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作者：Golez, Benjamin; Marin, Jose M.
作者单位：University of Notre Dame; Universidad Carlos III de Madrid
摘要：Fund managers are double agents; they serve both fund investors and owners of management firms. This conflict of interest may result in trading to support securities prices. Tests of this hypothesis in the Spanish mutual fund industry indicate that bank-affiliated mutual funds systematically increase their holdings in the controlling bank stock around seasoned equity issues, at the time of bad news about the controlling bank, before anticipated price drops, and after non-anticipated price drop...
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作者：Lepetit, Laetitia; Saghi-Zedek, Nadia; Tarazi, Amine
作者单位：Universite de Limoges
摘要：We investigate whether excess control rights of ultimate owners in pyramids affect banks' capital ratio adjustments. When control and cash flow rights are identical, to boost capital ratios banks issue equity without cutting lending. However, when control rights exceed cash flow rights, instead of issuing equity, banks downsize by reducing lending. Such a finding is mostly prevalent in countries with weak shareholder protection or for family-controlled banks. Other factors also explain the ext...
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作者：Graham, John R.; Leary, Mark T.; Roberts, Michael R.
作者单位：Duke University; Washington University (WUSTL); University of Pennsylvania; National Bureau of Economic Research
摘要：Unregulated US corporations dramatically increased their debt usage over the past century. Aggregate leverage low and stable before 1945 more than tripled between 1945 and 1970 from 11% to 35%, eventually reaching 47% by the early 1990s. The median firm in 1946 had no debt, but by 1970 had a leverage ratio of 31%. This increase occurred in all unregulated industries and affected firms of all sizes. Changing firm characteristics are unable to account for this increase. Rather, changes in govern...
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作者：Massa, Massimo; Qian, Wenlan; Xu, Weibiao; Zhang, Hong
作者单位：INSEAD Business School; National University of Singapore; Nankai University; Tsinghua University
摘要：We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for opportunistic (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of ...
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作者：Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio
作者单位：University of Quebec; University of Quebec Montreal; University of Toronto; Copenhagen Business School; CREATES; Aarhus University; University of Houston System; University of Houston; Instituto Tecnologico Autonomo de Mexico
摘要：We use intraday data to compute weekly realized moments for equity returns and study their time-series and cross-sectional properties. Buying stocks in the lowest realized skewness decile and selling stocks in the highest realized skewness decile generates an average return of 19 basis points the following week with a t-statistic of 3.70. This result is robust across a wide variety of implementations and is not captured by the Fama-French and Carhart factors. The relation between realized kurt...
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作者：Demiroglu, Cem; James, Christopher
作者单位：Koc University; State University System of Florida; University of Florida
摘要：This paper examines the relation between the number and type of lenders that participate in corporate loan facilities and the nature of troubled debt restructurings. We find that loans from traditional bank lenders are significantly easier to restructure out of court than loans from institutional lenders. We also find that the existence of a past banking relationship between the borrower and the lead arranger of a syndicated loan adversely affects the ease of restructuring. Finally, we find th...
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作者：Braguinsky, Serguey; Mityakov, Sergey
作者单位：Carnegie Mellon University; Clemson University
摘要：Firms from developed countries carry a culture of transparency in business transactions that is opposite to the culture of hiding and insider dealing in developing and transition economies. We employ Russian administrative data on reported earnings and market values of cars to measure wage misreporting for individual employees of domestic firms in Moscow. We show that closer ties to multinationals lead to improved transparency of wage reporting in private Russian companies. Employees located c...
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作者：Harris, Lawrence E.; Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Southern California; University of Chicago
摘要：Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call juicing. Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common among funds with unsophisticated investors. This behavior is consistent with an underlying investor demand for dividends, but is hard to explain by taxes or need for income, as funds can generate equivalent tax-fr...
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作者：Schneider, Paul
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order moment risk. Variance risk and the equity premium approximate it to first order and it nests cross-sectional asset pricing models such as the linear Capital Asset Pricing Model (CAPM). An empirical study in ...
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作者：Efing, Matthias; Hau, Harald
作者单位：University of Geneva
摘要：We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business. Such rating favors are larger for very complex structured debt deals and for deals issued during the credit boom period. Our analysis is b...
