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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; University of California System; University of California Berkeley; Queens University - Canada
摘要：We examine the effects of high-frequency traders (HFTs) on liquidity using the September 2008 short sale-ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs, we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs' short selling improves liquidity, as measured by bid-ask spreads. HFTs' short selling has the opposite effect by adversely selecting limit orders, which can decrease liquidity supp...
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作者：Choi, Nicole; Fedenia, Mark; Skiba, Hilla; Sokolyk, Tatyana
作者单位：University of Wyoming; University of Wisconsin System; University of Wisconsin Madison; Colorado State University System; Colorado State University Fort Collins; Brock University
摘要：Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantag...
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作者：Fauver, Larry; Hung, Mingyi; Li, Xi; Taboada, Alvaro G.
作者单位：University of Tennessee System; University of Tennessee Knoxville; Hong Kong University of Science & Technology; Mississippi State University
摘要：We examine the impact of corporate board reforms on firm value in 41 countries. Using a difference-in-differences design, we find that board reforms increase firm value. Reforms involving board and audit committee independence, but not reforms involving separation of chairman and chief executive officer positions, drive the valuation increases. In addition, while comply-or-explain reforms result in a greater increase in firm value than rule-based reforms, the effects of reforms are similar acr...
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作者：Bekaert, Geert; Hoyem, Kenton; Hu, Wei-Yin; Ravina, Enrichetta
作者单位：Columbia University; National Bureau of Economic Research
摘要：Drawing on a novel database of the 401(k) plans of 296 firms, we examine the international equity allocations of 3.8 million individuals over the 2005-2011 period. We find enormous cross-individual variation, ranging from zero to more than 75%, and strong cohort effects, with younger cohorts investing more internationally than older ones and each cohort investing more internationally over time. Access to financial advice, lower fees, and more international fund choices are associated with high...
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作者：van Binsbergen, Jules H.; Koijen, Ralph S. J.
作者单位：University of Pennsylvania; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have higher average returns and Sharpe ratios than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on di...
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作者：Boyson, Nicole M.; Gantchev, Nickolay; Shivdasani, Anil
作者单位：Northeastern University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Shareholder value creation from hedge fund activism occurs primarily by influencing takeover outcomes for targeted firms. Controlling for selection decisions, activist interventions substantially increase the probability of a takeover offer. Third-party bids for targets have higher returns, premia, and completion rates, but these patterns reverse when the activist is the bidder. Failed bids for activism targets lead to improvements in operating performance, financial policy, and positive long-...
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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：University of Lausanne; Swiss Finance Institute (SFI); University of Lausanne; University of Navarra; IESE Business School
摘要：We quantify the impact of merger activity on productive efficiency. We develop and calibrate a dynamic industry-equilibrium model that features mergers, entry, and exit by heterogeneous firms. Mergers affect productivity directly through realized synergies, and indirectly through firms' incentives to enter or exit the industry. Merger activity increases average firm productivity by 4.8%, of which 4.1% reflects the accumulation of synergies, and 0.7% the interaction between merger options and f...
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作者：Blanco, Ivan; Wehrheim, David
作者单位：CUNEF Universidad; Universidad Carlos III de Madrid; University of Navarra; IESE Business School
摘要：Do financial derivatives enhance or impede innovation? We answer this question by examining the relationship between equity options markets and standard measures of firm innovation. We find that firms with more options trading activity generate more patents and patent citations per dollar invested in research and development (R&D), after accounting for other confounding factors. These results are confirmed when we use a propensity score matching procedure and an instrumental variable approach ...
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作者：Di Maggio, Marco; Kacperczyk, Marcin
作者单位：Harvard University; National Bureau of Economic Research; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study the impact of the zero lower bound interest rate policy on the industrial organization of the U.S. money fund industry. We find that in response to policies that maintain low interest rates, money funds: change their product offerings by investing in riskier asset classes; are more likely to exit the market; and reduce the fees they charge their investors. The consequence of fund closures resulting from interest rate policy is the relocation of resources in affected fund families and ...
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作者：Manela, Asaf; Moreira, Alan
作者单位：Washington University (WUSTL); Yale University
摘要：We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial crises. In US postwar data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and gover...
