Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation

Journal of Finance

Volumn 59, Issue 1, 2004, Pages 65-105

  Durnev, Art ^a   Morck, Randall ^b   Yeung, Bernard ^c  

^a UNIVERSITY OF MIAMI   (United States)

^b UNIVERSITY OF ALBERTA   (Canada)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1642331944     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2004.00627.x     Document Type: Review

References (30)

1. Amemiya, T., 1985, Advanced Econometrics (Harvard University Press, Cambridge, MA).
2. Amihud, Yakov, and Baruch Lev, 1981, Risk reductions as a managerial motive for conglomerate mergers, Bell Journal of Economics 12, 605-617.
3. Black, Fisher, 1986, Noise, Journal of Finance 41, 529-543.
4. Bushman, R., J. Piotroski, and A. Smith, 2002, What determines corporate transparency? Working paper, University of North Carolina.
5. Collins, Daniel W., S. P. Kothari, and Judy Rayburn, 1987, Firm size and the information content of prices with respect to earnings, Journal of Accounting and Economics 9, 111-138.
6. De Long, J. Bradford, Andrei Shleifer, Lawrence Summers, and Robert J. H. Waldmann 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
7. Durnev, Artyom, Randall Morck, Bernard Yeung, and Paul Zarowin, 2001, Does greater firm-specific return variation mean more or less informed stock pricing? Working paper, New York University.
8. French, Kenneth R., and Richard Roll, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26.
9. Grossman, Sanford, and Joseph Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
10. Hadi, A. S., 1992, Identifying multiple outliers in multivariate data, Journal of the Royal Statistical Society Series B 54, 761-771.
11. Hadi, A. S., 1994, A modification of a method for the detection of outliers in multivariate samples, Journal of the Royal Statistical Society Series B 56, 393-396.
12. Jensen, M., 1986, Agency costs of free cash flows, corporate finance and takeovers, American Economic Review 76, 323-329.
13. Khorana, Ajay, and Marc Zenner, 1998, Executive compensation of large acquirers in the 1980s, Journal of Corporate Finance 4, 209-240.
14. Lewellen, Wilbur G., 1971, A pure financial rationale for the conglomerate merger, Journal of Finance 26, 521-545.
15. Matsusaka, John G., and Vikram Nanda, 1994, Internal capital markets and corporate refocusing, Journal of Financial Intermediation 11, 176-211.
16. May Don O., 1995, Do managerial motives influence firm risk reduction strategies? Journal of Finance 50, 1291-1308.
17. Morck, Randall, Andrei Shleifer, and Robert W. Vishny, 1990, Do managerial objectives drive bad acquisitions? Journal of Finance 45, 31-48.
18. Morck, Randall, Bernard Yeung, and Wayne Yu, 2000, The information content of stock markets: Why do emerging markets have synchronous stock price movements?, Journal of Financial Economics 58, 215-238.
19. Myers, Stewart C., 1977, Determinants of corporate borrowing, Journal of Financial Economics 5, 147-175.
20. Rajan, Raghuram, Henri Servaes, and Luigi Zingales, 2000, The cost of diversity: The diversification discount and inefficient investment, Journal of Finance 55, 35-80.
21. Roll, Richard, 1986, The hubris hypothesis of corporate takeovers, Journal of Business 59, 197-216.
22. 2, Journal of Finance 43, 541-566.
23. Scharfstein, David S., and Jeremy C. Stein, 2000, The dark side of internal capital markets: Divisional rent-seeking and inefficient investment, Journal of Finance 55, 2537-2564.
24. Shiller, Robert, 1989, Comovements in stock prices and comovements in dividends, Journal of Finance 44, 719-30.
25. Shleifer, Andrei, 2000, Inefficient Markets: An Introduction to Behavioral Finance - Clarendon Lectures in Economics (Oxford University Press, London, U.K.).
26. Shleifer, Andrei, and Robert W. Vishny, 1997, The limits of arbitrage, Journal of Finance 52, 35-55.
27. Stein, Jeremy C., 1997, Internal capital markets and the competition for corporate resources, Journal of Finance 52, 111-133.
28. Theil, Henri, 1971, Principles of Econometrics (Wiley, New York).
29. Tobin, James, 1982, On the efficiency of the financial system, Lloyd's Banking Review 153, 1-15.
30. Wurgler, Jeffrey, 2000, Financial markets and the allocation of capital, Journal of Financial Economics 58, 187-214.