-
作者：Cunat, Vicente
作者单位：Pompeu Fabra University
摘要：This article examines how in a context of limited enforceability of contracts suppliers may have a comparative advantage over banks in lending to customers because they are able to stop the supply of intermediate goods. Suppliers may act also as liquidity providers, insuring against liquidity shocks that could endanger the survival of their customer relationships. The relatively high implicit interest rates of trade credit are the result of insurance and default premiums that are amplified whe...
-
作者：Bris, Arturo; Gulen, Huseyin; Kadiyala, Padma; Rau, P. Raghavendra
作者单位：Purdue University System; Purdue University; Pace University; Virginia Polytechnic Institute & State University
摘要：We examine a sample of 125 equity mutual funds that closed to new investment between 1993 and 2004. We find that funds close following a period of superior performance and abnormal fund inflows. Fund managers raise their fees when they close to compensate managers for losses in income due to the restrictions in size imposed by the fund closure decision. Managers reopen when fund size declines. However, they do not earn superior returns after reopening, suggesting that the fund closure decision...
-
作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian
作者单位：Columbia University; National Bureau of Economic Research; Duke University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively corre...
-
作者：Degeorge, Francois; Derrien, Francois; Womack, Kent L.
作者单位：Dartmouth College; University of Toronto; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：The bookbuilding IPO procedure has captured significant market share from auction alternatives recently, despite the significantly lower costs related to the auction mechanism. In France, where both mechanisms were used in the 1990s, the ostensible advantages of bookbuilding were advertising-related benefits. Book-built issues were more likely to be followed and positively recommended by lead underwriters. Even nonunderwriters' analysts promote book-built issues more in order to curry favor wi...
-
作者：Alexander, Gordon J.; Cici, Gjergji; Gibson, Scott
作者单位：William & Mary; University of Minnesota System; University of Minnesota Twin Cities
摘要：We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows, the manager is likely to be motivated to work off excess liquidity by buying stocks. Our analysis reveals that managers making purely valuation-motivated purchases substantially beat the market but are unable to do so when compel...
-
作者：He, Ping
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：In the IPO market, investors coordinate on acceptable IPO price based on the performance of past IPOs, and this generates an incentive for investment banks to produce information about IPO firms. In hot periods, the information produced by investment banks improves the quality of IPO firms, and this allows ex ante low quality firms to go public and increases the secondary market price, thus synchronizing high IPO volumes and high first day returns. When investment banks behave asymmetrically i...
-
作者：Green, Richard C.; Hollifield, Burton; Schuerhoff, Norman
作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
摘要：Municipal bonds trade in opaque, decentralized broker-dealer markets in which price information is costly to gather. We analyze a database of trades between broker-dealers and customers in municipal bonds. These data were only released to the public with a lag; the market was opaque. Dealers earn lower average markups on larger trades, even though dealers bear a higher risk of losses with larger trades. We estimate a bargaining model and compute measures of dealer's bargaining power. Dealers e...
-
作者：Basak, Suleyman; Pavlova, Anna; Shapiro, Alexander
作者单位：University of London; London Business School; New York University
摘要：This article investigates a fund manager's risk-taking incentives induced by an increasing and convex relationship of fund flows to relative performance. In a dynamic portfolio choice framework, we show that the ensuing convexities in the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk tolerance. In the...
-
作者：Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; Poteshman, Allen M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea University; National University of Singapore
摘要：This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 ...
-
作者：Ziegler, Alexandre
作者单位：Swiss Finance Institute (SFI); University of Lausanne
摘要：Implied risk aversion estimates reported in the literature are strongly U-shaped. This article explores different potential explanations for these smile patterns: (i) preference aggregation, both with and without stochastic volatility and jumps in returns, (ii) misestimation of investors' beliefs caused by stochastic volatility, jumps, or a Peso problem, and (iii) heterogeneous beliefs. The results reveal that preference aggregation and misestimation of investors' beliefs caused by stochastic ...
