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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：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：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...
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作者：Moeller, Sara B.; Schlingemann, Frederik P.; Stulz, Rene M.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：We examine the theoretical predictions that link acquirer returns to diversity of opinion and information asymmetry. Theory suggests that acquirer abnormal returns should be negatively related to information asymmetry and diversity-of-opinion proxies for equity offers but not cash offers. We find that this is the case and that, more strikingly, there is no difference in abnormal returns between cash offers for public firms, equity offers for public firms, and equity offers for private firms af...
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作者：Lyandres, Evgeny
作者单位：Rice University
摘要：This article proposes a new explanation for the large cross-sectional variation in the excess values of diversified firms. The model applies the idea of shareholders limited liability affecting firms output market strategies to the analysis of financial and operating choices of conglomerates. The inability of conglomerates to commit to unconstrained optimal operating strategies, following from the lack of flexibility in choosing their divisions capital structures, reduces their value. Thus, th...
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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：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...
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作者：Pasquariello, Paolo; Vega, Clara
作者单位：University of Michigan System; University of Michigan; University of Rochester
摘要：We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions - information heterogeneity and imperfect competition among informed traders - and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-tim...
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作者：Duffie, Darrell; Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：Stanford University; University of California System; University of California Berkeley; New York University
摘要：We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand is larger. Supply shocks cause prices to jump, and then recover over time, with a time signature that is exaggerated by search frictions: The price jump ...
