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作者：Buti, Sabrina; Rindi, Barbara
作者单位：University of Toronto; Bocconi University; Bocconi University
摘要：Reserve orders enable traders to hide a portion of their orders and now appear in most electronic limit order markets. This paper outlines a theory to determine an optimal submission strategy in a limit order book, in which traders choose among limit, market, and reserve orders and simultaneously set price, quantity, and exposure. We show that reserve orders help traders compete for the provision of liquidity and reduce the friction generated by exposure costs. Therefore, total gains from trad...
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作者：Vasicek, Oldrich Alfons
摘要：The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of eco...
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作者：Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei
作者单位：University of Notre Dame; INSEAD Business School; Michigan State University
摘要：We study the link between a firm's quality of governance and its alliance activity. We consider alliances as a commitment technology that helps a company' Chief Executive Officer overcome agency problems that relate to the inability to ex ante motivate division managers. We show that well-governed firms are more likely to avail themselves of this technology to anticipate ex post commitment problems and resolve them. The role of governance is particularly important when the commitment problems ...
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作者：Liu, Baixiao; McConnell, John J.
作者单位：State University System of Florida; Florida State University; Purdue University System; Purdue University
摘要：Using 636 large acquisition attempts that are accompanied by a negative stock price reaction at their announcement (value-reducing acquisition attempts) from 1990 to 2010, we find that, in deciding whether to abandon a value-reducing acquisition attempt, managers' sensitivity to the firm's stock price reaction at the announcement is influenced by the level and the tone of media attention to the proposed transaction. We interpret the results to imply that managers have reputational capital at r...
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作者：Filipovic, Damir; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank risk due to default risk, on average, increases with maturity. At short maturities, the non-default component is important i...
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作者：Jain, Archana; Jain, Pankaj K.; McInish, Thomas H.; McKenzie, Michael
作者单位：Rochester Institute of Technology; University of Memphis; University of Sydney
摘要：We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selling of the country's American Depository Receipts (ADRs) by 68% due to regulatory reach. Also, the 2008 US ban on short selling of financial firms reduced borrowing in foreign locations. These findings are robust to controls for option availability, enforcement, returns, firm size, trading volume, ...
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作者：Oh, Frederick Dongchuhl
作者单位：Korea Advanced Institute of Science & Technology (KAIST)
摘要：This paper presents a model in which the contagion of a liquidity crisis between two nonfinancial institutions occurs because of learning activity within a common creditor pool. After creditors observe what occurs in a rollover game for a firm, they conjecture one another's type or attitude toward the risk associated with the firm's investment project. Creditors' inference about one another's type then influences their decision to lend to the next firm. By providing an analysis of the incidenc...
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作者：Karpoff, Jonathan M.; Lee, Gemma; Masulis, Ronald W.
作者单位：University of Washington; University of Washington Seattle; Kyung Hee University; University of New South Wales Sydney
摘要：We document the frequent use of lockup agreements in seasoned equity offerings (SEOs) and examine the determinants of their use, duration, and early release. We find that the likelihood of an SEO lockup and its duration are positively related to issuer information asymmetry measures. Lockup duration is negatively related to underwriter spreads and underpricing, indicating that lockups lower expected flotation costs. Lockups are frequently released early following share prices rises. We conclud...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper considers the term structure of interest rates implied by a production-based asset pricing model in which the fundamental drivers are investment in equipment and structures as well as inflation. The model matches the average yield curve up to five-year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, ...
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作者：Hau, Harald; Lai, Sandy
作者单位：University of Geneva; University of Geneva; University of Hong Kong
摘要：This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most financially cons...
