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作者：Bernstein, Shai; Dev, Abhishek; Lerner, Josh
作者单位：Stanford University; National Bureau of Economic Research; Harvard University
摘要：This paper explores the creation and evolution of new stock exchanges around the world geared toward entrepreneurial companies, known as second-tier exchanges. Using handcollected novel data, we show the proliferation of these exchanges in many countries, their significant volume of Initial Public Offerings (IPOs), and lower listing requirements. Shareholder protection strongly predicted exchange success, even in countries with high levels of venture capital activity, patenting, and financial ...
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作者：Wang, Xue; Yan, Xuemin (Sterling); Zheng, Lingling
作者单位：University of International Business & Economics; University of Missouri System; University of Missouri Columbia; Lehigh University; Renmin University of China
摘要：Shorting flows remain a significant predictor of negative future stock returns during 2010-2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates ...
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作者：Segura, Anatoli; Zeng, Jing
作者单位：European Central Bank; Bank of Italy; University of Vienna; Frankfurt School Finance & Management
摘要：Off-balance sheet financing of an investment is covered by limited liability, whereas on-balance sheet financing creates unlimited liability towards the bank's asset-in-place. Off-balance sheet funding thus gives the bank flexibility to voluntarily support debt repayments when the investment fails, which allows the bank to signal information about the quality of its future projects, improving investment efficiency. Yet, limited liability reduces the bank's effort incentives. Off-balance sheet ...
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作者：Howell, Sabrina T.
作者单位：New York University; National Bureau of Economic Research
摘要：Venture capital, an important source of financing for potentially high-growth new businesses, is believed to suffer from information frictions. This paper quantifies the magnitude of these frictions among participants in new venture competitions. In a regression discontinuity design with data from 87 competitions, winning a round increases the chances of external financing by about 35%. Winning is most impactful for ventures that are ranked just above the cutoff but receive no cash prize, and ...
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作者：Wang, Wenyu; Wu, Yufeng
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Illinois System; University of Illinois Urbana-Champaign
摘要：How and to what extent do managerial control benefits shape the efficiency of the takeover market? We revisit this question by estimating both the dark and bright sides of managerial control benefits in an industry equilibrium model. On the dark side, managers' private benefits of control distort firms' takeover incentives and hinder the reallocation role of the takeover market. On the bright side, fear of a takeover induces underperforming managers to exert more effort and enhances the discip...
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作者：Makinen, Taneli; Sarno, Lucio; Zinna, Gabriele
作者单位：European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
摘要：Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting that guaranteed banks, defined as those of particular importance to the national economy, inherit the risk of the guarantor. Indeed, this premium does not exist in safe-haven countries. We rationalize these findings with a model in which implicit governme...
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作者：Duarte, Jefferson; Hu, Edwin; Young, Lance
作者单位：Rice University; U.S. Securities & Exchange Commission (SEC); University of Washington; University of Washington Seattle
摘要：We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN's Adj.PIN and PIN....
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University
摘要：We find evidence consistent with previously unrecognized market manipulation by broker-dealers. Specifically, we show that pre-trade hedging, which is distinct from front-running, alters prices at which derivative trades occur. We show this behavior is intentional by exploiting variation in the design of structured equity products (SEPs). We find positive abnormal returns on SEP pricing dates for which issuers benefit from altering closing stock prices but no such returns on pricing dates of o...
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作者：Collin-Dufresne, Pierre; Daniel, Kent; Saglam, Mehmet
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Columbia University; National Bureau of Economic Research; University System of Ohio; University of Cincinnati
摘要：We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios in all future states. The trading speed is higher in more persistent, riskier, and higher-liquidity states. It can be optimal to overweight low Sharpe-ratio assets such as Treasury bonds because they remain liquid even in crisis states. We il...
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作者：Kwon, Sungjoung; Lowry, Michelle; Qian, Yiming
作者单位：Wayne State University; Drexel University; University of Connecticut
摘要：Historically, a key advantage of being a public firm was broader access to capital, from a disperse group of shareholders. In recent years, such capital has increasingly become available to private firms as well. We document a dramatic increase over the past twenty years in the number of mutual funds participating in private markets and in the dollar value of these private firm investments. We evaluate several factors that potentially contribute to this trend: firms seeking extra capital to po...
