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作者：Chung, Kee H.; Chuwonganant, Chairat
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Chung Ang University; Kansas State University
摘要：In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We show that the uncertainty elasticity of liquidity (UEL: percent change in liquidity given a 1% change in VIX) has increased around ...
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作者：Liao, Li; Liu, Bibo; Wang, Hao
作者单位：Tsinghua University; Tsinghua University; Tsinghua University
摘要：The Split-Share Structure Reform granted legitimate trading rights to the state-owned shares of listed state-owned enterprises (SOEs), opening up the gate to China's secondary privatization. The expectation of privatization quickly boosted SOE output, profits, and employment, but did not change their operating efficiency and corporate governance. The improvements to SOE performance are positively correlated to government agents' privatization-led incentive of increasing state-owned share value...
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作者：Solomon, David H.; Soltes, Eugene; Sosyura, Denis
作者单位：University of Southern California; Harvard University; University of Michigan System; University of Michigan
摘要：We show that media coverage of mutual fund holdings affects how investors allocate money across funds. Fund holdings with high past returns attract extra flows, but only if these stocks were recently featured in the media. In contrast, holdings that were not covered in major newspapers do not affect flows. We present evidence that media coverage tends to contribute to investors' chasing of past returns rather than facilitate the processing of useful information in fund portfolios. Our evidence...
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作者：Xia, Han
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper examines how the information quality of ratings from an issuer-paid rating agency (Standard and Poor's) responds to the entry of an investor-paid rating agency, the Egan-Jones Rating Company (EJR). By comparing S&P's ratings quality before and after EJR initiates coverage of each firm, I find a significant improvement in S&P's ratings quality following EJR's coverage initiation. S&P's ratings become more responsive to credit risk and its rating changes incorporate higher information...
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作者：Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; University of Pennsylvania; Tsinghua University
摘要：Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu, and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key i...
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作者：Jiang, Hao; Sun, Zheng
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Michigan State University; University of Texas System; University of Texas Austin; University of California System; University of California Irvine
摘要：We propose a measure of dispersion in fund managers' beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect is particularly pronounced among stocks with high information asymmetry and binding short-sale constraints. These results suggest that a subgroup of informed managers drives up the dispersion in active ...
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作者：Huang, Qianqian; Jiang, Feng; Lie, Erik; Yang, Ke
作者单位：City University of Hong Kong; State University of New York (SUNY) System; University at Buffalo, SUNY; University of Iowa; Lehigh University
摘要：We examine how directors with investment banking experience affect firms' acquisition behavior. We find that firms with investment bankers on the board have a higher probability of making acquisitions. Furthermore, acquirers with investment banker directors experience higher announcement returns, pay lower takeover premiums and advisory fees, and exhibit superior long-run performance. Overall, our results suggest that directors with investment banking experience help firms make better acquisit...
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作者：Savoy, Alexi
作者单位：New York University
摘要：Skilled investors make money off uninformed investors. By acting as intermediaries, they provide a hedge to the uninformed investors themselves. I present a model in which households have imperfect information about expected returns. Non-traded income shocks lead them to rebalance, sometimes at the wrong time. Active funds hedge this risk by trading on superior information. In equilibrium, they pay off when non-traded income disappoints, earning a premium that makes them appear to underperform...
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作者：Leippold, Markus; Stromberg, Jacob
作者单位：University of Zurich
摘要：We propose a novel time-changed Levy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spa...
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作者：Kedia, Simi; Rajgopal, Shivaram; Zhou, Xing
作者单位：Rutgers University System; Rutgers University New Brunswick; Emory University
摘要：We investigate a prominent allegation in congressional hearings that Moody's loosened its rating standards to chase revenue after it went public in 2000. Consistent with this allegation, Moody's ratings for both corporate bonds and structured finance products are significantly more favorable to issuers, relative to S&P's, after Moody's IPO. Moreover, Moody's ratings are more favorable for clients subject to greater conflict of interest. There is little evidence that Moody's higher ratings, pos...
