-
作者：Du, Du
作者单位：City University of Hong Kong
摘要：This paper presents a consumption-based general equilibrium model for valuing foreign exchange contingent claims. The model identifies a novel economic mechanism by exploiting highly but imperfectly shared consumption disaster with variable intensities which are the concerns to the representative investor under recursive utility. When applied to the data, the model simultaneously replicates (i) the moderate option-implied volatilities; (ii) substantial variations in the risk-neutral skewness o...
-
作者：Buti, Sabrina; Rindi, Barbara
作者单位：University of Toronto; Bocconi University; Bocconi University
摘要：Reserve orders enable traders to hide a portion of their orders and now appear in most electronic limit order markets. This paper outlines a theory to determine an optimal submission strategy in a limit order book, in which traders choose among limit, market, and reserve orders and simultaneously set price, quantity, and exposure. We show that reserve orders help traders compete for the provision of liquidity and reduce the friction generated by exposure costs. Therefore, total gains from trad...
-
作者：Vasicek, Oldrich Alfons
摘要：The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of eco...
-
作者：Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei
作者单位：University of Notre Dame; INSEAD Business School; Michigan State University
摘要：We study the link between a firm's quality of governance and its alliance activity. We consider alliances as a commitment technology that helps a company' Chief Executive Officer overcome agency problems that relate to the inability to ex ante motivate division managers. We show that well-governed firms are more likely to avail themselves of this technology to anticipate ex post commitment problems and resolve them. The role of governance is particularly important when the commitment problems ...
-
作者：Filipovic, Damir; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure into default and non-default (liquidity) components. From August 2007 to January 2011, the fraction of total interbank risk due to default risk, on average, increases with maturity. At short maturities, the non-default component is important i...
-
作者：Karpoff, Jonathan M.; Lee, Gemma; Masulis, Ronald W.
作者单位：University of Washington; University of Washington Seattle; Kyung Hee University; University of New South Wales Sydney
摘要：We document the frequent use of lockup agreements in seasoned equity offerings (SEOs) and examine the determinants of their use, duration, and early release. We find that the likelihood of an SEO lockup and its duration are positively related to issuer information asymmetry measures. Lockup duration is negatively related to underwriter spreads and underpricing, indicating that lockups lower expected flotation costs. Lockups are frequently released early following share prices rises. We conclud...
-
作者：Jegadeesh, Narasimhan; Wu, Di
作者单位：Emory University; National Bureau of Economic Research; University of Pennsylvania
摘要：We present a new approach for content analysis to quantify document tone. We find a significant relation between our measure of the tone of 10-Ks and market reaction for both negative and positive words. We also find that the appropriate choice of term weighting in content analysis is at least as important as, and perhaps more important than, a complete and accurate compilation of the word list. Furthermore, we show that our approach circumvents the need to subjectively partition words into po...
-
作者：Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
作者单位：Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville; Southern Methodist University
摘要：We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007-2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the market and are critical to recovery patterns after a liquidity shock. We show that these liquidity suppliers withdraw from risky securities during the crisis and their participation does not recover fo...
-
作者：Jones, Christopher S.; Tuzel, Selale
作者单位：University of Southern California
摘要：We examine the relation between inventory investment and the cost of capital in the time series and the cross section. We find consistent evidence that risk premiums, rather than real interest rates, are strongly negatively related to future inventory growth at the aggregate, industry, and firm levels. The effect is stronger for firms in industries that produce durables rather than nondurables, exhibit greater cyclicality in sales, require longer lead times, and are subject to more technologic...
-
作者：Cohen, Alma; Wang, Charles C. Y.
作者单位：Tel Aviv University; National Bureau of Economic Research; Harvard University
摘要：The well-established negative correlation between staggered boards (SBs) and firm value could be due to SBs leading to lower value or a reflection of low-value firms' greater propensity to maintain SBs. We analyze the causal question using a natural experiment involving two Delaware court rulings separated by several weeks and going in opposite directions that affected the antitakeover force of SBs. We contribute to the long-standing debate on staggered boards by presenting empirical evidence ...
