-
作者：Hotchkiss, ES; Ronen, T
作者单位：Boston College; Rutgers University System; Rutgers University New Brunswick
摘要：Using a unique dataset based on daily and hourly high-yield bond transaction prices, we find the informational efficiency of corporate bond prices is similar to that of the underlying stocks. We find that stocks do not lead bonds in reflecting firm-specific information. We further examine price behavior around earnings news and find that information is quickly incorporated into both bond and stock prices, even at short return horizons. Finally, we find that measures of market quality are no po...
-
作者：Teoh, SH; Wong, TJ
作者单位：University System of Ohio; Ohio State University; Hong Kong University of Science & Technology
摘要：We find that analysts' forecast errors are predicted by past accounting accruals (adjustments to cash flows to obtain reported earnings) among both equity issuers and nonissuers. Analysts are more optimistic for the subsequent four years for issuers reporting higher issue-year accruals. The predictive power is greater for discretionary accruals than nondiscretionary accruals and is independent of the presence of an underwriting affiliation. Predicted forecast errors from accruals significantly...
-
作者：Cagetti, M; Hansen, LP; Sargent, T; Williams, N
作者单位：University of Chicago; University of Virginia; Stanford University; Princeton University
摘要：We study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large shocks and continuous small shocks. An investor observes movements in the technology level but cannot perfectly distinguish their sources. Instead the investor solves a signal extraction problem. We depart from most of the macroeconomics and finance literature by presuming that the investor treats the...
-
作者：Cremers, KJM
作者单位：Yale University
摘要：Attempts to characterize stock return predictability have resulted in little consensus on the important conditioning variables, giving rise to model uncertainty and data snooping fears. We introduce a new methodology that explicitly incorporates model uncertainty by comparing all possible models simultaneously and in which the priors are calibrated to reflect economically meaningful information. Our approach minimizes data snooping given the information set and the priors. We compare the prior...
-
作者：Noe, TH
作者单位：Tulane University
摘要：This article investigates investor activism when there are a number of strategic investors that are capable of intervening in corporate governance. These strategic investors can monitor and/or trade in anonymous financial markets. In equilibrium, a core group of monitoring investors emerges endogenously to curtail managerial opportunism. These core activists both intervene and trade aggressively. Although the smallest investors are passive, there is no monotonic relationship between the size o...
-
作者：Chacko, G; Das, S
作者单位：Harvard University; Santa Clara University
摘要：The relationship between affine stochastic processes and bond pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential affine, then there is a linkage between the bond pricing solution and the prices of many widely traded interest rate derivative securities. Our results apply to m-factor processes with n diffusions and I jump processes. The pricing solutions r...
-
作者：Titman, S
作者单位：University of Texas System; University of Texas Austin
-
作者：Das, SR; Sundaram, RK
作者单位：Santa Clara University; New York University
摘要：The fee structure used to compensate investment advisers is central to the study of fund design, and affects investor welfare in at least three ways: (i) by influencing the portfolio-selection incentives of the adviser, (ii) by affecting risk-sharing between adviser and investor, and (iii) through its use as a signal of quality by superior investment advisers. In this paper, we describe a model in which all of these features are present, and use it to compare two popular and contrasting forms ...
-
作者：Holthausen, C; Ronde, T
作者单位：European Central Bank; University of Mannheim
摘要：This article studies access regulation to international large-value payment systems when banking supervision is national. We focus on the choice between net and real-time gross settlement. As a novel feature, the communication between the public authorities is endogenized. It is shown that the national authorities' incentives are not perfectly aligned concerning the settlement method. Therefore public regulation fails to implement the first-best access criteria. Banks prefer net settlement too...
-
作者：Booth, GG; Lin, JC; Martikainen, T; Tse, Y
作者单位：Michigan State University; Michigan State University's Broad College of Business; Louisiana State University System; Louisiana State University; Aalto University; University of Texas System; University of Texas at San Antonio
摘要：We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if th...
