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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：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：Jordan, Bradford D.; Riley, Timothy B.
作者单位：University of Kentucky; U.S. Securities & Exchange Commission (SEC)
摘要：In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a vol anomaly factor contrasting returns on portfolios of low and high volatility stocks. Consistent with Novy-Marx (2014) and Fama and French (2014), the Fama and French (2015) profitability and investment factors are equally effective at eliminating the abnormal returns. Failure to acco...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri V.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Gross profit scaled by book value of total assets predicts the cross section of average returns. Novy-Marx (2013) concludes that it outperforms other measures of profitability such as bottom line net income, cash flows, and dividends. One potential explanation for the measure's predictive ability is that its numerator (gross profit) is a cleaner measure of economic profitability. An alternative explanation lies in the measure's deflator. We find that net income equals gross profit in predictiv...
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作者：Golubov, Andrey; Yawson, Alfred; Zhang, Huizhong
作者单位：City St Georges, University of London; University of Adelaide
摘要：Firm fixed effects alone explain as much of the variation in acquirer returns as all the firm- and deal-specific characteristics combined. An interquartile range of acquirer fixed effects is over 6%, comparable to the interquartile range of acquirer returns. Acquirer returns persist over time, but mainly at the top end of the distribution. Persistence continues under different chief executive officers (CEOs), and attributes of the broader management team do not explain the fixed effect. Firm-s...
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作者：Dittmar, Amy; Field, Laura Casares
作者单位：University of Michigan System; University of Michigan; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Little is known about the price firms pay for stock repurchases. Using a data set of all U.S. repurchases from 2004 to 2011, we compare the actual average price paid monthly in a repurchase with the average market price for the same stock over various horizons. We find that firms repurchase stock at a significantly lower price than the average market price in all sample years. Less frequent repurchasers, firms that repurchase when insiders buy on their own account, and firms that experience lo...
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作者：O'Hara, Maureen
作者单位：Cornell University
摘要：Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research mus...
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作者：Akbas, Ferhat; Armstrong, Will J.; Sorescu, Sorin; Subrahmanyam, Avanidhar
作者单位：University of Kansas; Texas Tech University System; Texas Tech University; Texas A&M University System; Texas A&M University College Station; Mays Business School; University of California System; University of California Los Angeles
摘要：We investigate the dual notions that dumb money exacerbates well-known stock return anomalies and smart money attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money) appear to exacerbate cross-sectional mispricing, particularly for growth, accrual, and momentum anomalies. In contrast, hedge fund flows (smart money) appear to attenuate aggregate mispricing. Our results suggest that aggregate flows to mutual funds can have real adverse allocation effects in the stoc...
