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作者：Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline
作者单位：University of Southern Denmark; University of Southern Denmark; Danish Finance Institute
摘要：We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 10 0,0 0 0 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These resu...
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作者：Duong, Huu Nhan; Goyal, Abhinav; Kallinterakis, Vasileios; Veeraraghavan, Madhu
作者单位：Monash University; University College Cork; University of Liverpool
摘要：We find a negative relation between democracy and initial public offering (IPO) underpricing for a sample of 23,050 IPOs across 45 countries. The effect of democracy on underpricing is weaker for IPOs audited by Big 4 auditing firms, backed by venture capital firms, and with better disclosure specificity of use of proceeds. Democracy exerts a larger influence on underpricing for firms with higher agency problems, in countries with weaker institutional quality or shareholder protection, and dur...
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作者：Agrawal, Ashwini; Gonzalez-Uribe, Juanita; Martinez-Correa, Jimmy
作者单位：University of London; London School Economics & Political Science; Copenhagen Business School; Danish Finance Institute
摘要：A large theoretical literature studies the effects of creditor control during bankruptcy proceedings on firm outcomes. Empirical work in this area mainly examines reforms to creditor control rights during liquidation. In this paper, we use administrative microdata and exploit a legal reform in Denmark to provide the first causal estimates of creditor empowerment in reorganization-the complementary bankruptcy procedure to liquidation. We find that the Danish reform led to a sharp decline in liq...
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作者：Tsang, Albert; Yang, Nan; Zheng, Lingyi
作者单位：Hong Kong Polytechnic University
摘要：This paper tests a theory conjecturing that cross-listing can insulate firms from potential hostile takeovers owing to the increased cost concern of bidders. We find a significant and positive relation between the corporate control threat and the likelihood that firms cross list in a foreign country. Firms facing takeover threats are more likely to choose hosting countries with greater accounting differences from the US GAAP. Subsample evidence suggests that cross-listing is more likely to be ...
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作者：Armona, Luis; Chakrabarti, Rajashri; Lovenheim, Michael F.
作者单位：Stanford University; Federal Reserve System - USA; Federal Reserve Bank - New York; Cornell University; National Bureau of Economic Research; Leibniz Association; Ifo Institut
摘要：For-profit providers have become an important fixture of US higher education markets. Students who attend for-profit institutions take on more educational debt and are more likely to default on their student loans than those attending similarly-selective public schools. Because for-profits tend to serve students from more disadvantaged backgrounds, it is important to isolate the causal effect of for-profit enrollment on student debt and repayment outcomes as well as the educational and labor m...
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作者：Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
作者单位：Duke University; National Bureau of Economic Research; Duke University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariation predict significantly higher future returns, while semibetas attributable to negative market and positive asset return covariation predict significantly lower future returns. The two semibetas associated with positive market return variat...
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作者：He, Zhiguo; Nagel, Stefan; Song, Zhaogang
作者单位：University of Chicago; National Bureau of Economic Research; Johns Hopkins University
摘要：In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints inter...
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作者：Liu, Yang; Shaliastovich, Ivan
作者单位：University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidenc...
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作者：Syrstad, Olav; Viswanath-Natraj, Ganesh
摘要：Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one ba-sis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends a...
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作者：Ding, Yi; Xiong, Wei; Zhang, Jinfan
作者单位：The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We document issuance overpricing of corporate debt securities in China, which is robust across subsamples with different credit ratings, maturities, and issuers. This phenomenon contrasts with underpricing of equity and debt securities in Western countries and reflects China's distinct institutional environment. The average overpricing dropped from 7.44 basis points to 2.41 basis points after the government prohibited underwriters from using rebates in issuances in October 2017. By analyzing o...
