The literature has documented a positive announcement effect for privately placed seasoned equity issues. The two widely cited explanations are Wruck's (1989) ownership concentration changes hypothesis and Hertzel and Smith's (1993) asymmetric information mitigation hypothesis. However, these...

In contrast to value-enhancing equity placements, rights offerings create appalling announcement effects (-7.6 percent) in Hong Kong. This phenomenon is the reverse of that observed in the U.S., deepening the rights-offer puzzle. We argue that control-diluting placements may enable intruders to...

We propose a U-shaped relation between the relative weight of bank loans in total corporate debt and the firm's market-to-book ratio-a proxy for expected growth-which reconciles most existing theories. Using data on Japanese firms for 1983-97, we do find that, in the lower range of growth...

Although the Fama-French three-factor model captures most CAPM anomalies, it still fails to explain return momentum. This paper shows that the incorporation of conditioning information into an asset-pricing model is one way to capture return momentum. Results from the conditional regression with...

In implementing a variance-minimizing cross or delta hedge, the regression coefficient is often estimated using data from the past, but one could also use estimators that are suggested by the random-walk or unbiased-expectations models and require just a single price. We compare the performances...

We develop an adverse-selection model of equity financing that incorporates private benefits of control into managers/controlling shareholders' self-interested objective function. In the model, it is incentive compatible for managers/controlling shareholders to take even bad projects if their...

We test how keiretsu membership affects the Fama and French (1999) required IRR on value (or cost of capital) and the IRR on cost (or return on investment), 1974-95, of all listed non-financials in Japan. Rather than computing point estimates from aggregate data, we employ non-linear...

The stochastic duration based on the Vasicek and CIR models is theoretically superior to Macaulay's duration. However, empirical tests on bond immunization performance have so far failed to show its superiority. Within the one-factor framework, in this paper I propose to use a longer zero-curve...

This paper studies options on the minimum/maximum of two average prices. We provide a closed-form pricing formula for the option with geometric averaging starting at any time before maturity. We show overwhelming numerical evidence that the variance reduction technique with the help of the above...