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作者：Comerton-Forde, Carole; Putnins, Talis J.
作者单位：University of Melbourne; University of Technology Sydney
摘要：Regulators globally are concerned that dark trading harms price discovery. We show that dark trades are less informed than lit trades. High levels of dark trading increase adverse selection risk on the lit exchange by increasing the concentration of informed traders. Using both high- and low-frequency measures of informational efficiency we find that low levels of non-block dark trading are benign or even beneficial for informational efficiency, but high levels are harmful. In contrast, we fin...
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作者：Vladimirov, Vladimir
作者单位：University of Amsterdam
摘要：This paper argues that endogenizing how acquirers finance their cash bids is just as important for understanding bidding in takeovers as endogenizing acquirers' payment method choice. The paper shows that acquirers finance their cash bids with equity only if they lack access to competitive financing. This leads to underbidding and lower takeover premiums. Conversely, acquirers with access to competitive financing use debt and overbid. Endogenizing the payment method reveals that security (e.g....
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作者：Hanson, Samuel G.; Stein, Jeremy C.
作者单位：Harvard University; National Bureau of Economic Research
摘要：Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate. This finding is at odds with standard macro-models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the eco...
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作者：Biais, Bruno; Foucault, Thierry; Moinas, Sophie
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：High speed market connections improve investors' ability to search for attractive quotes in fragmented markets, raising gains from trade. They also enable fast traders to obtain information before slow traders, generating adverse selection, and thus negative externalities. When investing in fast trading technologies, institutions do not internalize these externalities. Accordingly, they overinvest in equilibrium. Completely banning fast trading is dominated by offering two types of markets: on...
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作者：Conrad, Jennifer; Wahal, Sunil; Xiang, Jin
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Arizona State University; Arizona State University-Tempe
摘要：We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross section of securities in the US. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly lower cost of trading. We also explore market resiliency during periods of exceptionally high low-latency trading: large liquidity drawdowns in which, within the same millisecond, trading algorithms syste...
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作者：Krishnamurthy, Arvind; Vissing-Jorgensen, Annette
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California Berkeley; Centre for Economic Policy Research - UK
摘要：We present a theory in which the key driver of short-term debt issued by the financial sector is the portfolio demand for safe and liquid assets by the nonfinancial sector. This demand drives a premium on safe and liquid assets that the financial sector exploits by owning risky and illiquid assets and writing safe and liquid claims against them. The central prediction of the theory is that safe and liquid government debt should crowd out financial sector lending financed by short-term debt. We...
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作者：Milbradt, Konstantin; Oehmke, Martin
作者单位：Northwestern University; National Bureau of Economic Research; Columbia University
摘要：Financing terms and investment decisions are jointly determined. This interdependence, which links firms' asset and liability sides, can lead to short-termism in investment. In our model, financing frictions increase with the investment horizon, such that financing for long-term projects is relatively expensive and potentially rationed. In response, firms whose first-best investments are long-term may adopt second-best projects of shorter maturities. This worsens financing terms for firms with...
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作者：Adelino, Manuel; Schoar, Antoinette; Severino, Felipe
作者单位：Duke University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Dartmouth College
摘要：We show the importance of the collateral lending channel for small business employment over the past decade. Small businesses in areas with greater increases in house prices experienced stronger growth in employment than large firms in the same areas and industries. To identify the role of the collateral lending channel separately from aggregate changes in demand, we show that this effect is more pronounced in industries that need little start-up capital and in which housing collateral is more...
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作者：Hendershott, Terrence; Livdan, Dmitry; Schuerhoff, Norman
作者单位：University of California System; University of California Berkeley; University of Lausanne
摘要：This paper combines daily buy and sell institutional trading volume with all news announcements from Reuters. Using institutional order flow (buy volume minus sell volume) we find a variety of evidence that institutions are informed. Institutional trading volume predicts the occurrence of news announcements. Institutional order flow predicts (i) the sentiment of the news; (ii) the stock market reaction on news announcement days; (iii) the stock market reaction on crisis news days; and (iv) ear...
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作者：Tate, Geoffrey; Yang, Liu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Maryland; University of Maryland College Park
摘要：We use unique worker-plant matched panel data to measure differences in wage changes experienced by workers displaced from closing plants. We observe larger losses among women than men, comparing workers who move from the same closing plant to the same new firm. However, we find a significantly smaller gap in hiring firms with female leadership. The results are strongest among women who are displaced from male-led plants and from less competitive industries. Our results suggest an important ex...
