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作者：Narayanan, Rajesh P.; Rangan, Kasturi P.; Rangan, Nanda K.
作者单位：University System of Ohio; Ohio University; Booz Allen Hamilton Holding Corporation
摘要：We provide evidence that commercial banks extend their reputation in underwriting syndicated loans and private placements (private debt) to their bond-underwriting activities. In the absence of bond market reputation, private-debt-market reputation enables commercial banks to win underwriting mandates from their loan clients. Furthermore, it allows them to credibly commit to investors against opportunistically using lending information and thereby deliver superior certification benefits in the...
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作者：Mester, Loretta J.; Nakamura, Leonard I.; Renault, Micheline
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Pennsylvania; University of Quebec; University of Quebec Montreal
摘要：We show that transactions accounts, by providing ongoing data on borrowers' activities, help financial intermediaries monitor borrowers. This information is most readily available to commercial banks, which offer these accounts and lending together. We find that (1) monthly changes in accounts receivable are reflected in transactions accounts; (2) borrowings in excess of collateral predict credit downgrades and loan write-downs; and (3) the lender intensifies monitoring in response. This is ev...
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作者：Kalcheva, Ivalina; Lins, Karl V.
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：This article uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by contro...
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作者：Medvedev, Alexey; Scaillet, Olivier
作者单位：University of Geneva; University of Geneva
摘要：We derive an asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different calendar dates to extr...
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作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This article studies how a shock to the financial health of banks, caused by a decline in the asset markets, affects the real economy. The land market collapse in Japan provides an ideal testing field in separating the impact of a loan supply shock from demand shocks. I find that banks with greater real estate exposure have to reduce lending. Firms investment and market valuation are negatively associated with their top lenders real estate exposure. The lending channel is economically importan...
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作者：Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University; Brock University
摘要：This article studies cross-sectional variations in trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of about 40 years. We test whether trading activity depends upon the degree of liquidity trading, the mass of informed traders, and the extent of uncertainty and dispersion of opinion about fundamental values. We hypothesize that liquidity (or noise) trading depends both on a stock's visibility and on portfolio rebalancing needs triggered by past price per...
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作者：Ivkovic, Zoran; Weisbenner, Scott
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University; National Bureau of Economic Research
摘要：We study the relation between households' stock purchases and stock purchases made by their neighbors. A ten percentage point increase in neighbors' purchases of stocks from an industry is associated with a two percentage point increase in households' own purchases of stocks from that industry. The effect is considerably larger for local stocks and among households in more social states. Controlling for area sociability, households' and neighbors' investment style preferences, and the industry...
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作者：Griffin, John M.; Nardari, Federico; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
摘要：This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption...
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作者：Irvine, Paul; Lipson, Marc; Puckett, Andy
作者单位：University System of Georgia; University of Georgia; University of Virginia; University of Missouri System; University of Missouri Columbia
摘要：We investigate the trading of institutions immediately before the release of analysts' initial buy recommendations. We document abnormally high institutional trading volume and buying beginning five days before recommendations are publicly released. Abnormal buying is related to initiation characteristics that would require knowledge of the content of the report-such as the identity of the analyst and brokerage firm, and whether the recommendation is a strong buy. We confirm that institutions ...
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作者：Cheng, Shijun; Nagar, Venky; Rajan, Madhav V.
作者单位：University System of Maryland; University of Maryland College Park; University of Michigan System; University of Michigan; Stanford University
摘要：In certain circumstances, insider trades such as private transactions between executives and their firms could be disclosed after the end of the firms fiscal year, on a Form-5 filing. We find that insider sales disclosed in such a delayed manner for large firms are predictive of negative future returns (6 to 8 percent), as well as lower future annual earnings relative to analyst forecasts. These results stand in contrast to existing findings on the uninformativeness of quickly disclosed open-m...
