Journal of Financial Economics
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Опубликовано на портале: 02-10-2003
Michael 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: 06-10-2004
Brad 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: 03-10-2003
Claudio 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: 03-10-2003
David 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: 03-12-2007
Patricia 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

