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作者：Goldstein, Michael A.; Irvine, Paul; Kandel, Eugene; Wiener, Zvi
作者单位：Babson College; University System of Georgia; University of Georgia; Hebrew University of Jerusalem
摘要：The institutional brokerage industry faces an ever-increasing pressure to lower trading costs, which has already driven down average commissions and shifted volume toward low-cost execution venues. However, traditional full-service brokers that bundle execution with services remain a force and their commissions are still considerably higher than the marginal cost of trade execution. We hypothesize that commissions constitute a convenient way of charging a prearranged fixed fee for long-term ac...
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作者：Rosu, Ioanid
作者单位：University of Chicago
摘要：This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium, the bid and ask prices depend only on the numbers of buy and sell orders in the book. The model has a number of empirical predictions: (i) higher trading activity and higher trading competition cause smaller spreads and lower price impact; (ii) market orders lead t...
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作者：Banerjee, Snehal; Kaniel, Ron; Kremer, Ilan
作者单位：Northwestern University; Duke University; Stanford University
摘要：Motivated by the insight of Keynes (1936) on the importance of higher-order beliefs in financial markets, we examine the role of such beliefs in generating drift in asset prices. we show that in a dynamic setting, a higher-order difference of opinions is necessary for heterogeneous beliefs to generate price drift. Such drift does not arise in standard difference of opinion models, since investors' beliefs are assumed to be common knowledge. Our results stand in contrast to those of Allen, Morr...
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作者：Bris, Arturo; Koskinen, Yrjoe; Nilsson, Mattias
作者单位：Boston University; University of Colorado System; University of Colorado Boulder
摘要：In this paper, we study the changes in corporate valuations induced by the adoption of the euro as the common currency in Europe. We use corporate-level data from seventeen European countries, of which eleven adopted the euro. We show that the introduction of the euro has increased Tobin's Q-ratios by 17.1% in the {euro-area} countries that previously had weak currencies. Part of the increase in corporate valuations is explained by the decrease in interest rates and by the decrease in the cost...
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作者：Baruch, Shmuel; Saar, Gideon
作者单位：Utah System of Higher Education; University of Utah; Cornell University
摘要：We propose a mechanism that relates asset returns to the firm's optimal listing choice. We use a theoretical model to show that a stock will be more liquid when it is listed on a market where similar securities are traded. We empirically examine the implications of our model using New York Stock Exchange (NYSE) and Nasdaq securities. We find that the return patterns of stocks that switch markets become more similar to the return patterns of securities listed on the new market prior to the swit...
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作者：Constantinides, George M.; Jackwerth, Jens Carsten; Perrakis, Stylianos
作者单位：University of Chicago; National Bureau of Economic Research; University of Konstanz; Concordia University - Canada
摘要：Widespread violations of stochastic dominance by 1-month S&P 500 index call options over 1986-2006 imply that a trader can improve expected utility by engaging in a zero-net-cost trade net of transaction costs and bid-ask spread. Although precrash option prices conform to the Black-Scholes-Merton model reasonably well, they are incorrectly priced if the distribution of the index return is estimated from time-series data. Substantial violations by postcrash OTM calls contradict the notion that ...
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作者：Sundaresan, Suresh; Wang, Zhenyu
作者单位：Columbia University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to the concern, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. Using the implied volatilities of Y2K options and the on/off-the-run spread, we demonstrate that the Fed's action eased the fears of bond dealers, contributing to a drop in...
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作者：Wang, Cong; Xie, Fei
作者单位：George Mason University; Chinese University of Hong Kong
摘要：We present evidence on the benefits of changes in control from mergers and acquisitions. We find that the stronger the acquirer's shareholder rights relative to the target's, the higher the synergy created by an acquisition. This result supports the hypothesis that acquisitions of firms with poor corporate governance by firms with good corporate governance generate higher total gains. We also find that the synergy effect of corporate governance is shared by target shareholders and acquiring sh...
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作者：Bodnaruk, Andriy; Kandel, Eugene; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; Maastricht University; Hebrew University of Jerusalem; Stockholm School of Economics
摘要：We study the effects of the controlling shareholders' portfolio diversification on the initial public offering (IPO) process. Less diversified shareholders have more to gain from taking their firm public, and are more willing to accept a lower price for shares. We test these hypotheses using the data on all IPOs in Sweden between 1995 and 2001. Using detailed information on the portfolio composition of shareholders in private and public firms, we construct several proxies of their portfolio di...
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作者：Halling, Michael; Pagano, Marco; Randl, Otto; Zechner, Josef
作者单位：University of Vienna; Utah System of Higher Education; University of Utah; University of Naples Federico II; University of Vienna
摘要：We analyze the location of stock trading for firms with a US cross-listing. The fraction of trading that occurs in the United States tends to be larger for companies from countries that are geographically close to the United States and feature low financial development and poor insider trading protection. For companies based in developed countries, trading volume in the United States is larger if the company is small, volatile, and technology-oriented, while this does not apply to emerging cou...
