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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...
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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 ...
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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...
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作者：Carhart, MM; Carpenter, JN; Lynch, AW; Musto, DK
作者单位：New York University; University of Pennsylvania
摘要：This article provides a comprehensive study of survivorship issues using the mutual fund data of Carhart (1997). We demonstrate theoretically that when survival depends on multiperiod performance, the survivorship bias in average performance typically increases with the sample length. This is empirically relevant because evidence suggests a multiyear survival rule for U.S. mutual funds. In the data we find the annual bias increases from 0.07% for 1-year samples to 1% for samples longer than 15...
