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作者：Song, Fenghua; Thakor, Anjan V.
作者单位：Washington University (WUSTL)
摘要：We address a fundamental question in relationship banking: why do banks that make relationship loans finance themselves primarily with core deposits and when would it be optimal to finance such loans with purchased money? We show that not only are relationship loans informationally opaque and illiquid, but they also require the relationship between the bank and the borrower to endure in order for the bank to add value. However, the informational opacity of relationship loans gives rise to endo...
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作者：Mitton, Todd; Vorkink, Keith
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT)
摘要：We develop a one-period model of investor asset holdings where investors have heterogeneous preference for skewness. Introducing heterogeneous preference for skewness allows the model's investors, in equilibrium, to underdiversify. We find support for our model's three key implications using a dataset of 60,000 individual investor accounts. First, we document that the portfolio returns of underdiversified investors are substantially more positively skewed than those of diversified investors. S...
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作者：Ang, Andrew; Bekaert, Geert
作者单位：Columbia University; National Bureau of Economic Research
摘要：We examine the predictive power of the di backslash vidend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and ...
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作者：Eaves, James; Williams, Jeffrey
作者单位：University of California System; University of California Davis; Rutgers University System; Rutgers University New Brunswick
摘要：The Tokyo Grain Exchange (TGE)'s itayose mechanism provides the opportunity to analyze functioning Walrasian tatonnement auctions (WTA). In 15,677 auctions conducted over 1997-1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous double auctions. Provisional prices and pledges are informative. In contrast to behavior observed in experiments, few pledges are deceptive, because the traders participate repeatedly and because the auctio...
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作者：Pavlova, Anna; Rigobon, Roberto
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of London; London Business School
摘要：We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives rise to an additional channel of international propagation-through the terms of trade-absent in traditional single-good models. The inclusion of demand shocks helps overturn many unrealistic implications of existing international finance models in which productivity shocks are the sole source of uncertainty. Our model generates a rich set ...
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作者：Pasquariello, Paolo
作者单位：University of Michigan System; University of Michigan
摘要：This study examines how heterogeneity of private information may induce financial contagion. Using a model of multi-asset trading in which the three main channels of contagion through financial linkages in the literature (correlated information, correlated liquidity, and portfolio rebalancing) are ruled out by construction, I show that financial contagion can still be an equilibrium outcome when speculators receive heterogeneous fundamental information. Risk-neutral speculators trade strategic...
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作者：Cai, Nianyun Kelly; Helwege, Jean; Warga, Arthur
作者单位：University of Michigan System; University of Michigan; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Houston System; University of Houston
摘要：This article examines underpricing of initial public offerings (IPOs) and seasoned offerings in the corporate bond market. We investigate whether underpricing represents a solution to an information problem or a liquidity problem. We find that underpricing occurs with both IPOs and seasoned offerings and is highest among riskier, unknown firms. Our evidence suggests that information problems drive underpricing, with support for both the bookbuilding view of underpricing and the asymmetric info...
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作者：Goldstein, Michael A.; Hotchkiss, Edith S.; Sirri, Erik R.
作者单位：Babson College; Boston College
摘要：This article reports the results of an experiment designed to assess the impact of last-sale trade reporting on the liquidity of BBB corporate bonds. Overall, adding transparency has either a neutral or a positive effect on liquidity. Increased transparency is not associated with greater trading volume. Except for very large trades, spreads on newly transparent bonds decline relative to bonds that experience no transparency change. However, we find no effect on spreads for very infrequently tr...
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作者：Hou, Kewei
作者单位：University System of Ohio; Ohio State University
摘要：I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is relat...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; Duke University
摘要：The article shows that two measures of the amount of private information in stock price-price nonsynchronicity and probability of informed trading (PIN)-have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest that firm managers learn from the private information in stock price about their own firms' fundamentals...
