-
作者：Coughenour, JF; Saad, MM
作者单位：University of Delaware; U.S. Securities & Exchange Commission (SEC); American University in Dubai (AUD)
摘要：Each NYSE specialist firm provides liquidity for more than one common stock. As a result of shared capital and information among specialists within a firm, we argue that stock liquidity will co-move with the liquidity of other stocks handled by the same specialist firm, with magnitude increasing with the risk of providing liquidity. The evidence indicates that individual stock liquidity co-varies with specialist portfolio liquidity apart from information reflected by market liquidity variation...
-
作者：Sapienza, P
作者单位：Northwestern University; Centre for Economic Policy Research - UK
摘要：This paper uses information on individual loan contracts to Study the effects of government ownership on bank lending behavior. State-owned banks charge lower interest rates than do privately owned banks to similar or identical firms, even if firms are able to borrow more from privately owned banks. State-owned banks mostly favor large firms and firms located in depressed areas. The lending behavior of state-owned banks is affected by the electoral results of the party affiliated with the bank...
-
作者：Bollen, NPB; Smith, T; Whaley, RE
作者单位：Duke University; Australian National University; Vanderbilt University
摘要：The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market maker's spread that accounts for the effects of price discreteness induced by minimum tick size, order-processing costs, inventory-holding costs, adverse selection, and competition. The inventory-holding and adverse selection cost components o...
-
作者：Kim, SJ
作者单位：Korea Institute for International Economic Policy (KIEP); International Monetary Fund
摘要：This paper develops a model of business groups in emerging markets where banks cannot accurately distinguish between good (high productivity) and bad (low productivity) borrower firms. For stand-alone firms, banks can infer the proportion of bad firms among those that default on contracted debt repayments, and might optimally choose to liquidate all defaulting firms in order to reduce the number of bad firms. Business groups, however, obscure the productivity of individual firms. The optimal p...
-
作者：Cummins, JD; Lalonde, D; Phillips, RD
作者单位：University of Pennsylvania; University System of Georgia; Georgia State University
摘要：Using a windstorm simulation model developed by Applied Insurance Research, we analyze the effectiveness of catastrophic-loss index options in hedging hurricane losses for Florida insurers. The results suggest that insurers in the two largest size quartiles can hedge losses almost as effectively using contracts based on four intrastate indices as they can using contracts that settle on their own losses. Many insurers in the third largest size quartile also can hedge effectively using the intra...
-
作者：Degeorge, F; Jenter, D; Moel, A; Tufano, P
作者单位：Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology; Massachusetts Institute of Technology (MIT); Universita della Svizzera Italiana
摘要：In 1997, France Telecom went through a partial privatization. Using a database that tracks over 200,000 eligible participants, we analyze employees' decisions whether to participate; how much to invest; and what stock alternatives to select. The results are broadly consistent with a neoclassical model of investing behavior. We report four anomalous findings: (1) The firm specificity of human capital has a negligible effect on employees' investment decisions; (2) the amount invested seems drive...
-
作者：Fama, EF; French, KR
作者单位：University of Chicago
摘要：The class of firms that obtain public equity financing expands dramatically in the 1980s and 1990s. The number of new firms listed on major U.S. stock markets jumps from 156 per year for 1973-1979 to 549 per year for 1980-2001. The characteristics of new lists also change. The cross section of profitability becomes progressively more left skewed, and growth becomes more right skewed. The result is a sharp decline in survival rates. We suggest that the changes in the characteristics of new list...
-
作者：Golec, J; Starks, L
作者单位：University of Connecticut; University of Texas System; University of Texas Austin
摘要：We examine the effect that an exogenously, specifically governmentally required change in compensation contract had on a managerial decision. We find that a group of mutual funds changed their portfolio risk levels after they were forced to change their performance fee schedules. Their portfolio risk choices differed predictably from a randomly selected group of nonperformance fee funds and a group of performance fee funds that were not required to change their compensation contracts. In addit...
-
作者：Doidge, C
作者单位：University of Toronto
摘要：Non-U.S. firms that cross-list on U.S. exchanges have voting premiums that are 43% lower than non-U.S. firms that do not cross-list. The difference in voting premiums is statistically significant after controlling for firm and country characteristics and the difference is larger for firms from countries that provide poor protection to minority investors. When a U.S. listing is announced, both the high- and low-voting share classes benefit, although the low-voting class benefits relatively more...
-
作者：Lambrecht, BM
作者单位：Lancaster University
摘要：This paper analyzes the timing of mergers motivated by economies of scale. We show that firms have an incentive to merge in periods of economic expansion. Relaxing the assumption that firms are price takers, we find that market power strengthens the firms' incentive to merge and speeds up merger activity. Finally, comparing mergers with hostile takeovers we show that the way merger synergies are divided not only influences the acquirer's and the acquiree's returns from merging, but also the ti...
