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作者：Hendershott, Terrence; Menkveld, Albert J.
作者单位：University of California System; University of California Berkeley; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of 0.92 days. Theoretically, a simple dynamic inventory model captures an intermediary's use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure against price risk...
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作者：Green, T. Clifton; Jame, Russell; Markov, Stanimir; Subasi, Musa
作者单位：Emory University; University of Kentucky; Southern Methodist University; University of Missouri System; University of Missouri Columbia
摘要：We examine whether access to management at broker-hosted investor conferences leads to more informative research by analysts. We find analyst recommendation changes have larger immediate price impacts when the analyst's firm has a conference-hosting relation with the company. The effect increases with hosting frequency and is strongest in the days following the conference. Conference-hosting brokers also issue more informative, accurate, and timely earnings forecasts than non-hosts. Our findin...
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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：We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In addition to significantly higher average returns for risky assets on announcement days, return patterns are much easier to reconcile with standard asset pricing theories, both cross-sectionally and over time. On such days, stock market beta is strongly related to average returns. This positive relation holds for individual stocks, for various test portfolios, and even f...
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作者：Novy-Marx, Robert
作者单位：University of Rochester
摘要：Predictive regressions find that the party of the US president, the weather in Manhattan, global warming, the El Nino phenomenon, sunspots, and the conjunctions of the planets all have significant power predicting the performance of popular anomalies. The interpretation of these results has important implications for the asset pricing literature. (C) 2014 Elsevier B.V. All rights reserved.
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作者：Brogaard, Jonathan; Engelberg, Joseph; Parsons, Christopher A.
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California San Diego
摘要：Using detailed publication and citation data for over 50,000 articles from 30 major economics and finance journals, we investigate whether network proximity to an editor influences research productivity. During an editor's tenure, his current university colleagues publish about 100% more papers in the editor's journal, compared to years when he is not editor. In contrast to editorial nepotism, such inside articles have significantly higher ex post citation counts, even when same-journal and se...
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作者：Lai, Sandy; Ng, Lilian; Zhang, Bohui
作者单位：University of Hong Kong; University of Wisconsin System; University of Wisconsin Milwaukee; University of New South Wales Sydney
摘要：This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O'Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O'Hara, but consistent with that of Duarte and Young (2009), we do not find that PIN exhibits a positive effect on a cross section of expected stock returns in international markets. Alternative information-based tradin...
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作者：Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; California State University System; California State University Fullerton; National Bureau of Economic Research
摘要：We evaluate the performance of limited partners' (LPs') private equity investments over time. Using a sample of 14,380 investments by 1,852 LPs in 1,250 buyout and venture capital funds started between 1991 and 2006, we find that the superior performance of endowment investors in the 1991-1998 period, documented by prior literature, is mostly due to their greater access to the top-performing venture capital partnerships. In the subsequent 19992006 period, endowments no longer outperform, no lo...
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作者：Rampini, Adriano A.; Sufi, Amir; Viswanathan, S.
作者单位：Duke University; University of Chicago
摘要：Both financing and risk management involve promises to pay that need to be collateralized, resulting in a financing versus risk management trade-off. We study this trade-off in a dynamic model of commodity price risk management and show that risk management is limited and that more financially constrained firms hedge less or not at all. We show that these predictions are consistent with the evidence using panel data for fuel price risk management by airlines. More constrained airlines hedge le...
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作者：Fotak, Veljko; Raman, Vikas; Yadav, Pradeep K.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Warwick; University of Oklahoma System; University of Oklahoma - Norman
摘要：We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter FTDs). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively l...
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作者：Adelino, Manuel; Dinc, I. Serdar
作者单位：Duke University; Rutgers University System; Rutgers University New Brunswick
摘要：The literature on distressed firms has focused on these firms' investment, capital structure, and labor decisions. This paper investigates a novel aspect of firm behavior in distress: how financial health affects a firm's lobbying and, consequently, its relationship with the government. We exploit the shock to nonfinancial firms during the 2008 financial crisis and the availability of the stimulus package in the first quarter of 2009. We find that firms with weaker financial health, as measure...
