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作者：Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, Sarah Qian
作者单位：New York University; University of Hong Kong; University of Warwick
摘要：We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy if they are linked to CDS trading. Furthermore, firms with more no restructuring contracts than other types of CDS contracts (i.e., contra...
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作者：Malenko, Nadya
作者单位：Boston College
摘要：Time constraints, managerial power, and reputational concerns can impede board communication. This paper develops a model where board decisions depend on directors' effort in communicating their information to others. I show that directors communicate more effectively when pressure for conformity is stronger-that is, when directors are more reluctant to disagree with each other. Hence, open ballot voting can be optimal, even though it induces directors to disregard their information and confor...
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作者：Hong, Harrison; Jiang, Wenxi; Wang, Na; Zhao, Bin
作者单位：Princeton University; Yale University; Hofstra University; Shanghai Jiao Tong University
摘要：We show that Keeping-Up-with-the-Joneses preferences can explain several puzzling retail investor behaviors, including the excessive trading of small local stocks. Status concerns lead households, especially those living in affluent areas, to demand these stocks to track their neighbors' wealth. This demand varies procyclically with the stock market's value and generates household trading. Using Chinese data on local stock turnover, stock message boards, and brokerage account trading, we test ...
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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California Berkeley; Western University (University of Western Ontario)
摘要：We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are adversely selected. The direction of HFTs' trading predicts price changes over short horizo...
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作者：Easley, David; O'Hara, Maureen; Yang, Liyan
作者单位：Cornell University; Cornell University; University of Toronto
摘要：We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis to investigate the implications of regulations that affect disclosure requirements of hedge funds or t...
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作者：Bruche, Max; Llobet, Gerard
作者单位：City St Georges, University of London
摘要：Because of limited liability, insolvent banks have an incentive to continue lending to insolvent borrowers, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem. The scheme would induce banks to reveal their bad loans, which can then be dealt with. Bank participation in the scheme would be voluntary. Even though banks have private information on the quantity of bad loans on their balan...
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作者：Griffin, John; Lowery, Richard; Saretto, Alessio
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas
摘要：Conventional wisdom suggests that high-reputation banks will generally produce good securities to maintain their long-run reputation. We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns. We examine this possibility using a unique sample of $10.1 trillion of CLO, MBS, ABS, and CDOs. Contrary to the conventional view, securities issued by more reputable banks did not outperform but, rather, had higher p...
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作者：Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi
作者单位：Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY); Bentley University; Fordham University
摘要：We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after controlling for risk factors and stock characteristics. Furthermore, we show that investor inattention ...
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作者：Babenko, Ilona; Sen, Rik
作者单位：Arizona State University; Arizona State University-Tempe; Hong Kong University of Science & Technology
摘要：We analyze participation decisions in employee stock purchase plans. These plans allow employees to buy company stock at a discount from the market price and resell it immediately for a sure profit. Although an average employee stands to gain $3,079 annually, only 30% of individuals take advantage of this risk-free opportunity. Participation is more likely among employees who are familiar with stocks, are more educated, are less financially constrained, and make fewer errors in valuing financi...
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作者：Giglio, Stefano; Shue, Kelly
作者单位：University of Chicago; National Bureau of Economic Research
摘要：As illustrated in the tale of the dog that did not bark, the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent...
