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作者：Foley, Sean; Putnins, Tails J.
作者单位：University of Sydney; University of Technology Sydney
摘要：We exploit a unique natural experiment recent restrictions of dark trading in Canada and Australia and proprietary trade-level data to analyze the effects of dark trading. Disaggregating two types of dark trading, we find that dark limit order markets are beneficial to market quality, reducing quoted, effective, and realized spreads and increasing informational efficiency. In contrast, we do not find consistent evidence that dark midpoint crossing systems significantly affect market quality. O...
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作者：Francis, Bill; Hasan, Iftekhar; Mani, Sureshbabu; Ye, Pengfei
作者单位：Rensselaer Polytechnic Institute; Fordham University; Virginia Polytechnic Institute & State University
摘要：We examine the performance impact of the relative quality of a Chief Executive Officer (CEO)'s compensation peers (peers to determine a CEO's overall compensation) and bonus peers (peers to determine a CEO's relative-performance-based bonus). We use the fraction of peers with greater managerial ability scores (Demerjian, Lev, and McVay, 2012) than the reporting firm to measure this CEO's relative peer quality (RPQ). We find that firms with higher RPQ earn higher stock returns and experience hi...
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作者：Michaely, Roni; Rubin, Amir; Vedrashko, Alexander
作者单位：Cornell University; Reichman University; Simon Fraser University
摘要：We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias,...
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作者：Choi, Jaewon; Richardson, Matthew
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; New York University; National Bureau of Economic Research
摘要：We investigate the volatility of firms' assets in contrast to existing studies that focus on equity volatility. We estimate asset volatility using a comprehensive data set on the market values of corporate security returns. We find significant differences between the properties of equity and asset volatilities with implications for several important areas of finance. First, financial leverage has a large influence on equity volatility. Second, leverage and asset volatility have permanent and t...
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作者：Jensen, Mads Vestergaard; Pedersen, Lasse Heje
作者单位：Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a convertible bond. We show theoretically that this result is overturned when investors face frictions. Early option exercise can be optimal when it reduces short-sale costs, transaction costs, or funding costs. We provide consistent empirical evidence, documenting billions of dollars of early exercise for options and convertible bonds using u...
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作者：Loon, Yee Cheng; Zhong, Zhaodong (Ken)
作者单位：U.S. Securities & Exchange Commission (SEC); Rutgers University System; Rutgers University New Brunswick
摘要：This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real-time trade reports made available through the Dodd-Frank reforms. We find that the average relative effective spread is 0.27% of price level or 2.73% of CDS spread. Dodd-Frank does affect transaction costs and liquidity. Liquidity improves after the commencement of public dissemination of OTC derivatives trades. Moreover, cleared trades, trades executed on exchange-like venues, end-u...
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作者：Edelen, Roger M.; Ince, Ozgur S.; Kadlec, Gregory B.
作者单位：University of California System; University of California San Francisco; University of Southern California; Virginia Polytechnic Institute & State University
摘要：We examine institutional demand prior to well-known stock return anomalies and find that institutions have a strong tendency to buy stocks classified as overvalued (short leg of anomaly), and that these stocks have particularly negative ex post abnormal returns. Our results differ from numerous studies documenting a positive relation between institutional demand and future returns. We trace the difference to measurement horizon. We too find a positive relation at a quarterly horizon. However, ...
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作者：Chen, Honghui; Singal, Vijay; Whitelaw, Robert F.
作者单位：State University System of Florida; University of Central Florida; Virginia Polytechnic Institute & State University; New York University; National Bureau of Economic Research
摘要：Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. We show that the bivariate regressions in this literature provide little information about the economic magnitude of excess comovement, with coefficients that are sensitive to unrelated factors. Using robust univariate regressions and matched control samples, almost all evidence of excess comovement disap...
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作者：Dagher, Jihad; Sun, Yangfan
作者单位：International Monetary Fund; Georgetown University
摘要：Laws governing the foreclosure process can have direct consequences for the costs of foreclosure and, therefore could affect lending decisions. We exploit the heterogeneity in judicial requirements across US states to examine their impact on banks' lending decisions in a sample of urban areas straddling state borders. A key feature of our study is the way it exploits an exogenous cutoff in loan eligibility to government-sponsored enterprises (GSEs) guarantees, which shift the burden of foreclo...
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作者：Cornaggia, Jess; Cornaggia, Kimberly J.; Xia, Han
作者单位：Georgetown University; American University; University of Texas System; University of Texas Dallas
摘要：Credit analysts often leave rating agencies to work at firms they rate. We use benchmark rating agencies as counterfactuals to measure rating inflation in a difference-in-differences framework and find that transitioning analysts award inflated ratings to their future employers before switching jobs. We find no evidence that analysts inflate ratings of other firms they rate. Market based measures of hiring firms' credit quality further indicate that transitioning analysts' inflated ratings bec...
