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作者：Kolasinski, Adam C.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of Washington; University of Washington Seattle; University of North Carolina; University of North Carolina Chapel Hill; Washington University (WUSTL)
摘要：Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasin...
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作者：Glaser, Markus; Lopez-de-Silanes, Florencio; Sautner, Zacharias
作者单位：University of Munich; Universite Catholique de Lille; EDHEC Business School; University of Amsterdam
摘要：We analyze the internal capital markets of a multinational conglomerate, using a unique panel data set of planned and actual allocations to business units and a survey of unit CEOs. Following cash windfalls, more powerful managers obtain larger allocations and increase investment substantially more than their less connected peers. We identify cash windfalls as a source of misallocation of capital, as more powerful managers overinvest and their units exhibit lower ex post performance and produc...
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作者：Vig, Vikrant
作者单位：University of London; London Business School
摘要：We investigate how firms respond to strengthening of creditor rights by examining their financial decisions following a securitization reform in India. We find that the reform led to a reduction in secured debt, total debt, debt maturity, and asset growth, and an increase in liquidity hoarding by firms. Moreover, the effects are more pronounced for firms that have a higher proportion of tangible assets because these firms are more affected by the secured transactions law. These results suggest...
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作者：Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of St Gallen
摘要：We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bond markets. Analyzing the impact of liquidity risk on carry trades, we show that funding (investment) currencies offer insurance against (exposure to) liquidity risk. A liquidity risk factor has a strong impact on carry trade returns from 200...
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作者：Kelley, Eric K.; Tetlock, Paul C.
作者单位：University of Arizona; Columbia University
摘要：We analyze the role of retail investors in stock pricing using a database uniquely suited for this purpose. The data allow us to address selection bias concerns and to separately examine aggressive (market) and passive (limit) orders. Both aggressive and passive net buying positively predict firms' monthly stock returns with no evidence of return reversal. Only aggressive orders correctly predict firm news, including earnings surprises, suggesting they convey novel cash flow information. Only ...
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作者：Foucault, Thierry; Kadan, Ohad; Kandel, Eugene
作者单位：Hautes Etudes Commerciales (HEC) Paris; Washington University (WUSTL); Hebrew University of Jerusalem
摘要：We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers and liquidity demanders trading intensities reinforce each other, high...
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作者：Boguth, Oliver; Kuehn, Lars-Alexander
作者单位：Arizona State University; Arizona State University-Tempe; Carnegie Mellon University
摘要：We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in u...
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作者：Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydro, Jose-Luis
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; University of London; London Business School; Pompeu Fabra University
摘要：We analyze the impact of financial globalization on business cycle synchronization using a proprietary database on banks' international exposure for industrialized countries during 1978 to 2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time-varying financial linkages data. In contrast to conventional wisdom and previous empirical studies, we identify a strong negative effect of banking integration on output synchronization, conditional on ...
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作者：Kaplan, Steven N.; Moskowitz, Tobias J.; Sensoy, Berk A.
作者单位：University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We examine the impact of short selling by conducting a randomized stock lending experiment. Working with a large, anonymous money manager, we create an exogenous and sizeable shock to the supply of lendable shares by taking high loan fee stocks in the manager's portfolio and randomly making available and withholding stocks from the lending market. The experiment ran in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent, and the second, fr...
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作者：Covitz, Daniel; Liang, Nellie; Suarez, Gustavo A.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper documents runs on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors' degree of risk intolerance, and inform em...
