References Flashcards
All the references for CM
Blanchard and Watson 1982
Explanation for bubbles - grow at a rational profit maximising rate before collapsing back at 1-q rate. excludes negative bubbles or multiple bubbles
Van norden and Shaller 1999
periodic partially collapsing bubbles with a time varying probability of collapse - mathematical models explain investors are maximising and shirt selling - they are periodic. In extreme cases they are irrational
Kindleberger 2012
Not periodic supports irrationality, factors such as bank credit, financial innovation and displacement are linked to bubble formation which are random events. Minsky model
Aragon 2007
Hedge funds are highly illiquid, alpha is a liquidity premium - reward fr being highly illiqyid
Sadka 2010
Santa effect - higher returns in December significantly higher than other months, only for liquid funds.
Hasanhodzic and lo 2007
liquidity, back fill bias, survivorship bias and tail events, changing factor loadings
Anderson et al 2016
hedge funds change their factor loadings as they are adaptable not transparent so can change their portfolio composition during bad times to reduce exposure to elements of risk.
roell 1996
why firms go public - equity capital cashing in, liquidity and lower cost of capital
ritter 1987
why they don’t - expensive Costa if admin, agency and stewardship
ibbotson et al 1994
the costs of underwriting are 18% money left on the table
chemmanur and Fulghieri 1999
disperse ownership after growth - venture capitalist is undiversified, higher info costs of selling privately so go public to access broader market and it’s benefits to a large company
lucas and macdonald 1990
market timing theories - asymmetric info is why firms go public as they can sell their stock over priced, price run ups have been empirically observed. Issues follow a market rise.
Pagano et al 1998
higher book value to market value me likely to go public - shows heavy investment then go public because this puts their price up
ibbotson 1975 and Ritter and Welch 2002
underpricing costs shown by a positive 11% gain in first day. 2-6 months is efficient. R and W show 70% IPOS up on first day
Hanley 1993
Bookbuilder theory - assumes demand is understated so underwriters don’t fully adjust their prices upwards to keep price on low side to stop investor clients from understating demand
Ritter and Welch 2002
Equally weighted portdolio of IPOS 1990-2001 significantly underperformed the market. Value weighted portfolio did much better in this period.
Miller 1977
reasons for underperformance - heterogenous expectations causes the price to deviate as the market cannot decide (volatility) and short selling constraints stop IPOS from being arbitrage to find the mean price as they have no historic price data.
jensen and ruback
tender 30 4
merger 20 0
loughran and vijh 1997
acquirers 18.5
acquirers unfriendly cash 62
acquirers using stock -24
all acquirers -6.5
Harford 2005
economic regulatory technological
shell and texeco
example of merger industry concolidation
Hayward and hawbrick 1997
recent share performance board vigilance media praise ceo ceo self importance subjective
schleifer and vishny 2003
stock market misvaluations and managers act rationally towards it
Rhodes et al
merger activity correlated with high valuations
ipod at 26 but closed at 45- underpricing
vonage
easier to apply reassure on public companies - vonage failed to take ipo orders from customers but still charged them
