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作者：Christensen, Kim; Oomen, Roel C. A.; Podolskij, Mark
作者单位：CREATES; Aarhus University; Deutsche Bank; University of Amsterdam; Aarhus University
摘要：This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive set of ultra high-frequency equity and foreign exchange tick data recorded at millisecond precision, allowing us to examine the price evolution at the individual order level. We show that in both theory and practice, traditional measures of jump variation b...
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作者：Hendershott, Terrence; Menkveld, Albert J.
作者单位：University of California System; University of California Berkeley; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of 0.92 days. Theoretically, a simple dynamic inventory model captures an intermediary's use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure against price risk...
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作者：Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; California State University System; California State University Fullerton; National Bureau of Economic Research
摘要：We evaluate the performance of limited partners' (LPs') private equity investments over time. Using a sample of 14,380 investments by 1,852 LPs in 1,250 buyout and venture capital funds started between 1991 and 2006, we find that the superior performance of endowment investors in the 1991-1998 period, documented by prior literature, is mostly due to their greater access to the top-performing venture capital partnerships. In the subsequent 19992006 period, endowments no longer outperform, no lo...
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作者：Fotak, Veljko; Raman, Vikas; Yadav, Pradeep K.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Warwick; University of Oklahoma System; University of Oklahoma - Norman
摘要：We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter FTDs). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate of delivered short sales. Furthermore, during the operative period of a Security and Exchange Commission (SEC) order mandating stock borrowing prior to short sales, the securities affected display relatively l...
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作者：Aiyar, Shekhar; Calomiris, Charles W.; Hooley, John; Korniyenko, Yevgeniya; Wieladek, Tomasz
作者单位：Columbia University; Bank of England
摘要：We use data on UK banks' minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999Q1 to 2006Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are able to control for demand effects. We find a negative and statistically significant effect of changes to banks' capital requirements on cross-border lending: a 100 basis point increase in the requirement is...
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作者：Falato, Antonio; Kadyrzhanova, Dalida; Lel, Ugur
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park; Virginia Polytechnic Institute & State University
摘要：We use the deaths of directors and chief executive officers as a natural experiment to generate exogenous variation in the time and resources available to independent directors at interlocked firms. The loss of such key co-employees is an attention shock because it increases the board committee workload only for some interlocked directors the 'treatment group'. There is a negative stock market reaction to attention shocks only for treated director-interlocked firms. Interlocking directors' bus...
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作者：Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward disco...
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作者：Danis, Andras; Rettl, Daniel A.; Whited, Toni M.
作者单位：University System of Georgia; Georgia Institute of Technology; Humboldt University of Berlin; University of Rochester; National Bureau of Economic Research
摘要：We revisit the well-established puzzle that leverage is negatively correlated with measures of profitability. In contrast, we find that at times when firms are at or close to their optimal level of leverage, the cross-sectional correlation between profitability and leverage is positive. At other times, it is negative. These results are consistent with dynamic trade-off models in which infrequent capital structure rebalancing is optimal. The time series of market leverage and profitability in t...
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作者：Acharya, Viral; Almeida, Heitor; Ippolito, Filippo; Perez, Ander
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; Pompeu Fabra University
摘要：We propose a theory of credit lines provided by banks to firms as a form of monitored liquidity insurance. Bank monitoring and resulting revocations help control illiquidity-seeking behavior of firms insured by credit lines. The cost of credit lines is thus greater for firms with high liquidity risk, which in turn are likely to use cash instead of credit lines. We test this implication for corporate liquidity management by identifying exogenous shocks to liquidity risk of firms in corporate bo...
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作者：Chen, Ding; Haerkoenen, Hannu J.; Newton, David P.
作者单位：University of Nottingham
摘要：Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is incomplete, leaving many modelling processes outside the Black-Scholes-Merton framework unattainable. We show how to remove the remaining major block to universal application. Although this had appeared high...
