This paper examines the behavior of institutional traders. We use unique data on the equity transactions of 21 institutions of differing investment styles which provide a detailed account of the anatomy of the trading process. The data include information on the number of days needed to fill an order and types of order placement strategies employed. We analyze the motivations for trade, the determinants of trade duration, and the choice of order type. The analysis provides some support for the predictions made by theoretical models, but suggests that these models fail to capture important dimensions of trading behavior.

We examine valuation effects on firms in the same industry as entities that are the subject of carve-outs (initial public offerings of subsidiary equity), spin-offs, and asset sell-offs. Share price reactions for rivals are negative in response to equity carve-outs. In comparison, rival stock returns are positive for spin-offs and normal for asset sell-offs, restructuring actions that do not entail a public offering of equity. Our results suggest managers conduct equity carve-outs when outside investors are likely to price the new shares higher than managers' perceived value.

Fully modified least squares (FM-OLS) regression was originally designed in work by Phillips and Hansen (1990) to provide optimal estimates of cointegrating regressions. The method modifies least squares to account for serial correlation effects and for the endogeneity in the regressors that results from the existence of a cointegrating relationship. This paper provides a general framework which makes it possible to study the asymptotic behavior of FM-OLS in models with full rank I(1) regressors, models with I(1) and I(0) regressors, models with unit roots, and models with only stationary regressors. This framework enables us to consider the use of FM regression in the context of vector autoregressions (VAR's) with some unit roots and some cointegrating relations. The resulting FM-VAR regressions are shown to have some interesting properties. For example, when there is some cointegration in the system, FM-VAR estimation has a limit theory that is normal for all of the stationary coefficients and mixed normal for all of the nonstationary coefficients. Thus, there are no unit root limit distributions even in the case of the unit root coefficient submatrix (i.e., I n-r , for an n-dimensional VAR with r cointegrating vectors). Moreover, optimal estimation of the cointegration space is attained in FM-VAR regression without prior knowledge of the number of unit roots in the system, without pretesting to determine the dimension of the cointegration space and without the use of restricted regression techniques like reduced rank regression. The paper also develops an asymptotic theory for inference based on FM-OLS and FM-VAR regression. The limit theory for Wald tests that rely on the FM estimator is shown to involve a linear combination of independent chi-squared variates. This limit distribution is bounded above by the conventional chi-squared distribution with degrees of freedom equal to the number of restrictions. Thus, conventional critical values can be used to construct valid (but conservative) asymptotic tests in quite general FM time series regressions. This theory applies to causality testing in VAR's and is therefore potentially useful in empirical applications.

We propose and implement a new test of the dividend signaling hypothesis. Dividend signaling models generally imply that an increase in dividend taxation should increase the share price response per dollar of dividends (or "bang-for-the-buck"). Many other dividend-preference theories have the opposite implication. An analysis of recent variations in tax policy reveals a strong positive relation between dividend tax rates and the bang-for-the-buck. Additional evidence on the relation between the bang-for-the-buck and other variables that are related to the marginal cost of paying dividends provides further support for dividend signaling.

A limitation of Audretsch's 1991 study of new-firm survival was the level of aggregation to industries. This precluded linking establishment-specific characteristics, such as organizational structure and size, to post-entry performance. The purpose of this paper is to relate the post-entry performance of individual establishments not only to their technological and market structure environments, but also to establishment-specific characteristics. We do this by estimating a hazard duration function for more than 12, 000 individual establishments in U.S. manufacturing started in 1976 by tracking their subsequent performance over a ten-year period. We conclude that establishment-specific characteristics, which Audretsch was not able to capture in his earlier study, play an important role in shaping the exposure to risk confronting new establishments.

In this article, we provide evidence concerning the extent to which managers are to blame when their firms become bankrupt. We study a sample of firms that file for Chapter 11 and determine the actions taken by the firms' managers during the three‐year period before the filing. We compare the sample with a control sample of firms that performed better. We suggest that the comparison provides evidence on the way managers act as their firms sink into financial trouble and whether financial distress is the result of incompetence or excessively self‐serving managerial decisions or due to factors outside of management's control. We find that managers of the Chapter 11 firms and the control firms make very similar decisions and that, on average, neither set of managers is perceived to be taking value‐reducing actions. These results do not change when we control for managerial turnover or managerial ownership. We also find that when managers are replaced in firms that eventually file for Chapter 11 protection, the market does not respond positively, regardless of whether the new managers are from inside or outside the firm. Our findings suggest that when managers are blamed for financial distress, they are serving as scapegoats.

In this paper, we provide evidence concerning the extent to which managers are to blame when their firms become bankrupt. We study a sample of firms that end up in severe financial distress to determine the actions taken by firms' managers as their financial positions worsen. We compare the sample of firms that eventually experience server financial distress (fling for Chapter 11 bankruptcy protection) with a control sample of firms that performed better. We suggest that the comparison provides evidence on the way managers act as their firms sink into financial trouble and the extent to which financial distress is the result of incompetence or excessively self-serving managerial decisions or due to factors outside of management's control. We find that managers of Chapter 11 firms and the control forms make very similar decisions and that, on average, neither set of managers are perceived to be taking value- reducing actions. We also find that when managers are replaced in the firms that eventually file for Chapter 11 protection, the market does not respond positively. These findings support the idea that financial distress is due to conditions outside of the control of managers or that the managers are serving as scapegoats.