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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...
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作者：Liao, Gordon Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper examines the joint determination of deviations in long-term covered interest rate parity and differences in the credit spread of bonds of similar risk but different currency denomination. These two pricing anomalies are highly aligned in both the time series and the cross-section of currencies. The sum of these two pricing deviations-the corporate basis-represents the currency-hedged borrowing cost difference between currency regions and explains up to a third of the variation in th...
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作者：Bennett, Benjamin; Stulz, Rene; Wang, Zexi
作者单位：Tulane University; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University; Lancaster University
摘要：Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, b...
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作者：Baghai, Ramin P.; Becker, Bo
作者单位：Stockholm School of Economics
摘要：How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired...
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作者：Hibbert, Ann Marie; Kang, Qiang; Kumar, Alok; Mishra, Suchi
作者单位：West Virginia University; State University System of Florida; Florida International University; University of Miami
摘要：We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity declines. Moreover, heterogeneity in beliefs, proxied by either analyst- or institutional-trade-based measures, is a robust and salient determinant of SEO firm volatility, which provides an explanation for the...
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作者：Makarov, Igor; Schoar, Antoinette
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin...
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作者：Brown, Jeffrey R.; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：Using data on White House visitors from 2009 through 2015, we find that corporate executives' meetings with key policymakers are associated with positive abnormal stock returns. We also find evidence suggesting that firms receive more government contracts and are more likely to receive regulatory relief (as measured by the tone of regulatory news) following meetings with federal government officials. Using the 2016 presidential election as a shock to political access, we find that firms with a...
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作者：Corradin, Stefano; Maddaloni, Angela
作者单位：European Central Bank
摘要：We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)'s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their mark...
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作者：Dai, Yunhao; Rau, P. Raghavendra; Stouraitis, Aris; Tan, Weiqiang
作者单位：Huazhong University of Science & Technology; University of Cambridge; Hong Kong Baptist University
摘要：Using multiple measures of attack proximity, we show that CEOs employed at firms located near terrorist attacks earn an average pay increase of 12% after the attack relative to CEOs at firms located far from attacks. CEOs at terrorist attack-proximate firms prefer cash-based compensation increases (e.g., salary and bonus) over equity-based compensation (e.g., options and stocks granted). The effect is causal and it is larger when the bargaining power of the CEO is high. Other executives and wo...
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作者：Bolton, Patrick; Li, Tao; Ravina, Enrichetta; Rosenthal, Howard
作者单位：Columbia University; Imperial College London; State University System of Florida; University of Florida; Northwestern University; New York University
摘要：We estimate institutional investor preferences from proxy voting records. The W-NOMINATE method maps investors onto a left-right dimension based on votes for fiscal year 2012. Public pension funds and other investors on the left support a more social and environment-friendly orientation of the firm and fewer executive compensation proposals. Money-conscious investors appear on the right. The proxy advisor ISS makes voting recommendations that place it center, to the left of most large mutual f...
