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作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This article studies how a shock to the financial health of banks, caused by a decline in the asset markets, affects the real economy. The land market collapse in Japan provides an ideal testing field in separating the impact of a loan supply shock from demand shocks. I find that banks with greater real estate exposure have to reduce lending. Firms investment and market valuation are negatively associated with their top lenders real estate exposure. The lending channel is economically importan...
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作者：Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University; Brock University
摘要：This article studies cross-sectional variations in trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of about 40 years. We test whether trading activity depends upon the degree of liquidity trading, the mass of informed traders, and the extent of uncertainty and dispersion of opinion about fundamental values. We hypothesize that liquidity (or noise) trading depends both on a stock's visibility and on portfolio rebalancing needs triggered by past price per...
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作者：Ivkovic, Zoran; Weisbenner, Scott
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University; National Bureau of Economic Research
摘要：We study the relation between households' stock purchases and stock purchases made by their neighbors. A ten percentage point increase in neighbors' purchases of stocks from an industry is associated with a two percentage point increase in households' own purchases of stocks from that industry. The effect is considerably larger for local stocks and among households in more social states. Controlling for area sociability, households' and neighbors' investment style preferences, and the industry...
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作者：Griffin, John M.; Nardari, Federico; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
摘要：This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption...
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作者：Irvine, Paul; Lipson, Marc; Puckett, Andy
作者单位：University System of Georgia; University of Georgia; University of Virginia; University of Missouri System; University of Missouri Columbia
摘要：We investigate the trading of institutions immediately before the release of analysts' initial buy recommendations. We document abnormally high institutional trading volume and buying beginning five days before recommendations are publicly released. Abnormal buying is related to initiation characteristics that would require knowledge of the content of the report-such as the identity of the analyst and brokerage firm, and whether the recommendation is a strong buy. We confirm that institutions ...
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作者：Cheng, Shijun; Nagar, Venky; Rajan, Madhav V.
作者单位：University System of Maryland; University of Maryland College Park; University of Michigan System; University of Michigan; Stanford University
摘要：In certain circumstances, insider trades such as private transactions between executives and their firms could be disclosed after the end of the firms fiscal year, on a Form-5 filing. We find that insider sales disclosed in such a delayed manner for large firms are predictive of negative future returns (6 to 8 percent), as well as lower future annual earnings relative to analyst forecasts. These results stand in contrast to existing findings on the uninformativeness of quickly disclosed open-m...
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作者：Pasquariello, Paolo; Vega, Clara
作者单位：University of Michigan System; University of Michigan; University of Rochester
摘要：We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions - information heterogeneity and imperfect competition among informed traders - and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-tim...
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作者：Hackbarth, Dirk; Hennessy, Christopher A.; Leland, Hayne E.
作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We examine the optimal mixture and priority structure of bank and market debt using a trade-off model in which banks have the unique ability to renegotiate outside formal bankruptcy. Flexible bank debt offers a superior trade-off between tax shields and bankruptcy costs. Ease of renegotiation limits bank debt capacity, however. Optimal debt structure hinges upon which party has bargaining power in private workouts. Weak firms have high bank debt capacity and utilize bank debt exclusively. Stro...
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作者：Colak, Gonul; Whited, Toni M.
作者单位：University of Wisconsin System; University of Wisconsin Madison; Wichita State University
摘要：We examine whether spin-offs or divestitures cause improvements in conglomerate investment efficiency. At issue are endogeneity of these restructuring decisions and correct measurement of investment efficiency. Endogeneity is a problem because the factors that induce firms to spin off or divest divisions may also improve investment efficiency; measurement error is a problem because efficiency measures employ Tobin's q as a noisy proxy for investment opportunities. We find important differences...
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作者：Duffie, Darrell; Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：Stanford University; University of California System; University of California Berkeley; New York University
摘要：We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand is larger. Supply shocks cause prices to jump, and then recover over time, with a time signature that is exaggerated by search frictions: The price jump ...
