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Western Finance Association meeting, and the 1999 American Finance Association meeting, for comments on earlier drafts. We also wish to thank Matti Ilmanen for superb research assistance, along with CIBER, the UCLA Academic Senate, and the Academy of Finland for "nancial support. We are especially indebted to Henri BergstroK m, Mirja LamminpaK aK , Tapio(More)
We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. In addition, we analyze how bank mergers influence borrower relationship termination behavior and relate changes in the propensity to terminate to borrower abnormal returns. We find that borrowers lose, on average, about 0.8 percent in equity(More)
We study community enforcement in a private information, random matching setting, where buyers privately \network" for information and sellers have a short term incentive to supply low quality. We also show that high quality can be sold in a sequential equilibrium with population M even when each buyer periodically interacts with only N ¤ (M) players where(More)
In this paper we offer an explanation for the empirical anomaly that most raiders do not acquire the maximum possible toehold prior to announcing a takeover bid. By endogenously modeling the target value following an unsuccessful takeover we demonstrate that a raider may optimally choose to acquire a small toehold even if the toehold acquisition does not(More)
We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in published academic studies. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from zero. The average post-publication decay, which we attribute to both statistical bias and price pressure from(More)
In this paper, we study short term return reversals in the stock market. In our model, each period new investors arrive to the stock market with stochastic endowments, trade and then exit the market. The market makers retain a continuous presence in the stock market and carry over in time investors' order imbalances. The price impact from investors' order(More)
We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 30 basis points on the(More)
and madijk@rsm.nl. We are grateful to an anonymous referee and Bill Schwert (the editor) for insightful feedback and encouragement. We also comments. This work was carried out on the National e-infrastructure with the support of SURF Foundation. We thank SURFsara, and in particular Lykle Voort, for technical support on computing and storage, and(More)