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作者：Nanda, V; Wang, ZJ; Zheng, L
作者单位：University of Michigan System; University of Michigan
摘要：We examine the extent to which a fund's cash flows are affected by the stellar performance of other funds in its family-and consequences of such spillovers. We show that star performance results in greater cash inflow to the fund and to other funds in its family. Moreover, families with higher variation in investment strategies across funds are shown to be more likely to generate star performance. We argue that spillovers may induce lower ability families to pursue star-creating strategies. Co...
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作者：Purnanandam, AK; Swaminathan, B
作者单位：Cornell University
摘要：While IPOs have been underpriced by more than 10% during the past two decades, we find that in a sample of more than 2,000 IPOs from 1980 to 1997, the median IPO was significantly overvalued at the offer price relative to valuations based on industry peer price multiples. This overvaluation ranges from 14% to 50% depending on the peer matching criteria. Cross-sectional regressions show that overvalued IPOs provide high first-day returns, but low long-run risk-adjusted returns. These overvalued...
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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：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：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 ...
