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作者：Levit, Doron
作者单位：University of Pennsylvania
摘要：This paper studies communications between investors and firms as a form of corporate governance. Activist investors cannot force their ideas on companies; they must persuade the board or other shareholders that implementing these ideas is beneficial to the firm. I show that the threat of voice (i.e., launching a public campaign) facilitates communication, whereas the option to exit facilitates communication if and only if the proposal is risky relative to the status quo or voice is ineffective...
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作者：Acheson, Graeme G.; Campbell, Gareth; Turner, John D.
作者单位：University of Stirling; Queens University Belfast
摘要：In the late nineteenth century Britain had almost no mandatory shareholder protections, but had very developed financial markets. We argue that private contracting between shareholders and corporations meant that the absence of statutory protections was immaterial. Using approximately 500 articles of association from before 1900, we code the protections offered to shareholders in these private contracts. We find that firms voluntarily offered shareholders many of the protections that were subs...
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作者：Boyarchenko, Nina; Fuster, Andreas; Lucca, David O.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Swiss National Bank (SNB)
摘要：Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding costs. We study variation in MBS spreads in the time series and across securities and document that MBS spreads show a pronounced cross-sectional smile with respect to the securities' coupon rates. We present a new pricing model that uses stripped MBS prices to identify the contribution of non-interest-rate prepayment risk to ...
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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...
