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作者：Green, T. Clifton; Hwang, Byoung-Hyoun
作者单位：Emory University; Purdue University System; Purdue University
摘要：Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain ...
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作者：Ivashina, Victoria
作者单位：Harvard University
摘要：This paper estimates the cost arising from information asymmetry between the lead bank and members of the lending syndicate. In a lending syndicate, the lead bank retains only a fraction of the loan but acts as the intermediary between the borrower and the syndicate participants. Theory predicts that asymmetric information will cause participants to demand a higher interest rate and that a large loan ownership by the lead bank should reduce this effect. In equilibrium, however, the asymmetric ...
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作者：Choi, Darwin; Getmansky, Mila; Tookes, Heather
作者单位：Yale University; University of Massachusetts System; University of Massachusetts Amherst
摘要：In the context of convertible bond issuance, we examine the impact of arbitrage activity on underlying equity markets. In particular, we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period 1993 to 2006. There is considerable evidence of arbitrage-induced short selling resulting from issuance. Moreover, we find strong evidence that this activity is syst...
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作者：McLean, R. David; Pontiff, Jeffrey; Watanabe, Akiko
作者单位：Boston College; University of Alberta
摘要：Share issuance predicts cross-sectional returns in a non-U.S. sample of stocks from 41 different countries. Issuance predictability has greater statistical significance than either size or momentum, and is similar to book-to-market. As in the U.S., the international issuance effect is robust across both small and large firms. Unlike the U.S., the effect is driven more by low returns after share creation rather than positive returns following share repurchases. Issuance return predictability is...
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作者：Tang, Tony T.
作者单位：Barclays
摘要：I exploit Moody's 1982 credit rating refinement to examine its effects on firms' credit market access, financing decisions, and investment policies. While firms' ex ante yield spread can partially predict the direction of refinement changes, firms with refinement upgrades experience an additional decrease in their ex post borrowing cost compared with firms with downgrades. The former subsequently also issue more debt and rely more on debt financing over equity than the latter. Lastly, upgraded...
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作者：Berkman, Henk; Dimitrov, Valentin; Jain, Prem C.; Koch, Paul D.; Tice, Sheri
作者单位：Georgetown University; Massey University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Kansas; Tulane University
摘要：Miller [1977. Risk, uncertainty, and divergence of opinion. journal of Finance 32, 1151-1168] hypothesizes that prices of stocks subject to high differences of opinion and short-sales constraints are biased upward. We expect earnings announcements to reduce differences of opinion among investors, and consequently, these announcements should reduce overvaluation. Using five distinct proxies for differences of opinion, we find that high differences of opinion stocks earn significantly lower retu...
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作者：Kempf, Alexander; Ruenzi, Stefan; Thiele, Tanja
作者单位：University of Texas System; University of Texas Austin; University of Cologne; University of Cologne
摘要：We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the relative importance of these incentives. When employment risk is more important than compensation incentives, fund managers with a poor midyear performance tend to decrease risk relative to leading managers to prevent potential job loss. When...
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作者：Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
作者单位：University System of Ohio; Ohio State University
摘要：This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In addition, innovations in accruals are negatively contemporaneously correlated with aggregate returns, and innovations in cash flows are positively correlated with returns. These findings suggest that inn...
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作者：Duarte, Jefferson; Young, Lance
作者单位：University of Washington; University of Washington Seattle
摘要：Recent empirical work suggests that a proxy for the probability of informed trading (PIN) is an important determinant of the cross-section of average returns. This paper examines whether PIN is priced because of information asymmetry or because of other liquidity effects that are unrelated to information asymmetry. Our starting point is a model that decomposes PIN into two components, one related to asymmetric information and one related to illiquidity. In a two-pass Fama-MacBeth [1973. Risk, ...
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作者：Sensoy, Berk A.
作者单位：University of Southern California
摘要：Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these mismatched benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be...
