-
作者：Arikan, Asli M.; Stulz, Rene M.
作者单位：University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Agency theories predict that older firms make value-destroying acquisitions to benefit managers. Neoclassical theories predict instead that such firms make wealth-increasing acquisitions to exploit underutilized assets. Using IPO cohorts, we establish that, while younger firms make more related and diversifying acquisitions than mature firms, the acquisition rate follows a U-shape over firms' life cycle. Consistent with neoclassical theories, we show that acquiring firms have better performanc...
-
作者：Badoer, Dominique C.; James, Christopher M.
作者单位：University of Missouri System; University of Missouri Columbia; State University System of Florida; University of Florida
摘要：A significant proportion of the debt issued by investment-grade firms has maturities greater than 20 years. In this paper we provide evidence that gap-filling behavior is an important determinant of these very long-term issues. Using data on individual corporate debt issues between 1987 and 2009, we find that gap-filling behavior is more prominent in the very long end of the maturity spectrum where the required risk capital makes arbitrage costly. In addition, changes in the supply of long-ter...
-
作者：Battalio, Robert; Corwin, Shane A.; Jennings, Robert
作者单位：University of Notre Dame; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers' best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order...
-
作者：Drechsler, Itamar; Drechsel, Thomas; Marques-Ibanez, David; Schnabl, Philipp
作者单位：National Bureau of Economic Research; European Central Bank; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
摘要：We analyze lender of last resort (LOLR) lending during the European sovereign debt crisis. Using a novel data set on all central bank lending and collateral, we show that weakly capitalized banks took out more LOLR loans and used riskier collateral than strongly capitalized banks. We also find that weakly capitalized banks used LOLR loans to buy risky assets such as distressed sovereign debt. This resulted in a reallocation of risky assets from strongly to weakly capitalized banks. Our finding...
-
作者：Berg, Tobias; Saunders, Anthony; Steffen, Sascha
作者单位：University of Bonn; New York University; University of Mannheim; Leibniz Association; Zentrum fur Europaische Wirtschaftsforschung (ZEW)
摘要：More than 80% of U.S. syndicated loans contain at least one fee type and contracts typically specify a menu of spreads and fee types. We test the predictions of existing theories on the main purposes of fees and provide supporting evidence that: (1) fees are used to price options embedded in loan contracts such as the drawdown option for credit lines and the cancellation option in term loans, and (2) fees are used to screen borrowers based on the likelihood of exercising these options. We also...
-
作者：Muravyev, Dmitriy
作者单位：Boston College
摘要：I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory risk component is larger. Using the full panel of daily option returns, I find that option order imbalances attributable to inventory risk have five times larger impact on option prices than previously th...
-
作者：Savor, Pavel; Wilson, Mungo
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Oxford; University of Oxford
摘要：Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm-specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement pr...
-
作者：Albuquerque, Rui; Eichenbaum, Martin; Luo, Victor Xi; Rebelo, Sergio
作者单位：Boston College; Center for Economic & Policy Research (CEPR); Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key ...
-
作者：Bolton, Patrick; Santos, Tano; Scheinkman, Jose A.
作者单位：Columbia University; National Bureau of Economic Research; Princeton University
摘要：We propose a model in which investors may choose to acquire costly information that identifies good assets and purchase these assets in opaque (OTC) markets. Uninformed investors access an asset pool that has been cream-skimmed by informed investors. When the quality composition of assets for sale is fixed, there is too much information acquisition and the financial industry extracts excessive rents. In the presence of moral hazard in origination, the social value of information varies inverse...
-
作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; City St Georges, University of London; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
摘要：We study the information in order flows in the world's largest over-the-counter market, the foreign exchange (FX) market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of FX end-users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a la...
