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作者：Bloomfield, R; O'Hara, M
作者单位：Cornell University
摘要：This paper investigates whether transparent markets can survive when faced with direct competition from less transparent markets. We first construct a game-theoretic model in which in equilibrium the low-transparency dealers capture early order flow, and use the resulting informational advantage to quote narrower spreads and earn more profits than their more transparent competitors. We then conduct a laboratory experiment that tests and supports all of these predictions. A second experiment sh...
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作者：Gupta, A; Subrahmanyam, MG
作者单位：New York University; University System of Ohio; Case Western Reserve University
摘要：This paper examines the convexity bias, caused by the non-linearity of payoffs, in the pricing of interest rate swaps off the Eurocurrency futures curve. The evidence from four major currencies - $, pound, DM and Yen - during 1987-1996 suggests that swaps were initially being priced off the futures curve (ignoring the convexity adjustment); subsequently, the market swap rates drifted below the rates implied by futures prices. After rejecting alternative explanations, we use alternative term st...
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作者：La Porta, R; Lopez-De-Silanes, F; Shleifer, A; Vishny, R
作者单位：Harvard University; Harvard University; University of Chicago
摘要：Recent research has documented large differences among countries in ownership concentration in publicly traded firms, in the breadth and depth of capital markets, in dividend policies, and in the access of firms to external finance. A common element to the explanations of these differences is how well investors, both shareholders and creditors, are protected by law from expropriation by the managers and controlling shareholders of firms. We describe the differences in laws and the effectivenes...
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作者：Nanda, V; Narayanan, MP; Warther, VA
作者单位：University of Michigan System; University of Michigan
摘要：We develop a model of the mutual fund industry in which the management fees and loads charged by actively managed open-end funds and average fund returns are determined endogenously in a competitive market setting. It is shown that heterogeneity in managerial skills at investing and minimizing costs, and the existence of investor clienteles with differing liquidity and marketing needs, gives rise to a variety of open-end fund structures that differ in the average return delivered to investors....
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作者：Schwert, GW
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作者：Gillan, SL; Starks, LT
作者单位：University of Texas System; University of Texas Austin; U.S. Securities & Exchange Commission (SEC)
摘要：We study shareholder proposals across a period of substantial activity and find systematic differences both across sponsor identity and across time. To measure the success of shareholder activism, we examine voting outcomes and short-term market reactions conditioned on proposal type and sponsor identity. The voting analysis documents that sponsor identity, issue type, prior performance and time period are important influences on the voting outcome. Proposals sponsored by institutions or coord...
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作者：Fenn, GW
摘要：I document the shift of high-yield issuance from the public to the Rule 144A private placement market and exploit data on credit spreads to investigate whether investors regard disclosure in the two markets as comparable. The key implications of the inadequate-disclosure hypothesis are that investors require premiums on 144A securities and that such premiums are largest for first-time bond issuers and privately owned firms about whom less information is publicly available. I find that 144A pre...
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作者：Chernov, M; Ghysels, E
作者单位：Columbia University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill
摘要：The purpose of this paper is to bridge two strands of the literature, one pertaining to the objective or physical measure used to model an underlying asset and the other pertaining to the risk-neutral measure used to price derivatives. We propose a generic procedure using simultaneously the fundamental price, S-t, and a set of option contracts [(sigma(it)(I))(i=1,m)] where m greater than or equal to 1 and sigma(it)(I) is the Black-Scholes implied volatility. We use Heston's (1993. Review of Fi...
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作者：Stanton, R
作者单位：University of California System; University of California Berkeley
摘要：The regulations governing asset distributions from many retirement plans give participants the option to time retirement or rollovers from the plan strategically. They possess a long-lived put option, whose exercise price resets periodically to the current value of the assets in the plan. I derive a recursive closed-form valuation formula for the option and develop a numerical algorithm for implementing the result. I find that, for reasonable assumptions about volatility and life expectancy, t...
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作者：Griffiths, MD; Smith, BF; Turnbull, DAS; White, RW
作者单位：Wilfrid Laurier University; Pepperdine University; Western University (University of Western Ontario); University Western Ontario Hospital
摘要：This paper examines the costs and determinants of order aggressiveness. Aggressive orders have larger price impacts but smaller opportunity costs than passive orders. Price impacts are amplified by large orders, small firms, and volatile stock prices. To minimize the implementation shortfall, the optimal strategy is to enter buy (sell) orders at the bid task). Aggressive buy (sell) orders tend to follow other aggressive buy (sell) orders and occur when bid-ask spreads are narrow and depth on t...
