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作者：Jenkinson, Tim; Jones, Howard; Suntheim, Felix
作者单位：University of Oxford
摘要：Using data from all of the leading international investment banks on 220 initial public offerings (IPOs) raising $160 billion between January 2010 and May 2015, we test the determinants of IPO allocations. We compare investors' IPO allocations with proxies for their information production during bookbuilding and the broking (and other) revenues they generate for bookrunners. We find evidence consistent with information revelation theories. We also find strong support for the existence of a qui...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
摘要：We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform, while the average manager'...
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作者：Dimmock, Stephen G.; Gerken, William C.; Graham, Nathaniel P.
作者单位：Nanyang Technological University; University of Kentucky; Texas A&M University System; Texas A&M International University
摘要：Using a novel data set of U.S. financial advisors that includes individuals' employment histories and misconduct records, we show that coworkers influence an individual's propensity to commit financial misconduct. We identify coworkers' effect on misconduct using changes in coworkers caused by mergers of financial advisory firms. The tests include merger-firm fixed effects to exploit the variation in changes to coworkers across branches of the same firm. The probability of an advisor committin...
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作者：Bianchi, Milo
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We match administrative panel data on portfolio choices with survey measures of financial literacy. When we control for portfolio risk, the most literate households experience 0.4% higher annual returns than the least literate households. Distinct portfolio dynamics are the key determinant of this difference. More literate households hold riskier positions when expected returns are higher, they more actively rebalance their portfolios and do so in a way that holds their risk exposure relativel...
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作者：Seo, Sang Byung; Wachter, Jessica A.
作者单位：University of Houston System; University of Houston; University of Pennsylvania
摘要：We investigate whether a model with time-varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of previously stable firms default, and thus are deep out-of-the money put options on the overall economy. When calibrated to consumption data and to the equity premium, the model explains the spreads on C...
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作者：Ang, Andrew; Chen, Bingxu; Goetzmann, William N.; Phalippou, Ludovic
作者单位：Yale University; National Bureau of Economic Research; University of Oxford
摘要：We introduce a methodology to estimate the historical time series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners and is robust to sparse data. We decompose private equity returns from 1994 to 2015 into a component due to traded factors and a time-varying private equity premium not spanned by publicly traded factors. We find cyclicality in private equity returns that differs ac...
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作者：Du, Wenxin; Tepper, Alexander; Verdelhan, Adrien
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - New York; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find that deviations from the covered interest rate parity (CIP) condition imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk or transaction costs. They are particularly strong for forward contracts that appear on banks' balance sheets at the end of the quarter, pointing to a causal effect of banking regulation on asset price...
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作者：Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah
摘要：Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short-selling risk affects prices among the cross-section of stocks. Stocks with more short-selling risk have lower returns, less price efficiency, and less short selling.
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作者：Jiang, Wei; Li, Tao; Mei, Danqing
作者单位：Columbia University; State University System of Florida; University of Florida
摘要：In an activist risk arbitrage, a shareholder attempts to improve terms of an announced M&A through public campaigns. Activists target deals with low premiums and those susceptible to managerial conflicts of interest, including going-private deals and deals in which CEOs receive outsized payments. Activist arbitrageurs are associated with a significant decrease in the probability that targets will be sold to the announced bidders, and an increase in the premium paid, both ex post among survivin...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Dinc, Serdar
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University System of Ohio; Ohio State University; National Bureau of Economic Research; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：The U.S. House of Representatives Financial Services Committee considered many important banking reforms in 2009 to 2010. We show that, during this period, foreclosure starts on delinquent mortgages were delayed in the districts of committee members although there was no difference in delinquency rates between committee and noncommittee districts. In these areas, banks delayed the foreclosure starts by 0.5 months (relative to the 12-month average). The estimated cost of delay to lenders is an ...
