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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：Dow, James; Han, Jungsuk
作者单位：University of London; London Business School; Stockholm School of Economics
摘要：When should we expect bubbles? Can levered intermediaries bid up risky asset prices through asset substitution? We study an economy with Financial intermediaries that issue debt and equity to buy risky assets. Asset substitution alone cannot cause bubbles because it is priced into the intermediaries' securities. But incomplete contracts and managerial agency problems can make intermediaries take excessive risk to exploit limited liability, bidding up risky asset prices. This destroys welfare t...
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作者：Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume
作者单位：Stanford University; National Bureau of Economic Research; European Central Bank
摘要：We use an extensive data set of bilateral credit default swap (CDS) positions to estimate the impact on collateral demand of new clearing and margin regulations. The estimated collateral demands include initial margin and the frictional demands associated with the movement of variation margin through the network of market participants. We estimate the impact on total collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing parties (CCPs), ...
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作者：Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; Shrader, Jeffrey
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：We provide empirical evidence for the existence, magnitude, and economic cost of stigma associated with banks borrowing from the Federal Reserve's Discount Window (DW) during the 2007-2008 financial crisis. We find that banks were willing to pay a premium of around 44 basis points (bps) across funding sources (126 bps after the bankruptcy of Lehman Brothers) to avoid borrowing from the DW. DW stigma is economically relevant as it increased some banks' borrowing cost by 32 bps of their pre-tax ...
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作者：Kwan, Amy; Masulis, Ronald; McInish, Thomas H.
作者单位：University of Sydney; University of New South Wales Sydney; University of Memphis
摘要：We investigate competition between traditional stock exchanges and new dark trading venues using an important difference in regulatory treatment. Securities and Exchange Commission required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools allow some traders to bypass existing limit order queues with minimal price improvement. Using a regression discontinuity design, we find that spread constraints significantly weaken exchanges' competitiven...
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作者：Tewari, Manish; Byrd, Anthony; Ramanlal, Pradipkumar
作者单位：State University of New York (SUNY) System; State University of New York (SUNY) Brockport; State University System of Florida; University of Central Florida
摘要：We identify the call premium in nonconvertible callable bonds as an effective contracting provision to address agency conflict due to reinvestment risk and credit rating improvements. We analyze 4,495 bonds issued between 1980 and 2012. When interest rates are high, a majority of investment-grade issues and almost the entire subset with long maturities (> 20 years) include a call premium. When interest rates are low, virtually all investment-grade issues with long and short maturities are call...
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作者：DeAngelo, Harry; Stulz, Rene M.
作者单位：University of Southern California; University System of Ohio; Ohio State University
摘要：Liquidity production is a central function of banks. High leverage is optimal for banks in a model that has just enough frictions for banks to have a meaningful role in liquid-claim production. The model has a market premium for (socially valuable) safe/liquid debt, but no taxes or other traditional motives to lever up. Because only safe debt commands a liquidity premium, banks with risky assets use risk management to maximize their capacity to include such debt in the capital structure. The m...
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作者：Eun, Cheol S.; Wang, Lingling; Xiao, Steven C.
作者单位：University System of Georgia; Georgia Institute of Technology; Tulane University; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick
摘要：Consistent with predictions from the psychology literature, we find that stock prices co-move more (less) in culturally tight (loose) and collectivistic (individualistic) countries. Culture influences stock price synchronicity by affecting correlations in investors' trading activities and a country's information environment. Both market-wide and firm-specific variations are lower in tighter cultures. Individualism is mostly associated with higher firm-specific variations. Trade and financial o...
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作者：Floyd, Eric; Li, Nan; Skinner, Douglas J.
作者单位：Rice University; University of Toronto; University of Chicago
摘要：We compare the payout policies of US industrials and banks over the past 30 years to better understand dividends, especially for banks. For industrials, dividends grow strongly after 2002, when the declining propensity to pay reverses. Banks have a higher and more stable propensity to pay dividends and resist cutting dividends as the 2007-2008 financial crisis begins. Before the crisis, increases in repurchases push payouts to historic levels. These findings are broadly consistent with the ide...
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作者：Chen, Tao; Harford, Jarrad; Lin, Chen
作者单位：Nanyang Technological University; University of Washington; University of Washington Seattle; University of Hong Kong
摘要：Building on two sources of exogenous shocks to analyst coverage (broker closures and mergers), we explore the causal effects of analyst coverage on mitigating managerial expropriation of outside shareholders. We find that as a firm experiences an exogenous decrease in analyst coverage, shareholders value internal cash holdings less, its CEO receives higher excess compensation, its management is more likely to make value-destroying acquisitions, and its managers are more likely to engage in ear...
