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作者：Bruno, Valentina; Shin, Hyun Song
作者单位：American University; Bank for International Settlements (BIS)
摘要：We conduct a firm-level analysis of borrowing in US dollars by nonfinancial corporates from outside the United States. We find that emerging market firms with already high cash holdings are more likely to issue US dollar-denominated bonds, especially during periods when the dollar carry trade is more favorable. The proceeds of the dollar bond issuance add to the firm's cash holdings more than other sources of funds. The evidence points to financial decisions that resemble carry trades, rather ...
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作者：Acharya, Viral V.; Le, Hanh T.; Shin, Hyun Song
作者单位：New York University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Bank for International Settlements (BIS)
摘要：Dividend payouts erode equity capital and affect the relative value of claims on a bank. Through this channel, when banks have contingent claims on each other, one bank's capital policy affects the equity value and risk of default for other banks. When such externalities are strong, bank capital becomes a public good, whereby the private equilibrium features excessive dividends and inefficient recapitalization relative to the efficient policy that maximizes total banking sector equity. We rela...
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作者：Dumas, Bernard; Lewis, Karen K.; Osambela, Emilio
作者单位：INSEAD Business School; University of Turin; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Pennsylvania; Federal Reserve System - USA
摘要：We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages of domestic investors in the interpretation of home public signals affect equity markets. We evaluate the ability of our model to generate four international-finance anomalies: (i) the co-movement of returns and capital flows, (ii) home-equity preference, (iii) the dependence of firm returns...
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作者：Berg, Tobias; Saunders, Anthony; Steffen, Sascha; Streitz, Daniel
作者单位：Frankfurt School Finance & Management; New York University; University of Mannheim
摘要：We analyze pricing differences between U.S. and European syndicated loans over the 19922014 period. We explicitly distinguish credit lines from term loans. For credit lines, U.S. borrowers pay significantly higher spreads, but lower fees, resulting in similar total costs of borrowing in both markets. Credit line usage is more cyclical in the United States, which provides a rationale for the pricing structure difference. For term loans, we analyze the channels of the cross-country loan price di...
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作者：Kelley, Eric K.; Tetlock, Paul C.
作者单位：University of Tennessee System; University of Tennessee Knoxville; Columbia University
摘要：Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. Aportfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail short selling lasts for one year and is not subsumed by institutional short selling. In contrast to institutional shorting, retail shorting best predicts returns in small stocks and those that are heavily...
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作者：Chang, Chun; Chiang, Yao-Min; Qian, Yiming; Ritter, Jay R.
作者单位：Shanghai Jiao Tong University; National Taiwan University; University of Iowa; State University System of Florida; University of Florida
摘要：Studying the only mandatory pre-IPO market in the world-Taiwan's Emerging Stock Market (ESM)-we document that pre-market prices are very informative about post-market prices and that informativeness increases with a stock's liquidity. The ESM price-earnings ratio shortly before an initial public offering explains about 90% of the variation in the offer price-earnings ratio. However, the average IPO underpricing level remains high, at 55%, suggesting that agency problems between underwriters an...
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作者：Dahlquist, Magnus; Martinez, Jose Vicente; Soderlind, Paul
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Connecticut; University of St Gallen
摘要：We examine the daily activity and performance of a large panel of individual investors from Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than do inactive investors. A performance decomposition analysis reveals that most outperformance by active investors is the result of active investors successfully timing mutual funds and asset classes. While activity is beneficial for some investors, extreme flows out of mutual funds affect fun...
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作者：Brown, James R.; Cookson, J. Anthony; Heimer, Rawley Z.
作者单位：Iowa State University; University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：This paper provides novel evidence on the real and financial market effects of legal institutions. Our analysis exploits persistent and externally imposed differences in court enforcement that arose when the U.S. Congress assigned state courts to adjudicate contracts on a subset of Native American reservations. Using area-specific data on small business lending, we find that reservations assigned to state courts, which enforce contracts more predictably than tribal courts, have stronger credit...
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作者：Hong, Harrison; Sraer, David; Yu, Jialin
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Berkeley; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
摘要：The liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand larger risk premiums to hold long-term bonds. By using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since the prices of long-term bonds move more with inflation than short-term ones, investors also disagree and speculate more about long-maturity payoffs with greater uncertainty. Shorting frictions, measured by ...
