-
作者：Liu, Xuewen; Mello, Antonio S.
作者单位：Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Madison
摘要：During a financial crisis, when investors are most in need of liquidity and accurate prices, hedge funds cut their arbitrage positions and hoard cash. The paper explains this phenomenon. We argue that the fragile nature of the capital structure of hedge funds, combined with low market liquidity, creates a risk of coordination in redemptions among hedge fund investors that severely limits hedge funds' arbitrage capabilities. We present a model of hedge funds' optimal asset allocation in the pre...
-
作者：Lam, F. Y. Eric C.; Wei, K. C. John
作者单位：Hong Kong University of Science & Technology; City University of Hong Kong
摘要：We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies f...
-
作者：An, Xudong; Deng, Yongheng; Gabriel, Stuart A.
作者单位：University of California System; University of California Los Angeles; California State University System; San Diego State University; National University of Singapore
摘要：We demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors and securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private information to liquidate lower quality loans in commercial mortgage-backed securities (CMBS) markets. Conduit lenders, who originate loans for direct sale into securitization markets, mitigate problems of asymmetric information and adverse selection in loan sales. Ou...
-
作者：Bae, Kee-Hong; Kang, Jun-Koo; Wang, Jin
作者单位：Nanyang Technological University; York University - Canada; Wilfrid Laurier University
摘要：We investigate the stakeholder theory of capital structure from the perspective of a firm's relations with its employees. We find that firms that treat their employees fairly (as measured by high employeefriendly ratings) maintain low debt ratios. This result is robust to a variety of model specifications and endogeneity issues. The negative relation between leverage and a firm's ability to treat employees fairly is also evident when we measure its ability by whether it is included in the Fort...
-
作者：Chod, Jiri; Lyandres, Evgeny
作者单位：Boston University; Boston College
摘要：We examine firms' incentives to go public in the presence of product market competition. As a result of their greater ability to diversify idiosyncratic risk in the capital market, public firms' owners tolerate higher profit variability than owners of private firms. Consequently, public firms adopt riskier and more aggressive output market strategies than private firms, which improves the competitive position of the former vis-a-vis the latter. This strategic benefit of being public, and thus,...
-
作者：Kaustia, Markku; Torstila, Sami
作者单位：Aalto University
摘要：We find that left-wing voters and politicians are less likely to invest in stocks, controlling for income, wealth, education, and other relevant factors. This finding from unique data sets in Finland is robust both at the zip code and at the individual level. A moderate left voter is 17-20% less likely to own stocks than a moderate right voter. The results are consistent with the idea that personal values are a factor in important investment decisions, in this case leading to stock market aver...
-
作者：Chen, Long; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Washington University (WUSTL)
摘要：Within the standard search and matching model, time-to-build implies that high aggregate risk premiums should forecast low employment growth in the short run but high employment growth in the long run. If there is also time-to-plan, high risk premiums should forecast low net hiring rates in the short run but high net hiring rates in the long run. Our evidence indicates two-quarter time-to-build in the aggregate payroll data, no time-to-plan in the aggregate hiring data, but two-quarter time-to...
-
作者：Morellec, Erwan; Schuerhoff, Norman
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Lausanne
摘要：We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of corporate actions and their debt-equity mix. Using this result, we show that asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option valu...
-
作者：Morse, Adair
作者单位：University of Chicago
摘要：Does access to high-interest credit (payday loans) exacerbate or mitigate individual financial distress. Using natural disasters as an exogenous shock, I apply a propensity score-matched, triple-difference specification to identify a causal relation between welfare and access to credit. California foreclosures increase by 4.5 units per 1,000 homes after a natural disaster. The existence of payday lenders mitigates 1.0-1.3 of them, with the caveat that not all payday loans are for emergency dis...
-
作者：O'Hara, Maureen; Ye, Mao
作者单位：Cornell University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine how fragmentation is affecting market quality in US equity markets. We use newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use a variety of empirical approaches to compare execution quality and efficiency of stocks with more and less fragmented trading. We find that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is associated with higher short-term volatilit...
