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作者：Kavajecz, KA; Odders-White, ER
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We explore a previously unexamined feature of technical analysis-namely its relation to liquidity provision. We demonstrate that support and resistance levels coincide with peaks in depth on the limit order book and moving average forecasts reveal information about the relative position of depth on the book. Furthermore, we ...
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作者：Maenhout, PJ
作者单位：INSEAD Business School
摘要：I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen, and Sargent (2002). In accordance with max-min expected utility, a robust investor insures against some endogenous worst case. I first show that robustness dramatically decreases the demand for equities and is observationally equivalent to recursive preferences when removing weal...
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作者：Poon, SH; Rockinger, M; Tawn, J
作者单位：University of Manchester; University of Lausanne; Lancaster University
摘要：This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional dependence measures could lead to inaccurate portfolio risk assessment. We explain how the framework proposed here could be exploited i...
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作者：Sias, RW
作者单位：Washington State University
摘要：Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. We attribute this to institutional investors following each other into and out of the same securities (herding) and institutional investors following their own lag trades. Although institutional investors are momentum traders, little of their herding results from momentum trading. Moreover, institutional demand is more strongly related to lag institutional deman...
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作者：Grullon, G; Kanatas, G; Weston, JP
作者单位：Rice University
摘要：We provide empirical evidence that a firm's overall visibility with investors, as measured by its product market advertising, has important consequences for the stock market. Specifically we show that firms with greater advertising expenditures, ceteris paribus, have a larger number of both individual and institutional investors, and better liquidity of their common stock. Our findings are robust to a variety of methodological approaches and to various measures of liquidity. These results sugg...
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作者：Sarkissian, S; Schill, MJ
作者单位：McGill University; University of Virginia
摘要：Using a cross section of effectively the entire universe of overseas listings across world markets, we examine the market preferences of firms listing their stock abroad. We find that geographic, economic, cultural, and industrial proximity play the dominant role in the choice of overseas listing venue. Contrary to the notion that firms maximize international portfolio diversification gains in listing abroad, cross-listing activity is more common across markets for which diversification gains ...
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作者：Nyborg, KG; Strebulaev, IA
作者单位：University of California System; University of California Los Angeles; University of London; London Business School
摘要：This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and higher revenue than uniform auctions, ceteris paribus. Asymptotically, as the auction size approaches infinity, the...
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作者：Liu, J; Longstaff, FA
作者单位：University of California System; University of California Los Angeles
摘要：We derive the optimal investment policy of a risk-averse investor in a market where there is a textbook arbitrage opportunity, but where liabilities must be secured by collateral. We find that it is often optimal to underinvest in the arbitrage by taking a smaller position than collateral constraints allow. Even when the optimal policy is followed, the arbitrage portfolio typically experiences losses before the final convergence date. In fact, its initial performance may be indistinguishable f...
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作者：Cantillo, M
作者单位：Universidad Costa Rica
摘要：This article uses a general equilibrium framework to explore the origins and limitations of financial intermediaries. In the model, investors have a generic lending technology that they can improve at a cost. Those who upgrade become intermediaries to exploit their advantage. However, conflicts with depositors will limit the banks' market presence, and they will only lend to moderately endowed firms while bondholders will finance cash-rich corporations. The article also analyzes the extent to ...
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作者：Faure-Grimaud, A; Gromb, D
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：This article studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in the formation of a stock price that is informative about the large shareholder's activity. This increases the latter's incentives to engage in value-increasing activities. Indeed, if he has to liquidate part of his stake before the effect of his activity is publicly observed, a more informative price rewards him for his activity. Implications ...
