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作者：Smith, Kevin
作者单位：Stanford University
摘要：In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the stock's risk. I analyze the derivative price and variance risk premium that arise in this equilibrium and their predictive power for s...
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作者：Dalkir, Elif; Dalkir, Mehmet; Levit, Doron
作者单位：University of New Brunswick
摘要：Do freeze-out mergers mitigate the free-rider problem of corporate takeovers? We study this question in a tender offer model with finitely many shareholders. Under a freeze-out merger, minority shareholders expect to receive the original offer price whether or not they tender their shares. We show that the ability to freeze out shareholders increases the raider's expected profit. However, as the number of shareholders gets arbitrarily large, the raider's expected profit in equilibrium converge...
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作者：Foucault, Thierry; Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University System of Maryland; University of Maryland College Park
摘要：We show that product differentiation reduces the informativeness of a firm's stock price (or its peers' stock prices) about the value of its growth opportunities. This results in less efficient exercise of a firm's growth options when managers rely on information in stock prices for their decisions. This informational cost of differentiation induces conformity in product market strategies and is larger for private firms. Hence, a firm should differentiate more after going public. We confirm th...
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作者：Gathergood, John; Guttman-Kenney, Benedict; Hunt, Stefan
作者单位：University of Nottingham; University of Chicago
摘要：Payday loans are controversial high-cost, short-term lending products, banned in many U.S. states. But debates surrounding their benefits to consumers continue. We analyze the effects of payday loans on consumers by using a unique data set including 99% of loans approved in the United Kingdom over a two-year period matched to credit files. Using a regression discontinuity research design, our results show that payday loans provide short-lived liquidity gains and encourage consumers to take on ...
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作者：Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J.
作者单位：Chapman University System; Chapman University; University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Warwick; Boston College
摘要：Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures better capture institutional trading costs and better explain the cross-section of returns than do standard measures, especially in recent years. Despite improvements in measures of market quality, expected trading costs have explanatory power for the ...
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作者：Chen, Hui; Joslin, Scott; Ni, Sophie Xiaoyan
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Hong Kong Baptist University; Lingnan University
摘要：We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money index put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option tr...
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作者：Chiu, Jonathan; Koeppl, Thorsten V.
作者单位：Bank of Canada; Queens University - Canada
摘要：Can securities be settled on a blockchain, and, if so, what are the gains relative to existing settlement systems? The main benefit of a blockchain is faster and more flexible settlement, whereas settlement fails need to be ruled out where participants fork the chain to cancel trading losses. With a proof-of-work protocol, the blockchain needs to restrict settlement speed through block size and time in order to generate transaction fees, which finance costly mining. Despite mining being a dead...
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作者：Lowry, Michelle; Rossi, Marco; Zhu, Zhongyan
作者单位：Drexel University; Texas A&M University System; Texas A&M University College Station; Monash University
摘要：Strong conflicts of interest exist within investment banks: the investment banking division possesses substantial private information, and the asset management division seeks such information. This raises the question of whether the asset management division benefits from an information advantage on client firms. While prior examinations of advisor bank trading in client firms have focused on stocks and found mixed results, we argue that the options market represents a more attractive venue fo...
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作者：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings...
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作者：Benmelech, Efraim; Bergman, Nittai; Milanez, Anna; Mukharlyamov, Vladimir
作者单位：Northwestern University; National Bureau of Economic Research; Tel Aviv University; Organisation for Economic Co-operation & Development (OECD); Georgetown University
摘要：This paper identifies a new channel through which bankrupt firms undergoing liquidation impose negative externalities on their nonbankrupt peers. The liquidation of a retail chain weakens the economies of agglomeration in any given local area, reducing the attractiveness of retail centers for remaining stores and leading to contagion of financial distress. We find that firms with greater geographic exposure to bankrupt retailers are more likely to close stores in affected areas. We further sho...
