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作者：Campbell, John Y.; Ramadorai, Tarun; Schwartz, Allie
作者单位：Harvard University; National Bureau of Economic Research; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; Cornerstone Research
摘要：Many questions about institutional trading can only be answered if one tracks high-frequency changes in institutional ownership. In the United States, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the tape, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best predicts quarterly 13-F data from trades of different sizes. We find that daily insti...
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作者：Chemmanur, Thomas; Yan, An
作者单位：Boston College; Fordham University
摘要：We analyze the interaction between a firm's product market advertising and its corporate financing decisions. We consider a firm that faces asymmetric information in both the product and financial markets and that needs to raise external financing to fund its growth opportunity (new project). Any product market advertising undertaken by the firm is visible to the financial market as well. In equilibrium, the firm uses a combination of product market advertising, equity underpricing, and underf...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University of Toronto; National Bureau of Economic Research
摘要：We study the determinants and consequences of cross-listings on the New York and London stock exchanges from 1990 to 2005. This investigation enables us to evaluate the relative benefits of New York and London exchange listings and to assess whether these relative benefits have changed over time, perhaps as a result of the passage of the Sarbanes-Oxley Act in 2002. We find that cross-listings have been falling on US exchanges as well as on the Main Market in London. This decline in cross-listi...
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作者：Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
作者单位：George Washington University; University System of Maryland; University of Maryland College Park; Emory University; George Mason University
摘要：This paper shows that the puzzling negative cross-sectional relation between dispersion in analysts' earnings forecasts and future stock returns may be explained by financial distress, as proxied by credit rating downgrades. Focusing on a sample of firms rated by Standard & Poor's (S&P), we show that the profitability of dispersion-based trading strategies concentrates in a small number of the worst-rated firms and is significant only during periods of deteriorating credit conditions. In such ...
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作者：Bekaert, Geert; Engstrom, Eric; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Rice University
摘要：We identify the relative importance of changes in the conditional variance of fundamentals (which we call uncertainty) and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the var...
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作者：Kolasinski, Adam C.
作者单位：University of Washington; University of Washington Seattle
摘要：I study external debt issued by operating subsidiaries of diversified firms. Consistent with Kahn and Winton's [2004. Moral hazard and optimal subsidiary structure for financial institutions. Journal of Finance 59,2537-2575] model, where subsidiary debt mitigates asset substitution, I find firms are more likely to use subsidiary debt when their divisions vary more in risk. Consistent with subsidiary debt mitigating the free cash flow problem, I find that subsidiaries are more likely to have th...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, Christopher S.
作者单位：University of Southern California; Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine three-factor model results in a variance state variable that, while instrumental in explaining the shape of the yield curve, is essentially unrelated to GARCH estimates of the quadratic variation of the spot rate process or to implied variances ...
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作者：Zhu, Yingzi; Zhou, Guofu
作者单位：Washington University (WUSTL); Tsinghua University; Tsinghua University
摘要：In this paper, we analyze the usefulness of technical analysis, specifically the widely employed moving average trading rule from an asset allocation perspective. We show that, when stock returns are predictable, technical analysis adds value to commonly used allocation rules that invest fixed proportions of wealth in stocks. When uncertainty exists about predictability, which is likely in practice, the fixed allocation rules combined with technical analysis can outperform the prior-dependent ...
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作者：Bond, Philip; Musto, David K.; Yilmaz, Bilge
作者单位：University of Pennsylvania; Stanford University
摘要：Regulators express growing concern over predatory loans, which we take to mean loans that borrowers should decline. Using a model of consumer credit in which such lending is possible, we identify the circumstances in which it arises both with and without competition. We find that predatory lending is associated with highly collateralized loans, inefficient refinancing of subprime loans, lending without due regard to ability to pay, prepayment penalties, balloon payments, and poorly informed bo...
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作者：Fahlenbrach, Ruediger; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：From 1988 to 2003, the average change in managerial ownership is significantly negative every year for American firms. We find that managers are more likely to significantly decrease their ownership when their firms are performing well and more likely to increase their ownership when their firms become financially constrained. When controlling for past stock returns, we find that large increases in managerial ownership increase Tobin's q. This result is driven by increases in shares held by of...
