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作者：Loutskina, Elena
作者单位：University of Virginia
摘要：This paper studies the role of securitization in bank management. I propose a new index of bank loan portfolio liquidity which can be thought of as a weighted average of the potential to securitize loans of a given type, where the weights reflect the composition of a bank loan portfolio. I use this new index to show that by allowing banks to convert illiquid loans into liquid funds, securitization reduces banks' holdings of liquid securities and increases their lending ability. Furthermore, se...
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作者：Yan, Shu
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：In the presence of jump risk, expected stock return is a function of the average jump size, which can be proxied by the slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied volatility smile and stock return. For more than four thousand stocks ranked by slope during 1996-2005, the difference between the risk-adjusted average returns of the lowest and highest quintile portfolios is 1.9% per month. Although both the systematic and idio...
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作者：Ang, Andrew; Gorovyy, Sergiy; van Inwegen, Gregory B.
作者单位：Columbia University; National Bureau of Economic Research
摘要：We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in fundi...
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作者：Bizjak, John; Lemmon, Michael; Thanh Nguyen
作者单位：Texas Christian University; Utah System of Higher Education; University of Utah; Hong Kong University of Science & Technology; California State University System; California State University Fullerton
摘要：Companies can potentially use compensation peer groups to inflate pay by choosing peers that are larger, choosing a high target pay percentile, or choosing peer firms with high pay. Although peers are largely selected based on characteristics that reflect the labor market for managerial talent, we find that peer groups are constructed in a manner that biases compensation upward, particularly in firms outside the Standard & Poor's (S&P) 500. Pay increases close only about one-third of the gap b...
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作者：Hwang, Byoung-Hyoun
作者单位：Purdue University System; Purdue University
摘要：I study the effect of country-specific sentiment on security prices. I provide evidence that a country's popularity among Americans affects US investors' demand for securities from that country and causes security prices to deviate from their fundamental values. Moreover, I find that country popularity is positively associated with the intensity of US cross-border mergers and acquisitions activity, suggesting that country popularity also affects firms' investment decisions. (C) 2010 Elsevier B...
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作者：Shivdasani, Anil; Song, Wei-Ling
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Louisiana State University System; Louisiana State University
摘要：We argue that the entry of commercial banks into bond underwriting led to the evolution of co-led underwriting arrangements and lowered the screening incentives of underwriters. Lead underwriters in co-led syndicates faced weaker incentives to screen issuer quality. In boom markets, issues underwritten by co-led syndicates were more likely to be involved in financial misrepresentation events. Underwriter incentives in co-led syndicates were particularly weak in industries where commercial bank...
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作者：Harford, Jarrad; Jenter, Dirk; Li, Kai
作者单位：University of Washington; University of Washington Seattle; Stanford University; National Bureau of Economic Research; University of British Columbia
摘要：Cross-holdings are created when a shareholder of one firm holds shares in other firms as well, and cross-holdings alter shareholder preferences over corporate decisions that affect those other firms. Prior evidence suggests that such cross-holdings explain the puzzle of why shareholders allow acquisitions that reduce the value of the bidder. Conducting a shareholder-level analysis of cross-holdings, we instead find that cross-holdings are too small to matter in most acquisitions and that bidde...
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作者：Heitzman, Shane
作者单位：University of Rochester
摘要：I investigate the determinants and consequences of granting equity to the target's Chief Executive Officer (CEO) during deal negotiations. These negotiation grants likely reflect information about the acquisition, benefit from the deal premium, and provide more timely bargaining incentives. I find that CEOs are more likely to receive equity during negotiations when they negotiate for the target, particularly when the target has more bargaining power. This suggests that boards use equity to enh...
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作者：Kirk, Marcus
作者单位：State University System of Florida; University of Florida
摘要：I examine the determinants and market impact of paid-for coverage using a hand-collected sample of paid-for reports over 1999-2006. More than five hundred publicly listed US companies paid for analyst coverage since 1999. Yet little is known about the informational consequences of this analyst research. Firms with greater uncertainty, weaker information environments, and low turnover are more likely to buy coverage as they have the most to gain from analyst coverage but are unlikely to attract...
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作者：Lewellen, Jonathan
作者单位：Dartmouth College
摘要：The returns and stock holdings of institutional investors from 1980 to 2007 provide little evidence of stock-picking skill. Institutions as a whole closely mimic the market portfolio, with pre-cost returns that have nearly perfect correlation with the value-weighted index and an insignificant CAPM alpha of 0.08% quarterly. Institutions also show little tendency to bet on any of the main characteristics known to predict stock returns, such as book-to-market, momentum, or accruals. While particu...
