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作者：Brown, Gregory; Kapadia, Nishad
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We show that the increase in firm-specific risk in the US stock market is the result of new listings by riskier companies. In addition, our results explain why prior researchers have found that growth opportunities, profit margin, firm size, and industry composition (among other factors) are related to increases in firm-specific risk. The new listing effect is not driven by small companies becoming riskier but instead by a riskier sub-sample of the economy becoming publicly traded. These resul...
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作者：Acharya, Viral V.; Johnson, Timothy C.
作者单位：University of London; London Business School
摘要：Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities...
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作者：Kang, Jun-Koo; Liu, Wei-Lin
作者单位：Michigan State University; Michigan State University's Broad College of Business
摘要：We examine the extent to which universal banking in Japan creates conflicts of interest. We find that as banks enter the securities business, they discount the price of the corporate bonds they underwrite significantly in an effort to attract investors, thereby generating conflicts of interest that are harmful to issuers. Further, we find that close prior lending relationships between banks and their client issuers is the driving force behind such conflicts and that competition from investment...
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作者：Officer, Micah S.
作者单位：University of Southern California
摘要：This paper documents average acquisition discounts for stand-alone private firms and subsidianes of other firms (unlisted targets) of 15% to 30% relative to acquisition multiples for comparable publicly traded targets. My results are strongly consistent with the notion that sale prices for unlisted targets are affected by both the need for, and availability of, the liquidity provided by the buyi.r. Corporate parents are significantly liquidity-constraincd prior to the sale of a subsidiary, par...
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作者：Green, Richard C.; Hollifield, Burton; Schuerhoff, Norman
作者单位：Carnegie Mellon University; Swiss Finance Institute (SFI); University of Lausanne
摘要：Municipal bonds trade in decentralized broker-dealer markets, and are underpriced when issued, but unlike equities the average price rises slowly over several days. Newly issued municipal bonds have high levels of price dispersion and the average price rises because the mix of trade sizes changes over time. While large trades occur close to the reoffering price, small trades occur between the reoffering price to as much as 5% above the reoffering price. Using a mixed-distribution model we quan...
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作者：Chen, Xia; Harford, Jarrad; Li, Kai
作者单位：University of Washington; University of Washington Seattle; University of British Columbia
摘要：Within a cost benefit framework, we hypothesize that independent institutions with long-term investments will specialize in monitoring and influencing efforts rather than trading. Other institutions will not monitor. Using acquisition decisions to reveal monitoring, we show that only concentrated holdings by independent long-term institutions are related to post-merger performance. Further, the presence of these institutions makes withdrawal of bad bids more likely. These institutions make lon...
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作者：Khorana, Ajay; Servaes, Henri; Wedge, Lei
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Centre for Economic Policy Research - UK; State University System of Florida; University of South Florida
摘要：This paper documents the range of portfolio manager ownership in the funds they manage and examines whether higher ownership is associated with improved future performance. Almost half of all managers have ownership stakes in their funds, though the absolute investment is modest. Future risk-adjusted performance is positively related to managerial ownership, with performance improving by about 3 basis points for each basis point of managerial ownership. These findings persist after controlling...
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作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bloomberg L.P.; New York University
摘要：We analyze the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that, on any given date, the conditional risk-neutral distribution of currency returns can show strong asymmetry. This asymmetry varies greatly over time and often switches signs. We develop and estimate a class of models that captures this stochastic skew behavior. Model estimation shows that our s...
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作者：Baker, Malcolm; Coval, Joshua; Stein, Jeremy C.
作者单位：National Bureau of Economic Research; Harvard University; Harvard University
摘要：We argue that inertial behavior on the part of investors can have significant consequences for corporate financial policy. One implication of investor inertia is that it improves the terms for the acquiring firm in a stock-for-stock merger, because acquirer shares are placed in the hands of investors, who, independent of their beliefs, do not resell these shares on the open market. In the presence of a downward-sloping demand curve, this leads to a reduction in price pressure and, hence, to ch...
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作者：Malmendier, Ulrike; Shanthikumar, Devin
作者单位：University of California System; University of California Berkeley; Harvard University
摘要：Security analysts tend to bias stock recommendations upward, particularly if they are affiliated with the underwriter. We analyze how investors account for such distortions. Using the NYSE Trades and Quotations database, we find that large traders adjust their trading response downward. While they exert buy pressure following strong buy recommendations, they display no reaction to buy recommendations and selling pressure following hold recommendations. This discounting is even more pronounced ...
