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作者：Eisenbach, Thomas M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Why does the market discipline that financial intermediaries face seem too weak during booms and too strong during crises? This paper shows in a general equilibrium setting that rollover risk as a disciplining device is effective only if all intermediaries face purely idiosyncratic risk. However, if assets are correlated, a two-sided inefficiency arises: Good aggregate states have intermediaries taking excessive risks, while bad aggregate states suffer from costly fire sales. The driving force...
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作者：Cohen, Alma; Wang, Charles C. Y.
作者单位：Harvard University; National Bureau of Economic Research; Tel Aviv University; Harvard University
摘要：Cohen and Wang (2013) (CW2013) provide evidence consistent with market participants perceiving staggered boards to be value reducing. Amihud and Stoyanov (2016) (AS2016) contests these findings, reporting some specifications under which the results are not statistically significant. We show that the results retain their significance under a wide array of robustness tests that address the concerns expressed by AS2016. Our empirical findings reinforce the conclusions of CW2013. (C) 2017 Elsevier...
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作者：Dinc, Serdar; Erel, Isil; Liao, Rose
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University System of Ohio; Ohio State University
摘要：Most empirical studies estimate the impact of fire sales either without the benefit of market prices from frequent trades, as with aircraft sales, or without observing transaction prices, as with the forced sales of equity securities by mutual funds facing outflows. We observe both by studying firms' sales of minority equity stakes in publicly listed third parties. We estimate the distressed sale discount to be about 8% while controlling for liquidity and for industry, or about double the 4% e...
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作者：Brown, David C.; Davies, Shaun William
作者单位：University of Arizona; University of Colorado System; University of Colorado Boulder
摘要：We consider a model of active asset management in which mutual fund managers exert unobservable effort to earn excess returns. Investors allocate capital to actively managed funds and passively managed products. In equilibrium, investors are indifferent between investing an additional dollar with an active manager or with a passively managed product. As passively managed products become more attractive to investors, active managers' revenues froin portfolio-management services fall, reducing t...
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作者：Brogaard, Jonathan; Li, Dan; Xia, Ying
作者单位：University of Washington; University of Washington Seattle; University of Hong Kong; Monash University
摘要：This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm default risk: improving stock price informational efficiency and facilitating corporate governance by blockholders. Of t...
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作者：Bruche, Max; Segura, Anatoli
作者单位：City St Georges, University of London; European Central Bank; Bank of Italy
摘要：We model the debt maturity choice of firms in the presence of fixed issuance costs in the primary market and search frictions in the secondary market for debt. In the secondary market, short maturities improve the bargaining position of sellers, which reduces the required issuance yield. Long maturities reduce reissuance costs. The optimally chosen maturity trades off both considerations. Equilibrium exhibits inefficiently short maturity choices. An individual firm does not internalize that a ...
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作者：Menkveld, Albert J.; Yueshen, Bart Zhou; Zhu, Haoxiang
作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; INSEAD Business School; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We characterize the dynamic fragmentation of U.S. equity markets using a unique data set that disaggregates dark transactions by venue types. The pecking order hypothesis of trading venues states that investors sort various venue types, putting low-cost-low-immediacy venues on top and high-cost-high-immediacy venues at the bottom. Hence, midpoint dark pools on top, non-midpoint dark pools in the middle, and lit markets at the bottom. As predicted, following VIX shocks, macroeconomic news, and ...
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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：University of Lausanne; Swiss Finance Institute (SFI); University of Lausanne; University of Navarra; IESE Business School
摘要：We quantify the impact of merger activity on productive efficiency. We develop and calibrate a dynamic industry-equilibrium model that features mergers, entry, and exit by heterogeneous firms. Mergers affect productivity directly through realized synergies, and indirectly through firms' incentives to enter or exit the industry. Merger activity increases average firm productivity by 4.8%, of which 4.1% reflects the accumulation of synergies, and 0.7% the interaction between merger options and f...
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作者：Baruch, Shmuel; Panayides, Marios; Venkataraman, Kumar
作者单位：Utah System of Higher Education; University of Utah; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Southern Methodist University
摘要：Stock prices incorporate less news before negative events than positive events. Further, informed agents use less price aggressive (limit) orders before negative events and more price aggressive (market) orders before positive events (buy-sell asymmetry). Motivated by these patterns, we model the execution risk that informed agents impose on each other and relate the asymmetry to costly short selling. When investor base is narrow, security borrowing is difficult, or the magnitude of the event ...
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作者：Blanco, Ivan; Wehrheim, David
作者单位：CUNEF Universidad; Universidad Carlos III de Madrid; University of Navarra; IESE Business School
摘要：Do financial derivatives enhance or impede innovation? We answer this question by examining the relationship between equity options markets and standard measures of firm innovation. We find that firms with more options trading activity generate more patents and patent citations per dollar invested in research and development (R&D), after accounting for other confounding factors. These results are confirmed when we use a propensity score matching procedure and an instrumental variable approach ...
