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作者：Sias, RW
作者单位：Washington State University
摘要：Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. We attribute this to institutional investors following each other into and out of the same securities (herding) and institutional investors following their own lag trades. Although institutional investors are momentum traders, little of their herding results from momentum trading. Moreover, institutional demand is more strongly related to lag institutional deman...
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作者：Grullon, G; Kanatas, G; Weston, JP
作者单位：Rice University
摘要：We provide empirical evidence that a firm's overall visibility with investors, as measured by its product market advertising, has important consequences for the stock market. Specifically we show that firms with greater advertising expenditures, ceteris paribus, have a larger number of both individual and institutional investors, and better liquidity of their common stock. Our findings are robust to a variety of methodological approaches and to various measures of liquidity. These results sugg...
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作者：Sarkissian, S; Schill, MJ
作者单位：McGill University; University of Virginia
摘要：Using a cross section of effectively the entire universe of overseas listings across world markets, we examine the market preferences of firms listing their stock abroad. We find that geographic, economic, cultural, and industrial proximity play the dominant role in the choice of overseas listing venue. Contrary to the notion that firms maximize international portfolio diversification gains in listing abroad, cross-listing activity is more common across markets for which diversification gains ...
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作者：Nyborg, KG; Strebulaev, IA
作者单位：University of California System; University of California Los Angeles; University of London; London Business School
摘要：This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and higher revenue than uniform auctions, ceteris paribus. Asymptotically, as the auction size approaches infinity, the...
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作者：Liu, J; Longstaff, FA
作者单位：University of California System; University of California Los Angeles
摘要：We derive the optimal investment policy of a risk-averse investor in a market where there is a textbook arbitrage opportunity, but where liabilities must be secured by collateral. We find that it is often optimal to underinvest in the arbitrage by taking a smaller position than collateral constraints allow. Even when the optimal policy is followed, the arbitrage portfolio typically experiences losses before the final convergence date. In fact, its initial performance may be indistinguishable f...
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作者：Cantillo, M
作者单位：Universidad Costa Rica
摘要：This article uses a general equilibrium framework to explore the origins and limitations of financial intermediaries. In the model, investors have a generic lending technology that they can improve at a cost. Those who upgrade become intermediaries to exploit their advantage. However, conflicts with depositors will limit the banks' market presence, and they will only lend to moderately endowed firms while bondholders will finance cash-rich corporations. The article also analyzes the extent to ...
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作者：Faure-Grimaud, A; Gromb, D
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：This article studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in the formation of a stock price that is informative about the large shareholder's activity. This increases the latter's incentives to engage in value-increasing activities. Indeed, if he has to liquidate part of his stake before the effect of his activity is publicly observed, a more informative price rewards him for his activity. Implications ...
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作者：Kremer, I; Nyborg, KG
作者单位：University of California System; University of California Los Angeles; Stanford University
摘要：In uniform auctions, buyers choose demand schedules as strategies and pay the same market clearing price for units awarded. Despite the widespread use of these auctions, the extant theory shows that they are susceptible to arbitrarily large underpricing. We make a realistic modification to the theory by letting prices, quantities, and bids be discrete. We show that underpricing can be made arbitrarily small by choosing a sufficiently small price tick size and a sufficiently large quantity mult...
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作者：Gârleanu, N; Pedersen, LH
作者单位：New York University; University of Pennsylvania
摘要：An important feature of financial markets is that securities are traded repeatedly by asymmetrically informed investors. We study how current and future adverse selection affect the required return. We find that the bid-ask spread generated by adverse selection is not a cost, on average, for agents who trade, and hence the bid-ask spread does not directly influence the required return. Adverse selection contributes to trading-decision distortions, however, implying allocation costs, which affe...
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作者：Peress, J
作者单位：INSEAD Business School
摘要：I solve (with an approximation) a Grossman-Stiglitz economy tinder general preferences, thus allowing for wealth effects. Because information generates increasing returns, decreasing absolute risk aversion, in conjunction with the availability of costly information, is sufficient to explain why wealthier households invest a larger fraction of their wealth in risky assets. One no longer needs to resort to decreasing relative risk aversion, an empirically questionable assumption. Furthermore, I ...
