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作者：Alexander, Gordon J.; Cici, Gjergji; Gibson, Scott
作者单位：William & Mary; University of Minnesota System; University of Minnesota Twin Cities
摘要：We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows, the manager is likely to be motivated to work off excess liquidity by buying stocks. Our analysis reveals that managers making purely valuation-motivated purchases substantially beat the market but are unable to do so when compel...
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作者：He, Ping
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：In the IPO market, investors coordinate on acceptable IPO price based on the performance of past IPOs, and this generates an incentive for investment banks to produce information about IPO firms. In hot periods, the information produced by investment banks improves the quality of IPO firms, and this allows ex ante low quality firms to go public and increases the secondary market price, thus synchronizing high IPO volumes and high first day returns. When investment banks behave asymmetrically i...
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作者：Green, Richard C.; Hollifield, Burton; Schuerhoff, Norman
作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
摘要：Municipal bonds trade in opaque, decentralized broker-dealer markets in which price information is costly to gather. We analyze a database of trades between broker-dealers and customers in municipal bonds. These data were only released to the public with a lag; the market was opaque. Dealers earn lower average markups on larger trades, even though dealers bear a higher risk of losses with larger trades. We estimate a bargaining model and compute measures of dealer's bargaining power. Dealers e...
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作者：Basak, Suleyman; Pavlova, Anna; Shapiro, Alexander
作者单位：University of London; London Business School; New York University
摘要：This article investigates a fund manager's risk-taking incentives induced by an increasing and convex relationship of fund flows to relative performance. In a dynamic portfolio choice framework, we show that the ensuing convexities in the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk tolerance. In the...
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作者：Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; Poteshman, Allen M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea University; National University of Singapore
摘要：This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 ...
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作者：Ziegler, Alexandre
作者单位：Swiss Finance Institute (SFI); University of Lausanne
摘要：Implied risk aversion estimates reported in the literature are strongly U-shaped. This article explores different potential explanations for these smile patterns: (i) preference aggregation, both with and without stochastic volatility and jumps in returns, (ii) misestimation of investors' beliefs caused by stochastic volatility, jumps, or a Peso problem, and (iii) heterogeneous beliefs. The results reveal that preference aggregation and misestimation of investors' beliefs caused by stochastic ...
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作者：Polkovnichenko, Valery
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：This article explores the implications of additive and endogenous habit formation preferences in the context of a life-cycle model of an investor who has stochastic uninsurable labor income. To solve the model, I analytically derive the habit-wealth feasibility constraints and show that they depend on the worst possible path of future labor income and on the habit strength, but not on the probability of the worst income. When there is only a slim chance of a severe income shock, the model impl...
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作者：Mathews, Richmond D.
作者单位：Duke University
摘要：I show that firms may optimally sell blocks of their own equity to other firms in anticipation of future corporate control activity. In the model, a target and one potential acquirer, who may also be an alliance partner, can negotiate before synergy values are learned. I find that equity implements an optimal mechanism, allowing the partners to extract surplus from outside bidders who may arrive later. The stake is limited by the outsiders' willingness to investigate. The results imply that co...
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作者：Habib, Michel A.; Mella-Barral, Pierre
作者单位：University of Zurich; Hautes Etudes Commerciales (HEC) Paris
摘要：We analyze the role of knowhow acquisition in the formation and duration of joint ventures. Two parties become partners in a joint venture to benefit from each other's knowhow. Joint operations provide each party with the opportunity to acquire part of its partner's knowhow. A party's increased knowhow provides the impetus for the dissolution of the joint venture. We characterize the conditions under which dissolution takes place, identify the party that buys out its partner, determine the tim...
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作者：Foucault, Thierry; Moinas, Sophie; Theissen, Erik
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; University of Bonn; University of Cologne
摘要：We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid-ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid-ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As ...
