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作者：Campello, Murillo; Gao, Janet
作者单位：Cornell University; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington
摘要：We study pricing and non-pricing features of loan contracts to gauge how the credit market evaluates a firm's customer-base profile and supply-chain relations. Higher customer concentration increases interest rate spreads and the number of restrictive covenants featured in newly initiated as well as renegotiated bank loans. Customer concentration also abbreviates the maturity of those loans as well as the relationship between firms and their banks. These effects are intensified by customers' f...
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作者：Clark-Joseph, Adam D.; Ye, Mao; Zi, Chao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Independent technological glitches forced two separate trading halts on different U.S. exchanges during the week of July 6, 2015. During each halt, all other exchanges remained open. We exploit exogenous variation provided by this unprecedented coincidence, in conjunction with a proprietary data set, to identify the causal impact of Designated Market Maker (DMM) participation on liquidity. When the voluntary liquidity providers on one exchange were removed, liquidity remained unchanged; when D...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang
作者单位：University of Hong Kong; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment two seconds before its broader release. Within this early peek window, we find highly concentrated trading and a fast price discovery of less than 200 milliseconds. Outside this narrow window, general investors trade at fully adjusted prices. We further establish a causal relationship between the early peek mechanism and the fast price discovery by isolating the impact of th...
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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California Berkeley; Queens University - Canada
摘要：We examine the effects of high-frequency traders (HFTs) on liquidity using the September 2008 short sale-ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs, we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs' short selling improves liquidity, as measured by bid-ask spreads. HFTs' short selling has the opposite effect by adversely selecting limit orders, which can decrease liquidity supp...
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作者：Bakke, Tor-Erik; Gu, Tiantian
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Northeastern University
摘要：Why do diversified firms hold significantly less cash than focused firms? We study this question using a dynamic model of corporate investment, saving, and diversification decisions. We find that investment dynamics are more important in explaining the cash differences than financing frictions. More efficient internal capital markets increase cash differences and are especially valuable when a firm diversifies or refocuses. Contrary to static models, more diverse conglomerates have lower cash ...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University of Toronto; Cornell University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Relative to other countries, the U.S. now has abnormally few listed firms. This U.S. listing gap is consistent with a decrease in the net benefit of a listing for U.S. firms. Since the listing peak in 1996, the propensity to be listed is lower for all firm size categories and industries, the new list rate is low, and the delist rate is high. The high delist rate accounts for 46% of the listing gap and the low new list rate for 54%. The high delist rate is explained by an unusually high rate of...
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作者：Choi, Nicole; Fedenia, Mark; Skiba, Hilla; Sokolyk, Tatyana
作者单位：University of Wyoming; University of Wisconsin System; University of Wisconsin Madison; Colorado State University System; Colorado State University Fort Collins; Brock University
摘要：Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantag...
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作者：Dannhauser, Caitlin D.
作者单位：Villanova University
摘要：Using distinct features of corporate bond exchange-traded funds (ETFs), I find that financial innovation has a significant and long-term positive valuation impact on the systemically important underlying securities. A one standard deviation increase in ETF ownership reduces high-yield and investment-grade bond spreads by 20.3 and 9.2 basis points, respectively, implying an average monthly price increase of 1.03% and 0.75%. Two novel quasi-natural experiments exploit exogenous changes in ETF el...
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作者：Gulen, Huseyin; O'Brien, William J.
作者单位：Purdue University System; Purdue University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We use the practice of employee option repricing to investigate how shareholder involvement in firm compensation policies affects the quality of firm governance. We find that a 2003 reform that empowered shareholders to approve or reject repricing proposals led to value increases in previous repricers. The likelihood of repricing becomes less sensitive to poor manager performance, but remains similarly sensitive to bad luck, after the reform. Average post-repricing changes in firm performance ...
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作者：Hugonnier, Julien; Morellec, Erwan
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK
摘要：We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' financing decisions and insolvency risk. In this model, banks face taxation, issuance costs of securities, and default costs and maximize shareholder value by choosing their debt-to-asset ratio, deposits-to-debt ratio, liquid asset holdings, equity issuance and default policies in response to these frictions as well as regulatory requirements. Our analytic characterization of the bank p...
