resulting effects on capital structure are very persistent. As a consequence, current capital structure is strongly related to historical market values. The results suggest the theory that capital structure is the cumulative outcome of past attempts to time the equity market.
Investor Sentiment and the Cross‐Section of Stock Returns
Published: 8/2006, Volume: 61, Issue: 4 | DOI: 10.1111/j.1540-6261.2006.00885.x | Cited by: 5380
MALCOLM BAKER, JEFFREY WURGLER
We study how investor sentiment affects the cross‐section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning‐of‐period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non‐dividend‐paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these categories of stock earn relatively low subsequent returns.
Transactions Costs and Holding Periods for Common Stocks
Published: 3/1997, Volume: 52, Issue: 1 | DOI: 10.1111/j.1540-6261.1997.tb03817.x | Cited by: 117
ALLEN B. ATKINS, EDWARD A. DYL
Amihud and Mendelson (1986) and Constantinides (1986) provide a theoretical basis for the proposition that assets with higher transactions costs are held by investors for longer holding periods, and vice versa. We examine average holding periods and bid‐ask spreads for Nasdaq stocks from 1983 through 1991 and for New York Stock Exchange (NYSE) stocks from 1975 through 1989 and find strong evidence that, as predicted, the length of investors' holding periods is related to bid‐ask spreads. We also find that the relation between holding periods and bid‐ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller.
A Theory of Dividends Based on Tax Clienteles
Published: 12/2000, Volume: 55, Issue: 6 | DOI: 10.1111/0022-1082.00298 | Cited by: 621
Franklin Allen, Antonio E. Bernardo, Ivo Welch
This paper explains why some firms prefer to pay dividends rather than repurchase shares. When institutional investors are relatively less taxed than individual investors, dividends induce “ownership clientele” effects. Firms paying dividends attract relatively more institutions, which have a relative advantage in detecting high firm quality and in ensuring firms are well managed. The theory is consistent with some documented regularities, specifically both the presence and stickiness of dividends, and offers novel empirical implications, e.g., a prediction that it is the tax difference between institutions and retail investors that determines dividend payments, not the absolute tax payments.
How Are Derivatives Used? Evidence from the Mutual Fund Industry
Published: 4/1999, Volume: 54, Issue: 2 | DOI: 10.1111/0022-1082.00126 | Cited by: 322
Jennifer Lynch Koski, Jeffrey Pontiff
We investigate investment managers' use of derivatives by comparing return distributions for equity mutual funds that use and do not use derivatives. In contrast to public perception, derivative users have risk exposure and return performance that are similar to nonusers. We also analyze changes in fund risk in response to prior fund performance. Changes in risk are substantially less severe for funds using derivatives, consistent with the explanation that managers use derivatives to reduce the impact of performance on risk. We provide new evidence regarding the implications of cash flows and managerial gaming for the relation between performance and risk.
THE VALUE OF THE FIRM UNDER REGULATION
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01915.x | Cited by: 6
Jeffrey F. Jaffe, Gershon Mandelker
Does Academic Research Destroy Stock Return Predictability?
Published: 1/14/2016, Volume: 71, Issue: 1 | DOI: 10.1111/jofi.12365 | Cited by: 1378
R. DAVID MCLEAN, JEFFREY PONTIFF
We study the out‐of‐sample and post‐publication return predictability of 97 variables shown to predict cross‐sectional stock returns. Portfolio returns are 26% lower out‐of‐sample and 58% lower post‐publication. The out‐of‐sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58%–26%) lower return from publication‐informed trading. Post‐publication declines are greater for predictors with higher in‐sample returns, and returns are higher for portfolios concentrated in stocks with high idiosyncratic risk and low liquidity. Predictor portfolios exhibit post‐publication increases in correlations with other published‐predictor portfolios. Our findings suggest that investors learn about mispricing from academic publications.
Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts
Published: 2/2003, Volume: 58, Issue: 1 | DOI: 10.1111/1540-6261.00526 | Cited by: 1135
Harrison Hong, Jeffrey D. Kubik
We examine security analysts' career concerns by relating their earnings forecasts to job separations. Relatively accurate forecasters are more likely to experience favorable career outcomes like moving up to a high‐status brokerage house. Controlling for accuracy, analysts who are optimistic relative to the consensus are more likely to experience favorable job separations. For analysts who cover stocks underwritten by their houses, job separations depend less on accuracy and more on optimism. Job separations were less sensitive to accuracy and more sensitive to optimism during the recent stock market mania. Brokerage houses apparently reward optimistic analysts who promote stocks.
Volatility Information Trading in the Option Market
Published: 5/9/2008, Volume: 63, Issue: 3 | DOI: 10.1111/j.1540-6261.2008.01352.x | Cited by: 234
SOPHIE X. NI, JUN PAN, ALLEN M. POTESHMAN
This paper investigates informed trading on stock volatility in the option market. We construct non‐market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices is positive. More importantly, the price impact increases by 40% as informational asymmetry about stock volatility intensifies in the days leading up to earnings announcements and diminishes to its normal level soon after the volatility uncertainty is resolved.
Catering through Nominal Share Prices
Published: 11/25/2009, Volume: 64, Issue: 6 | DOI: 10.1111/j.1540-6261.2009.01511.x | Cited by: 192
MALCOLM BAKER, ROBIN GREENWOOD, JEFFREY WURGLER
We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low‐price firms, managers respond by supplying shares at lower price levels, and vice versa. We confirm these predictions in time‐series and firm‐level data using several measures of time‐varying catering incentives. More generally, the results provide unusually clean evidence that catering influences corporate decisions, because the process of targeting nominal share prices is not well explained by alternative theories.
New Evidence on the Market for Directors: Board Membership and Pennsylvania Senate Bill 1310
Published: 2/2003, Volume: 58, Issue: 1 | DOI: 10.1111/1540-6261.00522 | Cited by: 161
Jeffrey L. Coles, Chun‐Keung Hoi
We examine the relation between a board' decision to reject antitakeover provisions of Pennsylvania Senate Bill 1310 and subsequent labor market opportunities of those same board members. Compared to directors retaining all provisions, directors rejecting all protective provisions of SB1310 are three times as likely to gain additional external directorships and are 30 percent more likely to retain their internal slot on the board of that same Pennsylvania company. For external board seats, the results are driven by nonexecutive directors who are not members of the management team; for internal board seats, the results are driven by executive directors.
Future Investment Opportunities and the Value of the Call Provision on a Bond: Comment
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03523.x | Cited by: 6
VAROUJ A. AIVAZIAN, JEFFREY L. CALLEN
Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?
Published: 8/2006, Volume: 61, Issue: 4 | DOI: 10.1111/j.1540-6261.2006.00887.x | Cited by: 61
MALCOLM BAKER, RYAN TALIAFERRO, JEFFREY WURGLER
Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time‐series version of Schultz's (2003, Journal of Finance 58, 483–517) pseudo market‐timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.
Miller's Irrelevance Mechanism: A Note
Published: 3/1987, Volume: 42, Issue: 1 | DOI: 10.1111/j.1540-6261.1987.tb02559.x | Cited by: 5
VAROUJ A. AIVAZIAN, JEFFREY L. CALLEN