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作者：Alperovych, Yan; Cumming, Douglas; Czellar, Veronika; Groh, Alexander
作者单位：emlyon business school; State University System of Florida; Florida Atlantic University; SKEMA Business School; University of Birmingham
摘要：We examine 68,044 completed or abandoned M&A transactions involving unlisted targets to determine the effect of transaction rumors on deal-closing propensity and transaction values. Estimation is challenging because rumors may be spread on purpose or emerge accidentally while transaction values are only observable for completed deals and no regulation requires to disclose them. We use indirect inference to overcome these challenges. We find that (a) M&A rumors are deal breakers, (b) rumored bu...
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作者：Vokata, Petra
作者单位：University System of Ohio; Ohio State University
摘要：Recent complex financial products sold to households contradict the basic premise of canonical innovation theories: Financial innovation benefits its adopters. In my 2006-2015 sample of over 28,0 0 0 yield enhancement products (YEP), the securities offer attractive yields but negative returns. The products lose money both ex ante and ex post due to their embedded fees. On average, YEPs charge 6-7% in annual fees and subsequently lose 6- 7% relative to risk-adjusted benchmarks. Simple and cheap...
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作者：Berg, Tobias; Saunders, Anthony; Schafer, Larissa; Steffen, Sascha
作者单位：Frankfurt School Finance & Management; New York University; Centre for Economic Policy Research - UK
摘要：We document a 24% decline in loan issuances in the UK syndicated loan market after the Brexit vote relative to a set of comparable loan markets. The decline in lending is driven by a pervasive reduction in demand by UK firms. Changes in GDP forecast around the Brexit vote explain about 61% of the decline in lending. We do not find evidence, however, that the United Kingdom loses its attractiveness as a financial center for cross-border lending. Our results point to the resilience of global fin...
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作者：Huang, Dashan; Li, Jiangyuan; Wang, Liyao
作者单位：Singapore Management University; Shanghai University of Finance & Economics; Hong Kong Baptist University
摘要：Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both inand out-of-sample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high-sentiment periods, is posi...
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作者：Sokolov, Konstantin
作者单位：University of Memphis
摘要：I examine blockchain congestion episodes caused by more than 4,400 triggers for ran-somware attacks over a two-year period. When demand for settlement exceeds blockchain capacity, blockchain users engage in fee competition to prioritize their transaction set-tlement. A typical surge in ransomware activity causes transaction fees to increase by 2.1% and up to 28% in extreme cases. Consistent with theory literature, some users forgo blockchain settlement when transaction fees increase. An event ...
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作者：Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony
作者单位：Imperial College London; University of Warwick; City St Georges, University of London
摘要：We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes-a volatility carry strategy-generates significant excess returns. The covariation with volatility carry returns fully explains the cross-sectional variation of our slope-sorted portfolios. The lower the slope, the more the forward volatility agreeme...
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作者：Green, Daniel; Liu, Ernest
作者单位：Harvard University; Princeton University
摘要：Multiple borrowing-when borrower obtains overlapping loans from multiple lenders-is a common phenomenon in many credit markets. We build a tractable, dynamic model of multiple borrowing and show that, because overlapping creditors can impose default externalities on each other, expanding financial access by introducing more lenders can backfire. Capital allocation is distorted away from the most productive uses. Entrepreneurs choose inefficient endeavors with low returns to scale. These proble...
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作者：Wang, Liying
作者单位：University of Nebraska System; University of Nebraska Lincoln
摘要：Using newly available data on initial prices, this study is the first to analyze the price updating process associated with corporate bond (CB) offerings. Similar to the case for equity IPOs, the evidence shows bookbuilding theories help explain the CB offering price. In particular, CB price updates reduce underwriters' pricing errors. The partial adjustment phenomenon exists, and underwriters propose a lower initial price in cases of greater uncertainty. However, the CB price update has a lar...
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作者：Pastor, L'ubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
摘要：We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk. Green assets nevertheless outperform when positive shocks hit the ESG factor, which captures shifts in customers' tastes for green products and investors' tastes for green holdings. The ESG factor and the market portfolio price assets in a two-factor model. The ESG investm...
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作者：Carletti, Elena; Marco, Filippo De; Ioannidou, Vasso; Sette, Enrico
作者单位：Bocconi University; Bocconi University; City St Georges, University of London; Centre for Economic Policy Research - UK; European Central Bank; Bank of Italy
摘要：We provide new evidence on how deposit funding affects bank lending. For identification, we exploit the 2011 reform of the investment income tax in Italy that induced households to substitute bank bonds with deposits. We find that banks with larger increases in deposits expand the supply of credit lines and long-term credit to low-risk firms. Additional evidence indicates that these results are consistent with theories emphasizing the demandable nature of the deposit contract rather than theor...
