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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：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：Gompers, Paul A.; Mukharlyamov, Vladimir; Xuan, Yuhai
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We investigate how personal characteristics affect people's desire to collaborate and whether this attraction enhances or detracts from performance in venture capital. We find that venture capitalists who share the same ethnic, educational, or career background are more likely to syndicate with each other. This homophily reduces the probability of investment success, and the detrimental effect is most prominent for early-stage investments. A variety of tests show that the cost of affinity is m...
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作者：Bai, Jennie; Philippon, Thomas; Savov, Alexi
作者单位：Georgetown University; New York University; National Bureau of Economic Research
摘要：The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current market prices. Since 1960, price informativeness has increased at longer horizons (three to five years). The increase is concentrated among firms with greater institutional ownership and share turnov...
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作者：Ferrell, Allen; Liang, Hao; Renneboog, Luc
作者单位：Harvard University; Singapore Management University; Tilburg University
摘要：In the corporate finance tradition, starting with Berle and Means (1932), corporations should generally be run to maximize shareholder value. The agency view of corporate social responsibility (CSR) considers CSR an agency problem and a waste of corporate resources. Given our identification strategy by means of an instrumental variable approach, we find that well-governed firms that suffer less from agency concerns (less cash abundance, positive pay-for-performance, small control wedge, strong...
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作者：Keys, Benjamin J.; Pope, Devin G.; Pope, Jaren C.
作者单位：University of Pennsylvania; University of Chicago; Brigham Young University; National Bureau of Economic Research
摘要：Households that fail to refinance their mortgage when interest rates decline lose out on substantial savings. Using a random sample of outstanding US mortgages in December 2010, we estimate that approximately 20% of unconstrained households for whom refinancing was optimal had not done so. The median household would save $160/month over the remaining life of the loan, for a total present-discounted value of forgone savings of $11,500, a particularly large consumer financial mistake. To shed li...
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作者：Fabbri, Daniela; Menichini, Anna Maria C.
作者单位：City St Georges, University of London; University of Salerno
摘要：The paper presents a new theory of trade credit in which firms buy inputs on credit from suppliers to restore the benefits of secured bank financing impaired by contract incompleteness. In a setting where investment is endogenous and unobservable to financiers, we show that a bank-secured credit contract is time-inconsistent. Upon being granted credit, the entrepreneur has an incentive to alter the original input combination, jeopardizing the bank's revenues. Anticipating the entrepreneur's op...
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作者：Lu, Yan; Ray, Sugata; Teo, Melvyn
作者单位：State University System of Florida; University of Central Florida; State University System of Florida; University of Florida; Singapore Management University
摘要：We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load mo...
