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作者：Mixon, Scott
摘要：Traders in the nineteenth century appear to have priced options the same way that twenty-first-century traders price options. Empirical regularities relating implied volatility to realized volatility, stock prices, and other implied volatilities (including the volatility skew) are qualitatively the same in both eras. Modern pricing models and centralized exchanges have not fundamentally altered pricing behavior, but they have generated increased trading volume and a much closer conformity in t...
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作者：Hutton, Amy P.; Marcus, Alan J.; Tehranian, Hassan
作者单位：Boston College
摘要：We investigate the relation between the transparency of financial statements and the distribution of stock returns. Using earnings management as a measure of opacity, we find that opacity is associated with higher R(2)s, indicating less revelation of firm-specific information. Moreover, opaque firms are more prone to stock price crashes, consistent with the prediction of the Jin and Myers [2006. R-2 around the world: new theory and new tests. Journal of Financial Economics 79, 257-292] model. ...
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作者：Hale, Galina; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Theory suggests that banks' private information lets them hold up borrowers for higher interest rates. Since new information about a firm is revealed at the time of its bond IPO, it follows that banks will be forced to adjust their loan interest rates downwards after firms undertake their bond IPO. We test this hypothesis and find that firms are able to borrow at lower interest rates after their bond IPO. Importantly, firms that get their first credit rating at the time of their bond IPO benef...
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作者：Khanna, Tarun; Thomas, Catherine
作者单位：Columbia University; Harvard University
摘要：Stock price synchronicity has been attributed to poor corporate governance and a lack of firm-level transparency. This paper investigates the association between different kinds of firm interlocks, control groups, and synchronicity in Chile. A unique data set containing equity cross-holdings, common individual owners, and director interlocks is used to map out firm ties and control groups. While there is a correlation between synchronicity and share ownership and equity ties, synchronicity is ...
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作者：Large, Jeremy
作者单位：University of Oxford; University of Oxford
摘要：Limit order markets with stationary dynamics attract equal volumes of market orders and uncanceled limit orders, equalizing the supply and demand for liquidity and immediacy. To maintain this balance, market orders must share any benefit obtained by limit order traders from more efficient trading conditions, such as better order queuing policies. Therefore an efficient market places a low price on immediacy, producing small bid-ask spreads. Furthermore, when price-discreteness leads to a mainl...
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作者：Roberts, Michael R.; Sufi, Amir
作者单位：University of Pennsylvania; University of Chicago
摘要：Using a large sample of private credit agreements between U.S. publicly traded firms and financial institutions, we show that over 90% of long-term debt contracts are renegotiated prior to their stated maturity. Renegotiations result in large changes to the amount, maturity, and pricing of the contract, occur relatively early in the life of the contract, and are rarely a consequence of distress or default. The accrual of new information concerning the credit quality, investment opportunities, ...
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作者：Fratzscher, Marcel; Imbs, Jean
作者单位：European Central Bank; University of Geneva; Centre for Economic Policy Research - UK
摘要：We develop a standard model to show how transaction costs in international investment affect conventional tests of consumption risk sharing, both in a multilateral and a bilateral setting. We implement the tests in a novel international data set on bilateral holdings of equity, bonds, foreign direct investment (FDI) and bank loans. In our data, high foreign capital holdings are associated with international consumption risk sharing as implied by our theory. This is especially true of investmen...
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作者：Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles
摘要：Options may have an effect on firm value because they help complete markets and stimulate informed trades. However, these benefits are likely to manifest themselves in active, rather than inactive, options markets. Supporting this observation, we find that firms with more options trading have higher values of Tobin's q, after accounting for other determinants of value. Corporate investment in firms with greater options trading is more sensitive to stock prices. Options trading affects firm val...
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作者：Mola, Simona; Guidolin, Massimo
作者单位：Arizona State University; Arizona State University-Tempe; University of Manchester; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：This paper extends the literature on analyst optimism. Our analysis of a large sample of recommendations issued from 1995 through 2006 indicates that sell-side analysts are likely to assign frequent and favorable ratings to a stock after the analysts' affiliated mutual funds invest in that stock. Controlling for a number of variables, including the ties between analysts and investment banks, we find that the greater the portfolio weight of a stock in the fund family, the more optimistic the st...
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作者：Jacobs, Kris; Karoui, Lotfi
作者单位：McGill University; Tilburg University
摘要：We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For the swap sample, this correlation is rather low or negative. We find that these differences in model performance are primarily due to the timing of the swap sample, and not to institutional differences be...
