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作者：Jankowitsch, Rainer; Nagler, Florian; Subrahmanyam, Marti G.
作者单位：Vienna University of Economics & Business; New York University
摘要：We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the default day and the following 30 days, and low trading activity thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study the relation be...
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作者：Belot, Francois; Ginglinger, Edith; Sloyin, Myron B.; Sushka, Marie E.
作者单位：CY Cergy Paris Universite; Universite PSL; Universite Paris-Dauphine; Hautes Etudes Commerciales (HEC) Paris; Arizona State University; Arizona State University-Tempe
摘要：We examine board structure in France, which since 1966 has allowed firms the freedom to choose between unitary and two-tier boards. We analyze how this choice relates to characteristics of the firm and its environment. Firms with severe asymmetric information tend to opt for unitary boards; firms with a potential for private benefits extraction tend to adopt two-tier boards. Chief executive officer turnover is more sensitive to performance at firms with two-tier boards, indicating greater moni...
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作者：Banerjee, Snehal; Graveline, Jeremy J.
作者单位：Northwestern University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Regulatory restrictions and market frictions can constrain the aggregate quantity of long and short positions in a security. When these constraints bind, we refer to the security as scarce, and its price becomes distorted relative to its value in a frictionless market. We show that an otherwise redundant derivative can reduce the price distortion of the underlying security by relaxing its scarcity. We also show that it is especially important to analyze the underlying and derivative markets jo...
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作者：Armstrong, Christopher S.; Core, John E.; Guay, Wayne R.
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT)
摘要：Although recent research documents a positive relation between corporate transparency and the proportion of independent directors, the direction of causality is unclear. We examine a regulatory shock that substantially increased board independence for some firms, and find that information asymmetry, and to some extent management disclosure and financial intermediation, changed at firms affected by this shock. We also examine whether these effects vary as a function of management entrenchment, ...
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作者：Chung, Kee H.; Chuwonganant, Chairat
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Chung Ang University; Kansas State University
摘要：In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We show that the uncertainty elasticity of liquidity (UEL: percent change in liquidity given a 1% change in VIX) has increased around ...
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作者：Liao, Li; Liu, Bibo; Wang, Hao
作者单位：Tsinghua University; Tsinghua University; Tsinghua University
摘要：The Split-Share Structure Reform granted legitimate trading rights to the state-owned shares of listed state-owned enterprises (SOEs), opening up the gate to China's secondary privatization. The expectation of privatization quickly boosted SOE output, profits, and employment, but did not change their operating efficiency and corporate governance. The improvements to SOE performance are positively correlated to government agents' privatization-led incentive of increasing state-owned share value...
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作者：Solomon, David H.; Soltes, Eugene; Sosyura, Denis
作者单位：University of Southern California; Harvard University; University of Michigan System; University of Michigan
摘要：We show that media coverage of mutual fund holdings affects how investors allocate money across funds. Fund holdings with high past returns attract extra flows, but only if these stocks were recently featured in the media. In contrast, holdings that were not covered in major newspapers do not affect flows. We present evidence that media coverage tends to contribute to investors' chasing of past returns rather than facilitate the processing of useful information in fund portfolios. Our evidence...
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作者：Xia, Han
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper examines how the information quality of ratings from an issuer-paid rating agency (Standard and Poor's) responds to the entry of an investor-paid rating agency, the Egan-Jones Rating Company (EJR). By comparing S&P's ratings quality before and after EJR initiates coverage of each firm, I find a significant improvement in S&P's ratings quality following EJR's coverage initiation. S&P's ratings become more responsive to credit risk and its rating changes incorporate higher information...
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作者：Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; University of Pennsylvania; Tsinghua University
摘要：Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu, and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key i...
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作者：Jiang, Hao; Sun, Zheng
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Michigan State University; University of Texas System; University of Texas Austin; University of California System; University of California Irvine
摘要：We propose a measure of dispersion in fund managers' beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect is particularly pronounced among stocks with high information asymmetry and binding short-sale constraints. These results suggest that a subgroup of informed managers drives up the dispersion in active ...
