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作者：Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin
作者单位：University of Washington; University of Washington Seattle; Utah System of Higher Education; University of Utah; Queens University - Canada; Wilfrid Laurier University; University of Sydney; Rochester Institute of Technology; University of Memphis
摘要：Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type high frequency traders (HFTs) around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little ...
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作者：Holderness, Clifford G.
作者单位：European Corporate Governance Institute; Boston College
摘要：Mandatory shareholder approval of equity issuances varies across and within countries. When shareholders approve issuances, average announcement returns are positive. When managers issue stock without shareholder approval, returns are negative and 4% lower. The closer the vote is to the issuance or the greater is the required plurality, the higher are the returns for public offers, rights offers, and private placements. When shareholder approval is required, rights offers predominate. When man...
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作者：Eckbo, B. Espen; Makaew, Tanakorn; Thorburn, Karin S.
作者单位：Dartmouth College; Norwegian School of Economics (NHH); European Corporate Governance Institute; U.S. Securities & Exchange Commission (SEC); Centre for Economic Policy Research - UK
摘要：The more the target knows about the bidder, the more difficult is paying the target with overpriced bidder shares. Thus, when bidders are opportunistic, the fraction of stock in the deal payment will be lower for better informed targets. We test this intuitive prediction against the alternative that stock payments primarily reflect bidder concerns with target adverse selection, which implies a greater fraction of stock in the deal payment for better informed targets. Discriminating between the...
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作者：Matvos, Gregor; Seru, Amit; Silva, Rui C.
作者单位：University of Chicago; National Bureau of Economic Research; University of London; London Business School
摘要：We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that large, diversified publicly traded firms increase their scope during times of high external capital market frictions, such as in the recent Great Recession. Moreover, during these times firms diversify their investment needs and cash flow across industries. We also find similar phenomena outside diversified public firms. Examining the mergers...
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作者：Lee, Kyeong Hun; Mauer, David C.; Xu, Emma Qianying
作者单位：Norwegian School of Economics (NHH); University of North Carolina; University of North Carolina Charlotte; University of Texas System; University of Texas El Paso
摘要：We construct a measure of the pairwise relatedness of firms' human capital to examine whether human capital relatedness is a key factor in mergers and acquisitions. We find that mergers are more likely and merger returns and postmerger performance are higher when firms have related human capital. These relations are stronger or only present in acquisitions where the merging firms do not operate in the same industries or product markets. Reductions in employment and wages following mergers with...
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作者：Kang, Jun-Koo; Luo, Juan; Na, Hyun Seung
作者单位：Nanyang Technological University; University of Adelaide; Korea University
摘要：We examine whether institutions' monitoring effectiveness is related to the number of their blockholdings. We find that the number of blocks that a firm's large institutions hold is positively associated with forced chief executive officer (CEO) turnover-performance sensitivity, abnormal returns around forced CEO turnover announcements and 13D filings, and changes in firm value. These results are particularly evident when institutions have multiple blockholdings in the same industry, when they...
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作者：Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; Shanghai Jiao Tong University; University of Pennsylvania; National Bureau of Economic Research
摘要：The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among overpriced stocks (Stambaugh, Yu, and Yuan, 2015). That stronger negative relation combines with the positive IVOL-beta correlation to produce the beta anomaly. The anomaly is significant only within overpriced stocks and only in periods w...
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作者：Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947-2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with t...
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作者：Grundy, Bruce D.; Verwijmeren, Patrick
作者单位：University of Melbourne; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds dominate the market for new convertibles today and because convertible arbitrage is less risky without callability, the recent diminution in the frequency of call provisions in new convertible bond issues illustrate...
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作者：Licht, Amir N.; Poliquin, Christopher; Siegel, Jordan I.; Li, Xi
作者单位：Reichman University; University of California System; University of California Los Angeles; University of Michigan System; University of Michigan; University of Arkansas System; University of Arkansas Fayetteville
摘要：We use a US Supreme Court case, Morrison v. National Australia Bank (2010), as a natural experiment to test the legal bonding hypothesis. By decreasing the potential liability of US-listed foreign firms, particularly due to class action lawsuits, Morrison arguably eroded their legal bonding to compliance with disclosure duties. Nevertheless, we find evidence of an increase or insignificant change in share values. Tests of longer-run effects of the legal event indicate that foreign firms' discl...
