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作者：Ramachandran, Lakshmi Shankar; Tayal, Jitendra
作者单位：University System of Ohio; Case Western Reserve University; University System of Ohio; Ohio University
摘要：Motivated by the theory of demand-based option pricing in imperfect markets, we examine the relation between short-sale constraints and equity option returns, conditional on the level of mispricing in the underlying stock. We report a monotonic relation between various measures of short-sale constraints and delta-hedged returns of put options on overpriced stocks. This relation is robust to controls for firm attributes and limits to arbitrage proxies. Our findings suggest that while investors ...
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作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); International Institute for Management Development (IMD); Tilburg University
摘要：This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the volatility of the price-dividend ratio, the predictability of cash flows and re-turns, and the large predictability of returns in re...
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作者：Bae, Kee-Hong; Bailey, Warren; Kang, Jisok
作者单位：York University - Canada; Cornell University; Fudan University; Fudan University; University System of Ohio; John Carroll University
摘要：The stock market should fund promising new firms, thereby breeding competition, innovation, and economic growth. However, using three decades of data from 47 countries, we show that concentrated stock markets dominated by a small number of very successful firms are associated with less efficient capital allocation, sluggish initial public offering and innovation activity, and slower economic growth. These findings are robust to alternative sample periods, econometric specifications, and compet...
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作者：Wang, Xinjie; Wu, Yangru; Yan, Hongjun; Zhong, Zhaodong (Ken)
作者单位：Southern University of Science & Technology; Rutgers University System; Rutgers University New Brunswick; DePaul University
摘要：We use the advent of new credit default swap (CDS) trading conventions in April 2009-the CDS Big Bang-to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees depending on the level of CDS spreads. While CDS bid-ask spreads decline in aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is stronger for sm...
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作者：Gonzalez-Uribe, Juanita; Reyes, Santiago
作者单位：University of London; London School Economics & Political Science; Inter-American Development Bank
摘要：Why is high-growth entrepreneurship scarce in developing countries? Does this scarcity reflect firm capabilities constraints? We explore these questions using as a laboratory an accelerator in Colombia that selects participants using scores from randomly assigned judges and offers them training, advice, and visibility but no cash. Exploiting exogenous differences in judges' scoring generosity, we show that alleviating constraints to firm capabilities unlocks innovative entrepreneurs' potential...
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作者：Benetton, Matteo; Fantino, Davide
作者单位：University of California System; University of California Berkeley; European Central Bank; Bank of Italy
摘要：We exploit an allocation rule set by the ECB for the first series of TLTROs to study the effects of targeted monetary policy on banks' credit supply to firms. Combining transaction level data from the Italian credit register and an instrumental variable identification strategy, we find that targeted longer-term central bank liquidity decreased rates and increased loan amounts, also avoiding some unintended consequences of untargeted measures, such as carry-trade strategies and risk shifting. W...
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作者：Goncalves, Andrei S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Stocks of firms with cash flows concentrated in the short term (i.e., short duration stocks) pay a large premium over long duration stocks. I empirically demonstrate that this premium (i) is long-lived and strong even among large firms, (ii) subsumes the value and profitability premia, and (iii) exposes investors to variation in expected returns, especially in times when the premium is high. These facts are consistent with an intertemporal model in which the marginal (long-term) investor disli...
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作者：Ranaldo, Angelo; Schaffner, Patrick; Vasios, Michalis
作者单位：University of St Gallen; Bank of England
摘要：We analyze the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts of cash in reverse repurchase agreements (repos). Basel III, in contrast, disincentivizes the borrowing demand by tightening banks' balance sheet constraints. Using unique regulatory data of CCP investment activity and repo transactions, we find compelling evidence for both the supply and demand channels. The o...
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作者：Zhu, Qifei
作者单位：Nanyang Technological University
摘要：I examine how the investment behavior of bond mutual funds affects corporate financing decisions. Mutual funds that hold a firm's existing bonds have a high propensity to acquire additional new issuances from the same firm. I utilize this stylized fact to construct a firm specific bond capital supply measure by aggregating flows from a firm's existing bondholders. Firms with a higher flow-driven capital supply are more likely to issue bonds, enjoy lower yields, and substitute away from equity ...
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作者：Ranaldo, Angelo; Somogyi, Fabricius
作者单位：University of St Gallen
摘要：This work studies the information content of trades in the world's largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. ...
