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作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：INSEAD Business School; Stanford University; New York University
摘要：We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline. This price decline is to be anticipated, for example, after an initial public offering, and is increasing in the degree of heterogeneity of beliefs about the future value of the security. The prospect of lending fees may push the ini...
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作者：Chen, J; Hong, H; Stein, JC
作者单位：Harvard University; University of Southern California; Stanford University
摘要：We develop a stock market model with differences of opinion and short-sales constraints. When breadth is low-i.e., when few investors have long positions-this signals that the short-sales constraint is binding tightly, and that prices are high relative to fundamentals. Thus reductions in breadth should forecast lower returns. Using data on mutual fund holdings, we find that stocks whose change in breadth in the prior quarter is in the lowest decile of the sample underperform those in the top d...
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作者：Cohen, RB; Gompers, PA; Vuolteenaho, T
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：A large body of literature suggests that firm-level stock prices underreact to news about future cash flows; i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Institutions buy shares from (sell shares to) individuals in response to positive (negative) cash-flow news, thus exploiting the underreaction phenomenon. Instituti...
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作者：Hatch, BC; Johnson, SA
作者单位：Louisiana State University System; Louisiana State University; University System of Ohio; University of Cincinnati
摘要：Acquisitions among New York Stock Exchange specialist firms can increase specialist firm size, capitalization, and market concentration, and thereby affect the market quality of the stocks they trade. We find that while traded stocks show significant improvement in several market quality measures following acquisitions, similar changes are evident in matched control stocks not involved in acquisitions. We conclude that specialist firm acquisitions either do not improve market quality, or impro...
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作者：Greene, JT; Hodges, CW
作者单位：University System of Georgia; Georgia State University; University System of Georgia; University of West Georgia
摘要：We examine how mutual fund flows that are correlated with subsequent fund returns can have a dilution impact on the performance of open-end funds. Active trading of open-end funds has a meaningful economic impact on the returns of passive, nontrading shareholders, particularly in U.S.-based international funds. The overall sample of domestic equity funds shows no dilution impact, but we find an annualized negative impact of 0.48% in international funds (and nearly 1% for a subsample of funds w...
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作者：Choi, JJ; Laibson, D; Metrick, A
作者单位：University of Pennsylvania; Harvard University; National Bureau of Economic Research
摘要：We analyze the impact of a Web-based trading channel on trader behavior and performance in two large corporate 401(k) plans. After 18 months of Web access, trading frequency at sample firms doubles relative to a control group of firms without a Web channel. Web trades tend to be smaller than trades made through other channels and Web traders tend to have smaller portfolios than other traders, so the Web's impact on portfolio turnover is substantially smaller than its effect on trading frequenc...
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作者：Buraschi, A; Menini, D
作者单位：University of London; London Business School
摘要：Repo contracts, the most important form of collateralized lending, are widely used by financial institutions and hedge funds to create short-selling positions and manage their leverage profile. Moreover, they have become the primary tool of money management and monetary control of several central banks, including the Bundesbank and the newly born European Central Bank. This paper is an empirical study of this market. More specifically, we study the extent to which the current term structure of...
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作者：Lamont, OA; Polk, C
作者单位：University of Chicago; National Bureau of Economic Research; Northwestern University
摘要：Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary to draw inferences about the causal effect. We examine changes in the within-firm dispersion of industry investment, or diversity. We find that exogenous changes in diversity, due to changes in industry investment, are negatively related to firm value. Thus diversification destroys value, consistent with the inefficient internal capital mark...
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作者：Bernardo, AE; Chowdhry, B
作者单位：University of California System; University of California Los Angeles
摘要：The types of investments a firm undertakes will depend in part on what it expects the outcome of those investments to reveal about its skills, capabilities. and assets (i.e., its resources). We predict that a firm will specialize when young, then experiment in a new line of business for some time, and then either expand into a large, multisegment business or focus and scale up its specialized business. We derive several empirical implications for firm valuations and the reaction of stock price...
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作者：Lo, AW; MacKinlay, AC; Zhang, J
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive to the limit price, but are not sensitive to limit size. Hypothetical limit-order executions, constr...
