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作者：Almeida, Heitor; Campello, Murillo; Hackbarth, Dirk
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Cornell University
摘要：We study the interplay between corporate liquidity and asset reallocation. Our model shows that financially distressed firms are acquired by liquid firms in their industries even in the absence of operational synergies. We call these transactions liquidity mergers, since their purpose is to reallocate liquidity to firms that are otherwise inefficiently terminated. We show that liquidity mergers are more likely to occur when industry-level asset-specificity is high and firm-level asset-specific...
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作者：Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, Christian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Indiana University System; Indiana University Bloomington
摘要：This paper investigates fire sales of downgraded corporate bonds induced by regulatory constraints imposed on insurance companies. As insurance companies hold over one-third of investment-grade corporate bonds, the collective need to divest downgraded issues may be limited by a scarcity of counterparties. Using insurance company transaction data, we find that insurance companies that are relatively more constrained by regulation are more likely to sell downgraded bonds. Bonds subject to a high...
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作者：Ferreira, Daniel; Ferreira, Miguel A.; Raposo, Clara C.
作者单位：Universidade Nova de Lisboa; University of London; London School Economics & Political Science; Universidade de Lisboa; European Corporate Governance Institute; Centre for Economic Policy Research - UK
摘要：We develop and test the hypothesis that stock price informativeness affects the structure of corporate boards. We find a negative relation between price informativeness and board independence. This finding is robust to the inclusion of many firm-level controls, including firm fixed effects, and to the choice of the measure of price informativeness. Consistent with the hypothesis that price informativeness and board monitoring are substitutes, this relation is particularly strong for firms more...
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作者：Cumming, Douglas; Johan, Sofia; Li, Dan
作者单位：York University - Canada; Tilburg University
摘要：We examine stock exchange trading rules for market manipulation, insider trading, and broker-agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each ...
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作者：Liu, Xuewen; Mello, Antonio S.
作者单位：Hong Kong University of Science & Technology; University of Wisconsin System; University of Wisconsin Madison
摘要：During a financial crisis, when investors are most in need of liquidity and accurate prices, hedge funds cut their arbitrage positions and hoard cash. The paper explains this phenomenon. We argue that the fragile nature of the capital structure of hedge funds, combined with low market liquidity, creates a risk of coordination in redemptions among hedge fund investors that severely limits hedge funds' arbitrage capabilities. We present a model of hedge funds' optimal asset allocation in the pre...
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作者：O'Hara, Maureen; Ye, Mao
作者单位：Cornell University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine how fragmentation is affecting market quality in US equity markets. We use newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use a variety of empirical approaches to compare execution quality and efficiency of stocks with more and less fragmented trading. We find that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is associated with higher short-term volatilit...
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作者：Bakshi, Gurdip; Panayotov, George; Skoulakis, Georgios
作者单位：University System of Maryland; University of Maryland College Park; Georgetown University
摘要：This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive ability is both individual and joint parameter statistical significance within a market, as well as across a set of markets. (C...
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作者：Siegel, Jordan I.; Licht, Amir N.; Schwartz, Shalom H.
作者单位：Harvard University; Reichman University; Hebrew University of Jerusalem
摘要：This study identifies how country differences on a key cultural dimension-egalitarianism-influence international investment flows. A society's cultural orientation toward egalitarianism is manifested by intolerance for abuses of market and political power and a desire for protecting less powerful actors. We show egalitarianism to be based on exogenous factors including social fractionalization, dominant religion circa 1900, and war experience from the 19th century. We find a robust influence o...
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作者：Butler, Alexander W.; Cornaggia, Jess; Grullon, Gustavo; Weston, James P.
作者单位：Rice University; Indiana University System; Indiana University Bloomington
摘要：Both market timing and investment-based theories of corporate financing predict under-performance after firms raise capital, but only market timing predicts that the composition of financing (equity compared with debt) should also forecast returns. In cross-sectional tests, we find that the amount of net financing is more important than its composition in explaining future stock returns. In the time series, investment-based factor models explain abnormal stock performance following a variety o...
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作者：Lin, Hai; Wang, Junbo; Wu, Chunchi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Otago; Xiamen University; Xiamen University; City University of Hong Kong
摘要：This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default and term betas, liquidity level, and other bond characteristics, as well as to different model specif...
