2020

最新文章

• Pre-trade hedging: Evidence from the issuance of retail structured products AI翻译
  作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
  作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University
  摘要：We find evidence consistent with previously unrecognized market manipulation by broker-dealers. Specifically, we show that pre-trade hedging, which is distinct from front-running, alters prices at which derivative trades occur. We show this behavior is intentional by exploiting variation in the design of structured equity products (SEPs). We find positive abnormal returns on SEP pricing dates for which issuers benefit from altering closing stock prices but no such returns on pricing dates of o...
• Liquidity regimes and optimal dynamic asset allocation AI翻译
  作者：Collin-Dufresne, Pierre; Daniel, Kent; Saglam, Mehmet
  作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Columbia University; National Bureau of Economic Research; University System of Ohio; University of Cincinnati
  摘要：We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios in all future states. The trading speed is higher in more persistent, riskier, and higher-liquidity states. It can be optimal to overweight low Sharpe-ratio assets such as Treasury bonds because they remain liquid even in crisis states. We il...
• Mutual fund investments in private firms AI翻译
  作者：Kwon, Sungjoung; Lowry, Michelle; Qian, Yiming
  作者单位：Wayne State University; Drexel University; University of Connecticut
  摘要：Historically, a key advantage of being a public firm was broader access to capital, from a disperse group of shareholders. In recent years, such capital has increasingly become available to private firms as well. We document a dramatic increase over the past twenty years in the number of mutual funds participating in private markets and in the dollar value of these private firm investments. We evaluate several factors that potentially contribute to this trend: firms seeking extra capital to po...
• Anomalies across the globe: Once public, no longer existent? AI翻译
  作者：Jacobs, Heiko; Mueller, Sebastian
  作者单位：University of Duisburg Essen
  摘要：Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on more than two million anomaly country-months, that the United States is the only country with a reliable post-publication decline in long-short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading can create segmented markets and that anomalies tend to represent mispricin...
• Board structure, director expertise, and advisory role of outside directors AI翻译
  作者：Chen, Sheng-Syan; Chen, Yan-Shing; Kang, Jun-Koo; Peng, Shu-Cing
  作者单位：National Chengchi University; National Taiwan University; Nanyang Technological University; National Central University
  摘要：We investigate how a shock to corporate demand for experienced directors (i.e., U.S. Congress' grant of Permanent Normal Trade Relations status to China in 2000) affects U.S. firms' board structure and board advisory role. We find that firms appoint more outside directors with China-related experience after the grant. Firms with such directors realize higher returns around announcements of investments involving Chinese firms and bet-ter post-deal operating performance, particularly when these ...
• The timing and consequences of seasoned equity offerings: A regression discontinuity approach AI翻译
  作者：Dittmar, Amy; Duchin, Ran; Zhang, Shuran
  作者单位：University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
  摘要：The likelihood of seasoned equity offerings (SEOs) jumps discontinuously when the stock price equals the most recent equity offer price. Anchoring on the last offer price holds after considering executive turnovers, stock splits, earnings management, or dividend adjustments. Using a fuzzy regression discontinuity design around this cutoff, which exploits local randomness in stock prices, we investigate the consequences of anchoring in SEOs. We find significant increases in cash holdings and ac...
• Business cycles and currency returns AI翻译
  作者：Colacito, Riccardo; Riddiough, Steven J.; Sarno, Lucio
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Melbourne; University of Cambridge; Centre for Economic Policy Research - UK
  摘要：We find a strong link between currency excess returns and the relative strength of the business cycle. Buying currencies of strong economies and selling currencies of weak economies generates high returns both in the cross-section and time series of countries. These returns stem primarily from spot exchange rate predictability, are uncorrelated with common currency investment strategies, and cannot be understood using traditional currency risk factors in either unconditional or conditional ass...
• Is the credit spread puzzle a myth? AI翻译
  作者：Bai, Jennie; Goldstein, Robert S.; Yang, Fan
  作者单位：Georgetown University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
  摘要：We revisit Feldhater and Schaefer (FS, 2018), who report evidence of a credit spread puzzle for high-yield but not investment-grade bonds. We show their results are reversed when their model is calibrated to market values of debt (as required by theory) rather than book values. We then demonstrate that using credit spreads rather than historical default rates to identify the default boundary provides the statistical power necessary to reject their assumption that firm dynamics follow geometric...
• Institutional allocations in the primary market for corporate bonds AI翻译
  作者：Nikolova, Stanislava; Wang, Liying; Wu, Juan (Julie)
  作者单位：University of Nebraska System; University of Nebraska Lincoln
  摘要：Using 2002-2014 insurer transactions, we provide the first empirical evidence on underwriters' allocation practices in the primary market for corporate bonds. Since bonds are often underpriced, allocations generate for investors an estimated $41 billion of first-day profits. These profits increase with proxies for investors' information production during the bookbuilding process and, more strongly, with investors' prior trading with underwriters. Information production has a larger impact when...
• Adverse selection and the performance of private equity co-investments AI翻译
  作者：Braun, Reiner; Jenkinson, Tim; Schemmerl, Christoph
  作者单位：Technical University of Munich; University of Oxford
  摘要：Investors increasingly look for private equity managers to provide opportunities for co-investing outside the fund structure, thereby saving fees and carried interest payments. In this paper, we use a large sample of buyout and venture capital co-investments to test how such deals compare with the remaining fund investments. In contrast to Fang, Ivashina, and Lerner (2015), we find no evidence of adverse selection. Gross return distributions of co-investments and other deals are similar. Co-in...