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作者：Geczy, CC; Musto, DK; Reed, AV
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：With a year of equity loans by a major lender, we measure the effect of actual short-selling costs and constraints on trading strategies that involve short-selling. We find the loans of initial public offering (IPOs), DotCom, large-cap, growth and low-momentum stocks to be cheap relative to the strategies' documented profits and that investors who can short only stocks that are cheap and easy to borrow can enjoy at least some of the profits of unconstrained investors. Most IPOs are loaned on t...
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作者：Rosenberg, JV; Engle, RF
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using S&P 500 index option data and a stochastic volatility model for the S&P 500 return process. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significant...
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作者：Bris, A; Koskinen, Y
作者单位：Yale University; Stockholm School of Economics
摘要：Currency crises can arise because it is optimal to bail out financially distressed exporting firms through a currency depreciation. Exporting firms will not undertake profitable investments when high leverage causes debt overhang problems. A currency depreciation increases the profitability of new investments when revenues are foreign-currency denominated and domestic-currency costs are nominally rigid. Ex ante, currency depreciation leads to excessive investment in risky projects even if safe...
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作者：Beck, T; Levine, R
作者单位：The World Bank; University of Minnesota System; University of Minnesota Twin Cities
摘要：Are market-based or bank-based financial systems better at financing the expansion of industries that depend heavily on external finance, facilitating the formation of new establishments, and improving the efficiency of capital allocation across industries? We find evidence for neither the market-based nor the bank-based hypothesis. While legal system efficiency and overall financial development boost industry growth, new establishment formation, and efficient capital allocation, having a bank...
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作者：Woidtke, T
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：This paper examines the valuation effects associated with the incentive structures of different types of institutional investors using the ownership levels of public and private pension funds in a firm. The results suggest that institutional monitoring is associated with valuation effects when both observable and unobservable aspects of the relationship between institutions and firms are taken into account, Moreover, the valuation effects vary according to the objective functions of institutio...
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作者：D'Avolio, G
作者单位：Harvard University
摘要：To short a stock, an arbitrageur must first borrow it. This paper describes the market for borrowing and lending U.S. equities, emphasizing the conditions generating and sustaining short-sale constraints. A large institutional lending intermediary provided eighteen months (4/ 2000-9/2001) of data on loan supply (shortability), loan fees (specialness), and loan recalls. The data suggest that while loan market specials and recalls are rare on average, the incidence of these short-sale constraint...
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作者：Shleifer, A; Wolfenzon, D
作者单位：Harvard University; New York University
摘要：We present a simple model of an entrepreneur going public in an environment with poor legal protection of outside shareholders. The model incorporates elements of Becker's (J. Political Econ. 106 (1968) 172) crime and punishment framework into a corporate finance environment of Jensen and Meckling (J. Financial Econ. 3 (1976) 305). We examine the entrepreneur's decision and the market equilibrium. The model is consistent with a number of empirical regularities concerning the relation between i...
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作者：Pan, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia Uncovered from the joint data respond quickly to market volatility, becoming more prominent during volatile markets. This form of jump-risk premia is important not only in reconciling the dynamics implied by the joint data, but also in explaining the volatility smirks of cross-sectional options...
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作者：Bekaert, G; Harvey, CR; Lumsdaine, RL
作者单位：Duke University; Columbia University; Deutsche Bank; National Bureau of Economic Research
摘要：Regulatory changes that appear comprehensive will have little impact on the functioning of a developing market if they fail to lead to foreign portfolio inflows. We specify a reduced-form model for a number of financial time series and search for a common, endogenous break in the data generating process. We also estimate a confidence interval for the break. Our endogenous break dates are accurately estimated but do not always correspond closely to dates of official capital market reforms. Inde...
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作者：Bergstresser, D; Poterba, J
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper explores the relationship between the after-tax returns that taxable investors earn on equity mutual funds and the subsequent cash inflows to these funds. Previous studies have documented that funds with high pretax returns attract greater inflows. This paper presents evidence, based on a large sample of retail equity mutual funds over the period 1993-1999, that after-tax returns have more explanatory power than pretax returns in explaining inflows. In addition, funds with large ove...
