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作者：Leuz, Christian; Lins, Karl V.; Warnock, Francis E.
作者单位：Utah System of Higher Education; University of Utah; University of Chicago; National Bureau of Economic Research; University of Virginia; National Bureau of Economic Research
摘要：As domestic sources of outside finance are limited in many countries around the world, it is important to understand factors that influence whether foreign investors provide capital to a country's firms. We study 4,409 firms from twenty-nine countries to assess whether and why concerns about corporate governance result in fewer foreign holdings. We find that foreigners invest less in firms that reside in countries with poor outsider protection and disclosure and have ownership structures that ...
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作者：King, Michael R.; Segal, Dan
作者单位：Bank of Canada; University of Toronto
摘要：We show that investor recognition and bonding associated with a U.S. cross-listing are distinct effects using a sample of Canadian firms. In contrast to the post-listing decline documented in the literature, we find that cross-listed firms with a single class of shares enjoy a permanent increase in valuation if they attract and maintain investor recognition over time. Valuations of firms that fail to widen their U.S. shareholder base return to pre-listing levels within two years. Cross-listed ...
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作者：Butler, Alexander W.; Fauver, Larry; Mortal, Sandra
作者单位：University of Texas System; University of Texas Dallas; University of Tennessee System; University of Tennessee Knoxville; University of Memphis
摘要：We show that state corruption and political connections have strong effects on municipal bond sales and underwriting. Higher state corruption is associated with greater credit risk and higher bond yields. Corrupt states can eliminate the corruption yield penalty by purchasing credit enhancements. Underwriting fees were significantly higher during an era when underwriters made political contributions to win underwriting business. This pay-to-play underwriting fee premium exists only for negotia...
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作者：Easley, David; O'Hara, Maureen
作者单位：Cornell University; Cornell University
摘要：We investigate the implications of ambiguity aversion for performance and regulation of markets. In our model, agents' decision making may incorporate both risk and ambiguity, and we demonstrate that nonparticipation arises from the rational decision by some traders to avoid ambiguity. In equilibrium, these participation decisions affect the equilibrium risk premium, and distort market performance when viewed from the perspective of traditional asset pricing models. We demonstrate how regulati...
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作者：Bouwman, Christa H. S.; Fuller, Kathleen; Nain, Amrita S.
作者单位：McGill University; University of Mississippi; University System of Ohio; Case Western Reserve University
摘要：Existing research shows that significantly more acquisitions occur when stock markets are booming than when markets are depressed. Rhodes-Kropf and Viswanathan (2004) hypothesize that firm-specific and market-wide valuations lead to an excess of mergers, and these will be value destroying. This article investigates whether acquisitions occurring during booming markets are fundamentally different from those occurring during depressed markets. We find that acquirers buying during high-valuation ...
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作者：Cao, H. Henry; Ou-Yang, Hui
摘要：We analyze the effects of differences of opinion on the dynamics of trading volume in stocks and options. We find that disagreements about the mean of the current- and next-period public information lead to trading in stocks in the current period but have no effect on options trading. Without options, we find that disagreements about the precision of all past and current public information affect trading in stocks in the current period. With options, only disagreements about the precisions of ...
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作者：Ozoguz, Arzu
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from two-state regime-switching models of aggregate market return and of aggregate output, I find a negative relationship between the level of uncertainty and asset valuations. This relationship shows substant...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M.
作者单位：Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); New York University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of the unhedgeable parts of the two options. Empirically, we identify aggregate positions of dealers and end-users using a unique dataset, and show that demand-pressure ef...
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作者：Duan, Jin-Chuan; Wei, Jason
作者单位：University of Toronto; National University of Singapore
摘要：This study demonstrates the impact of systematic risk on the prices of individual equity options. The option prices are characterized by the level and slope of implied volatility curves, and the systematic risk is measured as the proportion of systematic variance in the total variance. Using daily option quotes on the S, and P 100 index and its 30 largest component stocks, we show that after controlling for the underlying asset's total risk, a higher amount of systematic risk leads to a higher...
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作者：Yan, Xuemin (Sterling); Zhang, Zhe
作者单位：Singapore Management University; University of Missouri System; University of Missouri Columbia
摘要：We show that the positive relation between institutional ownership and future stock returns documented in Gompers and Metrick (2001) is driven by short-term institutions. Furthermore, short-term institutions trading forecasts future stock returns. This predictability does not reverse in the long run and is stronger for small and growth stocks. Short-term institutions trading is also positively related to future earnings surprises. By contrast, long-term institutions trading does not forecast f...
