-
作者：Berzins, Janis; Liu, Crocker H.; Trzcinka, Charles
作者单位：Cornell University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We find evidence that conflicts of interest are pervasive in the asset management business owned by investment banks. Using data from 1990 to 2008, we compare the alphas of mutual funds, hedge funds, and institutional funds operated by investment banks and non-bank conglomerates. We find that, while no difference exists in performance by fund type, being owned by an investment bank reduces alphas by 46 basis points per year in our baseline model. Making lead loans increases alphas, but the dis...
-
作者：Cao, Jie; Han, Bing
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Peking University
摘要：This paper presents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. This result cannot be explained by standard risk factors. It is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with market imperfections and constrained financial intermediaries. Dealers charge a higher premium for options on high idiosyncratic volatility ...
-
作者：Custodio, Claudia; Ferreira, Miguel A.; Laureano, Luis
作者单位：Arizona State University; Arizona State University-Tempe; Universidade Nova de Lisboa; Instituto Universitario de Lisboa
摘要：We show that corporate use of long-term debt has decreased in the US over the past three decades and that this trend is heterogeneous across firms. The median percentage of debt maturing in more than 3 years decreased from 53% in 1976 to 6% in 2008 for the smallest firms but did not decrease for the largest firms. The decrease in debt maturity was generated by firms with higher information asymmetry and new firms issuing public equity in the 1980s and 1990s. Finally, we show that demand-side f...
-
作者：Asquith, Paul; Au, Andrea S.; Covert, Thomas; Pathak, Parag A.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. There is no evidence that bond short sellers have private information. Bonds with Credit Default Swaps (CDS) contracts ar...
-
作者：Bar-Isaac, Heski; Shapiro, Joel
作者单位：University of Toronto; University of Oxford
摘要：Credit rating agencies (CRAs) have long held that reputational concerns discipline their behavior. The value of reputation, however, depends on economic fundamentals that vary over the business cycle. In a model of ratings incorporating endogenous reputation and a market environment that varies, we find that ratings quality is countercyclical. Specifically, a CRA is more likely to issue less-accurate ratings when fee-income is high, competition in the labor market for analysts is tough, and se...
-
作者：Duchin, Ran; Schmidt, Breno
作者单位：University of Washington; University of Washington Seattle; Emory University
摘要：We show that acquisitions initiated during periods of high merger activity (merger waves) are accompanied by poorer quality of analysts' forecasts, greater uncertainty, and weaker CEO turnover-performance sensitivity. These conditions imply reduced monitoring and lower penalties for initiating inefficient mergers. Therefore, merger waves may foster agency-driven behavior, which, along with managerial herding, could lead to worse mergers. Consistent with this hypothesis, we find that the averag...
-
作者：Liu, Baixiao; McConnell, John J.
作者单位：State University System of Florida; Florida State University; Purdue University System; Purdue University
摘要：Using 636 large acquisition attempts that are accompanied by a negative stock price reaction at their announcement (value-reducing acquisition attempts) from 1990 to 2010, we find that, in deciding whether to abandon a value-reducing acquisition attempt, managers' sensitivity to the firm's stock price reaction at the announcement is influenced by the level and the tone of media attention to the proposed transaction. We interpret the results to imply that managers have reputational capital at r...
-
作者：Jain, Archana; Jain, Pankaj K.; McInish, Thomas H.; McKenzie, Michael
作者单位：Rochester Institute of Technology; University of Memphis; University of Sydney
摘要：We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selling of the country's American Depository Receipts (ADRs) by 68% due to regulatory reach. Also, the 2008 US ban on short selling of financial firms reduced borrowing in foreign locations. These findings are robust to controls for option availability, enforcement, returns, firm size, trading volume, ...
-
作者：Berger, Allen N.; Bouwman, Christa H. S.
作者单位：University of South Carolina System; University of South Carolina Columbia; University of Pennsylvania; Tilburg University; University System of Ohio; Case Western Reserve University
摘要：This paper empirically examines how capital affects a bank's performance (survival and market share) and how this effect varies across banking crises, market crises, and normal times that occurred in the US over the past quarter century. We have two main results. First, capital helps small banks to increase their probability of survival and market share at all times (during banking crises, market crises, and normal times). Second, capital enhances the performance of medium and large banks prim...
-
作者：Garcia-Appendini, Emilia; Montoriol-Garriga, Judit
作者单位：University of St Gallen; Autonomous University of Barcelona
摘要：Using a supplier-client matched sample, we study the effect of the 2007-2008 financial crisis on between-firm liquidity provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high precrisis liquidity levels increased the trade credit extended to other corporations and subsequently experienced better performance as compared with ex ante cash-poor firms. Trade credit taken by constrained firms increased during this period. These findings are consis...
