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作者：Pavlova, Anna; Rigobon, Roberto
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of London; London Business School
摘要：We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives rise to an additional channel of international propagation-through the terms of trade-absent in traditional single-good models. The inclusion of demand shocks helps overturn many unrealistic implications of existing international finance models in which productivity shocks are the sole source of uncertainty. Our model generates a rich set ...
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作者：Pasquariello, Paolo
作者单位：University of Michigan System; University of Michigan
摘要：This study examines how heterogeneity of private information may induce financial contagion. Using a model of multi-asset trading in which the three main channels of contagion through financial linkages in the literature (correlated information, correlated liquidity, and portfolio rebalancing) are ruled out by construction, I show that financial contagion can still be an equilibrium outcome when speculators receive heterogeneous fundamental information. Risk-neutral speculators trade strategic...
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作者：Cai, Nianyun Kelly; Helwege, Jean; Warga, Arthur
作者单位：University of Michigan System; University of Michigan; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Houston System; University of Houston
摘要：This article examines underpricing of initial public offerings (IPOs) and seasoned offerings in the corporate bond market. We investigate whether underpricing represents a solution to an information problem or a liquidity problem. We find that underpricing occurs with both IPOs and seasoned offerings and is highest among riskier, unknown firms. Our evidence suggests that information problems drive underpricing, with support for both the bookbuilding view of underpricing and the asymmetric info...
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作者：Goldstein, Michael A.; Hotchkiss, Edith S.; Sirri, Erik R.
作者单位：Babson College; Boston College
摘要：This article reports the results of an experiment designed to assess the impact of last-sale trade reporting on the liquidity of BBB corporate bonds. Overall, adding transparency has either a neutral or a positive effect on liquidity. Increased transparency is not associated with greater trading volume. Except for very large trades, spreads on newly transparent bonds decline relative to bonds that experience no transparency change. However, we find no effect on spreads for very infrequently tr...
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作者：Hou, Kewei
作者单位：University System of Ohio; Ohio State University
摘要：I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is relat...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; Duke University
摘要：The article shows that two measures of the amount of private information in stock price-price nonsynchronicity and probability of informed trading (PIN)-have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest that firm managers learn from the private information in stock price about their own firms' fundamentals...
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作者：Cunat, Vicente
作者单位：Pompeu Fabra University
摘要：This article examines how in a context of limited enforceability of contracts suppliers may have a comparative advantage over banks in lending to customers because they are able to stop the supply of intermediate goods. Suppliers may act also as liquidity providers, insuring against liquidity shocks that could endanger the survival of their customer relationships. The relatively high implicit interest rates of trade credit are the result of insurance and default premiums that are amplified whe...
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作者：Bris, Arturo; Gulen, Huseyin; Kadiyala, Padma; Rau, P. Raghavendra
作者单位：Purdue University System; Purdue University; Pace University; Virginia Polytechnic Institute & State University
摘要：We examine a sample of 125 equity mutual funds that closed to new investment between 1993 and 2004. We find that funds close following a period of superior performance and abnormal fund inflows. Fund managers raise their fees when they close to compensate managers for losses in income due to the restrictions in size imposed by the fund closure decision. Managers reopen when fund size declines. However, they do not earn superior returns after reopening, suggesting that the fund closure decision...
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作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian
作者单位：Columbia University; National Bureau of Economic Research; Duke University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively corre...
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作者：Degeorge, Francois; Derrien, Francois; Womack, Kent L.
作者单位：Dartmouth College; University of Toronto; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：The bookbuilding IPO procedure has captured significant market share from auction alternatives recently, despite the significantly lower costs related to the auction mechanism. In France, where both mechanisms were used in the 1990s, the ostensible advantages of bookbuilding were advertising-related benefits. Book-built issues were more likely to be followed and positively recommended by lead underwriters. Even nonunderwriters' analysts promote book-built issues more in order to curry favor wi...
