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作者：Boeh, Kevin K.; Dunbar, Craig
作者单位：State University System of Florida; University of Florida; Western University (University of Western Ontario)
摘要：This study examines how initial public offering (IPO) pricing is affected by the pipeline of deals in registration, measured at the underwriter level. Examining IPOs from 2002 to 2013, we find evidence that measures of the IPO bookrunner's pipeline significantly affect pricing decisions. The evidence is mostly consistent with market power and agency theories, which argue that underwriters use a young or growing pipeline to push for higher IPO first day returns. (C) 2016 Elsevier B.V. All right...
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作者：Foley-Fisher, Nathan; Ramcharan, Rodney; Yu, Edison
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper investigates the impact of unconventional monetary policy on firm financial constraints using the maturity extension program (MEP). Consistent with bond market segmentation and limits to arbitrage, around the MEP's announcement, stock prices rose for those firms more dependent on longer-term debt. These firms also issued more long-term debt during the MEP and expanded employment and investment. There is also evidence of reach for yield behavior, as the demand for riskier corporate d...
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作者：Hau, Harald; Lai, Sandy
作者单位：University of Geneva; University of Geneva; University of Hong Kong
摘要：The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk-shifting channel, we find that fund investors in countries with decreased real interest rates shift their portfolio investment out of...
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作者：Daniel, Kent; Moskowitz, Tobias J.
作者单位：Columbia University; National Bureau of Economic Research; Yale University
摘要：Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in panic states, following market declines and when market volatility is high, and are contemporaneous with market rebounds. The low ex ante expected returns in panic states are consistent with a conditionally high premium attached to the option like payoffs of past loser...
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作者：Han, Yufeng; Zhou, Guofu; Zhu, Yingzi
作者单位：University of North Carolina; University of North Carolina Charlotte; Washington University (WUSTL); Tsinghua University
摘要：In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It outperforms substantially the well-known short-term reversal, momentum, and long-term reversal factors, which are based on the three price trends separately, by more than doubling their Sharpe ratios. ...
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作者：Smith, Jared D.
作者单位：North Carolina State University
摘要：Using US Department of Justice data on local political corruption, I find that firms in more corrupt areas hold less cash and have greater leverage than firms in less corrupt areas. The results are robust to including a range of controls and to using an instrumental variable approach, two alternative survey measures of corruption, and propensity score matching. Further, the association between corruption and leverage is largest among firms that operate primarily around their headquarters. Over...
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作者：Gonzalez-Urteaga, Ana; Rubio, Gonzalo
作者单位：Universidad Publica de Navarra; Universidad CEU Cardenal Herrera
摘要：This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sampl...
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作者：Souther, Matthew E.
作者单位：University of Missouri System; University of Missouri Columbia
摘要：I use a sample of closed-end funds to examine how takeover defenses impact shareholder value and promote managerial entrenchment. These funds use the same defenses as general corporations but provide an ideal, homogeneous environment for testing their effects. Defenses are associated with lower fund market values, weaker reactions to activist 13D filings, and higher compensation levels for both fund managers and directors. This study provides greater clarity on the unresolved impact of takeove...
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作者：Cortes, Kristle; Duchin, Ran; Sosyura, Denis
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using daily fluctuations in local sunshine as an instrument for sentiment, we study its effect on day-to-day decisions of lower-level financial officers. Positive sentiment is associated with higher credit approvals, and negative sentiment has the opposite effect of a larger magnitude. These effects are stronger when financial decisions require more discretion, when reviews are less automated, and when capital constraints are less binding. The variation in approval rates affects ex post financ...
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作者：Goetz, Martin R.; Laeven, Luc; Levine, Ross
作者单位：Goethe University Frankfurt; Tilburg University; Centre for Economic Policy Research - UK; European Central Bank; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：We develop a new identification strategy to evaluate the impact of the geographic expansion of a bank holding company (BHC) across US metropolitan statistical areas (MSAs) on BHC risk. For the average BHC, the instrumental variable results suggest that geographic expansion materially reduces risk. Geographic diversification does not affect loan quality. The results are consistent with arguments that geographic expansion lowers risk by reducing exposure to idiosyncratic local risks and inconsis...
