-
作者：Foucault, Thierry; Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Maryland; University of Maryland College Park
摘要：Cross-listed firms in the United States have a higher investment-to-price sensitivity than do firms that never cross-list. This difference is strong, does not exist prior to the cross-listing date, and does not vanish afterward. Moreover, it does not appear to be primarily driven by improvements in governance, disclosure, and access to capital associated with a U.S. cross-listing. Instead, we argue that a cross-listing enhances managers' reliance on stock prices because it makes stock prices m...
-
作者：Aragon, George O.; Nanda, Vikram
作者单位：Arizona State University; Arizona State University-Tempe; University System of Georgia; Georgia Institute of Technology
摘要：We analyze whether risk shifting by a hedge fund manager is related to the manager's incentive contract, personal capital stake, and the risk of fund closure. We find that the propensity to increase risk following poor performance is significantly weaker when incentive pay is tied to the fund's high-water mark and when funds face little immediate risk of liquidation. Risk shifting is also less prevalent when a manager has a significant amount of personal capital invested in the fund. Overall, ...
-
作者：Linnainmaa, Juhani T.; Saar, Gideon
作者单位：Cornell University; University of Chicago
摘要：This article investigates the information content of signals about the identity of investors and their role in price formation. Whereas we document that investors use multiple brokers, broker identity is nevertheless a powerful signal about the identity of investors who initiate trades. The market also correctly processes this signal: the permanent price impact of orders coming from different brokers fits the information profile of the investors associated with these brokers. Our results sugge...
-
作者：Vayanos, Dimitri; Wang, Jiang
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competiti...
-
作者：He, Zhiguo; Xiong, Wei
作者单位：Princeton University; University of Chicago; National Bureau of Economic Research
摘要：This article analyzes the dynamic coordination problem among creditors of a firm with a time-varying fundamental and a staggered debt structure. In deciding whether to roll over his debt, each maturing creditor is concerned about the rollover decisions of other creditors whose debt matures during his next contract period. We derive a unique threshold equilibrium and characterize the roles of fundamental volatility, credit lines, and debt maturity in driving runs. In particular, we show that wh...
-
作者：Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
作者单位：Southern Methodist University; Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville
摘要：Using a proprietary dataset of institutional investors' equity transactions, we document that institutional trading desks can sustain relative performance over adjacent periods. We find that trading-desk skill is positively correlated with the performance of the institution's traded portfolio, suggesting that institutions that invest resources in developing execution abilities also invest in generating superior investment ideas. Although some brokers can deliver better executions consistently ...
-
作者：Bollen, Nicolas P. B.; Pool, Veronika K.
作者单位：Vanderbilt University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performan...
-
作者：Ferreira, Miguel A.; Matos, Pedro
作者单位：University of Virginia
摘要：We investigate the effects of bank control over borrower firms whether by representation on boards of directors or by the holding of shares through bank asset management divisions. Using a large sample of syndicated loans, we find that banks are more likely to act as lead arrangers in loans when they exert some control over the borrower firm. Bank-firm governance links are associated with higher loan spreads during the 2003-2006 credit boom but lower spreads during the 2007-2008 financial cris...
-
作者：Chernenko, Sergey; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University
摘要：We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables, including average investment rates. However, flows into high-yield mutual funds have an economically significant effect on the issuance and investment of the speculative-grade firms relative to their matches, especially for firms likely to be financially constrained. The effect is associated with t...
-
作者：Bayazitova, Dinara; Shivdasani, Anil
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We study the government equity infusions into banks under the Capital Purchase Program (CPP) of the Troubled Asset Relief Program (TARP). Strong banks opted out of CPP, and equity infusions were provided to banks that posed systemic risk and faced high financial distress costs but had strong asset quality. Concerns over executive compensation led banks to reject CPP infusions and exit the program. CPP infusions did not have meaningful certification effects, but the subsequent stress tests cond...
