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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is most consistently related to the conditional correlation between swap rates and swap rate variances. From realized excess returns on s...
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作者：Chemmanur, Thomas J.; Loutskina, Elena; Tian, Xuan
作者单位：Boston College; University of Virginia; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Tsinghua University
摘要：We analyze how corporate venture capital (CVC) differs from independent venture capital (IVC) in nurturing innovation in entrepreneurial firms. We find that CVC-backed firms are more innovative, as measured by their patenting outcome, although they are younger, riskier, and less profitable than IVC-backed firms. Our baseline results continue to hold in a propensity score matching analysis of IPO firms and a difference-in-differences analysis of the universe of VC-backed entrepreneurial firms. ...
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作者：Wang, Yihui; Xia, Han
作者单位：Fordham University; Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：We examine how securitization markets affect the role of banks as monitors in corporate lending. We find that banks active in securitization impose looser covenants on borrowers at origination. After origination, these borrowers take on substantially more risk than do borrowers of non-securitization-active banks. We use borrowers' geographic locations to instrument for borrower-lender matching to distinguish the effect of securitization on the banks' ex post monitoring from its effect on ex an...
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作者：Roosenboom, Peter; Schlingemann, Frederik P.; Vasconcelos, Manuel
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Cornerstone Research
摘要：We test whether stock liquidity affects acquirer returns through its hypothesized effect on institutional monitoring. We find that firms with lower stock liquidity have higher acquirer gains for takeovers of private targets, but not for takeovers of public targets. The negative relation between liquidity and acquirer gains is stronger when the threat of disciplinary trading (exit) by institutions is weaker and acquirers have higher agency costs. Acquirers of private targets with lower stock li...
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作者：Sibilkov, Valeriy; McConnell, John J.
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee; Purdue University System; Purdue University
摘要：Contrary to earlier studies, we find that prior client performance is a significant determinant of the likelihood that an investment bank will be chosen as the advisor by future acquirers and of the changes through time in banks' shares of the advisory business. Further, the changes in the market values of acquirers at the announcement of acquisition attempts are positively correlated with contemporaneous changes in the market values of their advisors. Two implications arise: (1) acquirers con...
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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California Berkeley; Western University (University of Western Ontario)
摘要：We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are adversely selected. The direction of HFTs' trading predicts price changes over short horizo...
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作者：Lenkey, Stephen L.
作者单位：U.S. Securities & Exchange Commission (SEC)
摘要：Using a strategic rational expectations equilibrium framework, we show that forcing a well-informed insider to disclose her trades in advance tends to increase welfare for both the insider and less-informed outsiders. Advance disclosure generates price risk for the insider, and to mitigate this risk, the insider trades less aggressively on her private information. Consequently, outsiders face lower adverse selection costs, which improves risk sharing and increases welfare. The drop in trading ...
