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作者：Bakshi, Gurdip; Madan, Dilip; Panayotov, George
作者单位：Georgetown University; University System of Maryland; University of Maryland College Park
摘要：When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing region of the kernel. Using returns of (i) S&P 500 index calls, (ii) calls on major international equity indexes, (iii) digital calls, (iv) upside variance contracts, and (v) a theoretical construct that we ...
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作者：Matvos, Gregor; Ostrovsky, Michael
作者单位：University of Chicago; Stanford University
摘要：This paper studies voting in corporate director elections. We construct a comprehensive data set of 2,058,788 mutual fund votes over a two-year period. We find systematic heterogeneity in voting: some funds are consistently more management-friendly than others. We also establish the presence of peer effects: a fund is more likely to oppose management when other funds are more likely to oppose it, all else being equal. We estimate a voting model whose supermodular structure allows us to compute...
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作者：Easley, David; O'Hara, Maureen
作者单位：Cornell University
摘要：During the 2007-2009 financial crisis there was little or no trading in a variety of financial assets, even though bid and ask prices existed for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing fair value for these assets. We show how the extreme uncertainty that traders face can be characterized by incomplete preferences over portfolios, an...
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作者：Bradley, Michael; Brav, Alon; Goldstein, Itay; Jiang, Wei
作者单位：Columbia University; Duke University; University of Pennsylvania
摘要：This paper documents frequent attempts by activist arbitrageurs to open-end discounted closed-end funds, particularly after the 1992 proxy reform which reduced the costs of communication among shareholders. Open-ending attempts have a substantial effect on discounts, reducing them, on average, to half of their original level. The size of the discount is a major determinant of whether a fund gets attacked. Other important factors include the costs of communication among shareholders and the gov...
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作者：Edwards, Amy K.; Hanley, Kathleen Weiss
作者单位：U.S. Securities & Exchange Commission (SEC); Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Short sale constraints in the aftermarket of initial public offerings (IPOs) are often used to explain short-term underpricing that is subsequently reversed. This paper shows that short selling is integral to aftermarket trading and is higher in IPOs with greater underpricing. Perceived restrictions on borrowing shares are not systematically circumvented by naked short selling. Short sellers, on average, do not appear to earn abnormal profits in the near term and our findings are not driven by...
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作者：Jiang, Hao
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：This paper establishes a robust link between the trading behavior of institutions and the book-to-market effect. Building on work by Daniel and Titman (2006), who argue that the book-to-market effect is driven by the reversal of intangible returns, I find that institutions tend to buy (sell) shares in response to positive (negative) intangible information and that the reversal of the intangible return is most pronounced among stocks for which a large proportion of active institutions trade in ...
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作者：Jiang, Guohua; Lee, Charles M. C.; Yue, Heng
作者单位：Stanford University; Peking University
摘要：This study investigates a particularly brazen form of corporate abuse, in which controlling shareholders use intercorporate loans to siphon billions of RMB from hundreds of Chinese listed companies during the 1996-2006 period. We document the nature and extent of these transactions, evaluate their economic consequences, examine factors that affect their cross-sectional severity, and report on the mitigating roles of auditors, institutional investors, and regulators. Collectively, our findings ...
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作者：Francis, Bill B.; Hasan, Iftekhar; John, Kose; Waisman, Maya
作者单位：Fordham University; Rensselaer Polytechnic Institute; Bank of Finland; New York University
摘要：We examine how state antitakeover laws affect bondholders and the cost of debt, and report four findings. First, bonds issued by firms incorporated in takeover-friendly states have significantly higher at-issue yield spreads than bonds issued by firms in states with restrictive antitakeover laws. Second, firms in takeover friendly states have significantly higher leverage than their counterparts in restrictive law states. Third, bond issues are associated with negative average stock price reac...
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作者：Bernstein, Asaf; Hughson, Eric; Weidenmier, Marc D.
作者单位：Claremont Colleges; Claremont Graduate University; Claremont McKenna College; Claremont Colleges; Harvey Mudd College; National Bureau of Economic Research
摘要：We use the founding of the Federal Reserve to identify the effects of a lender of last resort. We examine stock return and interest rate volatility during September and October, when markets were vulnerable because of financial stringency from the harvest. Stock volatility fell by 40% and interest rate volatility by more than 70% following the monetary regime change. The drop is insignificant if major panic years are omitted from the analysis, however. Because business cycle downturns occurred...
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作者：Baik, Bok; Kang, Jun-Koo; Kim, Jin-Mo
作者单位：Nanyang Technological University; Seoul National University (SNU); Rutgers University System; Rutgers University New Brunswick
摘要：We examine the informational role of geographically proximate institutions in stock markets. We find that both the level of and change in local institutional ownership predict future stock returns, particularly for firms with high information asymmetry; in contrast, such predictive abilities are relatively weak for nonlocal institutional ownership. The local advantage is especially evident for local investment advisors, high local ownership institutions, and high local turnover institutions. W...
