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作者：Brunnermeier, Markus; Farhi, Emmanuel; Koijen, Ralph S. J.; Krishnamurthy, Arvind; Ludvigson, Sydney C.; Lustig, Hanno; Nagel, Stefan; Piazzesi, Monika
作者单位：Princeton University; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; National Bureau of Economic Research; Harvard University; University of Chicago; Stanford University; New York University; Stanford University
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作者：Amihud, Yakov; Noh, Joonki
作者单位：New York University; University System of Ohio; Case Western Reserve University
摘要：Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seaso...
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作者：Huang, Rongbing; Ritter, Jay R.
作者单位：University System of Georgia; Kennesaw State University; State University System of Florida; University of Florida
摘要：Given their actual revenue and spending, most net equity issuers and an overwhelming majority of net debt issuers would face immediate cash depletion without external financing. Debt issuers tend to have short-lived cash needs, while equity issuers often have persistent cash needs. On average, debt issuers immediately spend almost all of the proceeds, while equity issuers retain much of the proceeds in cash. Anticipated near-future cash needs and fixed costs of financing help explain the fract...
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作者：Wittry, Michael D.
作者单位：University System of Ohio; Ohio State University
摘要：I study the empirical importance of debt overhang using a unique data set on resource extraction firms that provides ex ante measures of investment opportunities and important variation in terms of a firm's obligations. In particular, unsecured reclamation liabilities create overhang that is costly to resolve and induces firms to forgo and postpone positive NPV investments. Traditional debt, in contrast, imposes few overhang-related investment distortions. These results show that (a) the overh...
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作者：Massa, Massimo; Schumacher, David; Wang, Yan
作者单位：INSEAD Business School; McGill University; McMaster University
摘要：We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and large exposure to commonly held stocks begin avoiding these stocks following the merger announcement. This leads to a permanent change in the composition of institutional ownership and a negative price and liquidity impact. We confirm these...
