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作者：Bhamra, Harjoat S.; Uppal, Raman
作者单位：University of British Columbia; University of London; London Business School
摘要：We study the effect of introducing a nonredundant derivative on the volatilities of the stock market return and the locally risk-free interest rate. Our analysis uses a standard, frictionless, full-information, dynamic, continuous-time, general-equilibrium, Lucas endowment economy in which there are two classes of agents who have time-additive power utility functions and differ only in their risk aversion. Our main result is to show analytically that if the intensity of the precautionary deman...
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作者：Brunnermeier, Markus K.; Pedersen, Lasse Heje
作者单位：Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Princeton University; New York University
摘要：We provide a model that links an asset's market liquidity (i.e., the ease with which it is traded) and traders' funding liquidity (i.e., the ease with which they can obtain funding). Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely, traders' funding, i.e., their capital and margin requirements, depends on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market liquidity and fundi...
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作者：Goldman, Eitan; Rocholl, Joerg; So, Jongil
作者单位：Indiana University System; Indiana University Bloomington; European School of Management & Technology; University of North Carolina; University of North Carolina Chapel Hill
摘要：This article explores whether political connections are important in the United States. The article uses an original hand-collected data set on the political connections of board members of S&P 500 companies to sort companies into those connected to the Republican Party and those connected to the Democratic Party. The analysis shows a positive abnormal stock return following the announcement of the nomination of a politically connected individual to the board. This article also analyzes the st...
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作者：King, Michael R.; Segal, Dan
作者单位：Bank of Canada; University of Toronto
摘要：We show that investor recognition and bonding associated with a U.S. cross-listing are distinct effects using a sample of Canadian firms. In contrast to the post-listing decline documented in the literature, we find that cross-listed firms with a single class of shares enjoy a permanent increase in valuation if they attract and maintain investor recognition over time. Valuations of firms that fail to widen their U.S. shareholder base return to pre-listing levels within two years. Cross-listed ...
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作者：Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
作者单位：Cornell University
摘要：We use a laboratory market to investigate the behavior of traders who lack informational advantages and have no exogenous reason to trade. We find that these uninformed traders behave largely as irrational contrarian noise traders, trading against recent price movements to their own detriment. The uninformed traders provide some benefits to the market: increasing market volume and depth, while reducing bid-ask spreads and the temporary price impact of trades. However, their noise trading also ...
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作者：Fee, C. Edward; Hadlock, Charles J.; Pierce, Joshua R.
作者单位：Michigan State University; University of South Carolina System; University of South Carolina Columbia
摘要：We find a significant positive relation between a firm's advertising spending in the United States and its contemporaneous foreign cash flow. This relation holds even after controlling for factors that should be related to the optimal level of domestic advertising, and it is stronger for subsets of firms that we expect to be relatively more financially constrained. Our evidence supports the hypothesis that there is a causal and economically substantial link between cash flow and investment spe...
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作者：Kedia, Simi; Philippon, Thomas
作者单位：Center for Economic & Policy Research (CEPR); New York University; New York University; National Bureau of Economic Research; Rutgers University System; Rutgers University New Brunswick
摘要：We argue that earnings management and fraudulent accounting have important economic consequences. In a model where the costs of earnings management are endogenous, we show that in equilibrium, low-productivity firms hire and invest too much in order to pool with high productivity firms. This behavior distorts the allocation of economic resources in the economy. We test the predictions of the model using firm-level data. We show that during periods of suspicious accounting, firms hire and inves...
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作者：Barclay, Michael J.; Holderness, Clifford G.; Sheehan, Dennis P.
作者单位：Boston College; University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Corporations uniquely have a tax preference for cash dividends. Nevertheless, dividends do not increase following trades of large-percentage blocks of stock from individuals to corporations. Moreover, although one-third of firms have corporate blockholders, 68% of these firms pay no dividends, and ownership is not clustered at levels that increase the tax benefits of dividends. These findings are not driven by the investing firms' tax rates or by agency problems. Instead, operating companies e...
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作者：Baruch, Shmuel; Saar, Gideon
作者单位：Utah System of Higher Education; University of Utah; Cornell University
摘要：We propose a mechanism that relates asset returns to the firm's optimal listing choice. We use a theoretical model to show that a stock will be more liquid when it is listed on a market where similar securities are traded. We empirically examine the implications of our model using New York Stock Exchange (NYSE) and Nasdaq securities. We find that the return patterns of stocks that switch markets become more similar to the return patterns of securities listed on the new market prior to the swit...
