Journal of Financial Economics
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Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1997. Vol. 45. No. 1. P. 35-60.
This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths, spreads are smaller and decline only slightly with exchange listing. The large spreads observed when Nasdaq market makers avoid odd-eighths cannot be explained by security-specific characteristics. Instead, the results support the conclusion that the avoidance of odd-eighth quotes is used as a coordination device among Nasdaq market makers to maintain supra-competitive bid-ask spreads.
Detecting long-run abnormal stock returns: The empirical power and specification of test statistics [статья]
Опубликовано на портале: 06-10-2004Brad M. Barber, John D. Lyon Journal of Financial Economics. 1997. Vol. 43. No. 3. P. 341-372.
We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (empirical rejection rates exceed theoretical rejection rates) and identify three reasons for this misspecification. We correct for the three identified sources of misspecification by matching sample firms to control firms of similar sizes and book-to-market ratios. This control firm approach yields well-specified test statistics in virtually all sampling situations considered.
Опубликовано на портале: 03-10-2003Claudio Loderer, Kenneth Martin Journal of Financial Economics. 1997. Vol. 45. No. 2. P. 223-255.
We examine the relation between managers' financial interests and firm performance. Since the relation could go in either direction, we cast the analysis in a simultaneous equations framework. For firms involved in acquisitions, we find that acquisition performance and Tobin's Q ratios affect the size of managers' stockholdings. We find no evidence, however, that larger stockholdings lead to better performance. Perhaps management is effectively disciplined by competition in product and labor markets. Alternatively, it may not be necessary for top executives to own stock to be residual claimants. And finally, higher ownership might multiply the opportunities to appropriate corporate wealth.
Опубликовано на портале: 03-10-2003David J. Denis, Diane K. Denis, Atulya Sarin Journal of Financial Economics. 1997. Vol. 45. No. 2. P. 193-221.
We report that ownership structure significantly affects the likelihood of a change in top executive. Controlling for stock price performance, the probability of top executive turnover is negatively related to the ownership stake of officers and directors and positively related to the presence of an outside blockholder. In addition, the likelihood of a change in top executive is significantly less sensitive to stock price performance in firms with higher managerial ownership. Finally, we document an unusually high rate of corporate control activity in the twelve months preceding top executive turnover. We conclude that ownership structure has an important influence on internal monitoring efforts and that this influence stems in part from the effect of ownership structure on external control threats.
Опубликовано на портале: 03-12-2007Patricia M. Dechow, Richard G. Sloan Journal of Financial Economics. 1997. Vol. 43. No. 1. P. 3-27.
This paper examines the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer, and Vishny (1994), we find no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth. Building on Bauman and Dowen (1988) and La Porta (1995), however, we find that stock prices appear to naively reflect analysts' biased forecasts of future earnings growth. Further, we find that naive reliance on analysts' forecasts of future earnings growth can explain over half of the higher returns to contrarian investment strategies