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作者：Fang, Vivian W.; Noe, Thomas H.; Tice, Sheri
作者单位：Tulane University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Oxford; University of Oxford
摘要：This paper investigates the relation between stock liquidity and firm performance. The study shows that firms with liquid stocks have better performance as measured by the firm market-to-book ratio. This result is robust to the inclusion of industry or firm fixed effects, a control for idiosyncratic risk, a control for endogenous liquidity using two-stage least squares, and the use of alternative measures of liquidity. To identify the causal effect of liquidity on firm performance, we study an...
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作者：Hong, Harrison; Kacperczyk, Marcin
作者单位：Princeton University; New York University; National Bureau of Economic Research
摘要：We provide evidence for the effects of social norms on markets by studying sin stocks-publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a societal norm against funding operations that promote vice and that some investors, particularly institutions subject to norms, pay a financial cost in abstaining from these stocks. Consistent with this hypothesis, we find that sin stocks are less held by norm-constrained institutions such as pension p...
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作者：Franzoni, Francesco
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：Mandatory contributions to defined benefit pension plans provide a unique identification strategy to estimate the market's assessment of the value of internal resources controlling for investment opportunities. The price decrease following a pension-induced drop in cash is magnified for firms that appear a priori more financially constrained, suggesting a negative effect of financing frictions on investment. In contrast, low control on managerial discretion attenuates the negative price reacti...
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作者：Choi, Nicole; Sias, Richard W.
作者单位：Washington State University; University of Wyoming
摘要：We examine whether institutional investors follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional industry herding. The cross-sectional correlation between the fraction of institutional traders buying an industry this quarter and the fraction buying last quarter, for example, averages 40%. Additional tests suggest that correlated signals primarily drive institutional industry herding. Our results also provide empirical support for s...
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作者：Goyenko, Ruslan Y.; Holden, Craig W.; Trzcinka, Charles A.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; McGill University
摘要：Given the key role of liquidity in finance research, identifying high quality proxies based oil daily (as opposed to intraday) data Would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we run horseraces of annual and monthly estimates of each measure against liquidity benchmarks. Our benchmarks are effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) ...
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作者：Finkelstein, Amy; Poterba, James; Rothschild, Casey
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Middlebury College
摘要：We illustrate how equilibrium screening models can be used to evaluate the economic consequences of insurance market regulation. We calibrate and solve a model of the United Kingdom's compulsory annuity market and examine the impact of gender-based pricing restrictions. We find that the endogenous adjustment of annuity contract menus in response to such restrictions can undo up to half of the redistribution from men to women that would occur with exogenous Social Security-like annuity contract...
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作者：Hayes, Rachel M.; Schaefer, Scott
作者单位：Utah System of Higher Education; University of Utah; Utah System of Higher Education; University of Utah
摘要：The Lake Wobegon Effect,'' which is widely cited as a potential cause for rising CEO pay, is said to occur because no firm wants to admit to having a CEO who is below average, and so no firm allows its CEO's pay package to lag market expectations. We develop a game-theoretic model of this Effect. In our model, a CEO's wage may serve as a signal of match surplus, and therefore affect the value of the firm. We compare equilibria of our model to a full-information case and derive conditions under...
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作者：Green, T. Clifton; Hwang, Byoung-Hyoun
作者单位：Emory University; Purdue University System; Purdue University
摘要：Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain ...
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作者：Ivashina, Victoria
作者单位：Harvard University
摘要：This paper estimates the cost arising from information asymmetry between the lead bank and members of the lending syndicate. In a lending syndicate, the lead bank retains only a fraction of the loan but acts as the intermediary between the borrower and the syndicate participants. Theory predicts that asymmetric information will cause participants to demand a higher interest rate and that a large loan ownership by the lead bank should reduce this effect. In equilibrium, however, the asymmetric ...
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作者：Choi, Darwin; Getmansky, Mila; Tookes, Heather
作者单位：Yale University; University of Massachusetts System; University of Massachusetts Amherst
摘要：In the context of convertible bond issuance, we examine the impact of arbitrage activity on underlying equity markets. In particular, we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period 1993 to 2006. There is considerable evidence of arbitrage-induced short selling resulting from issuance. Moreover, we find strong evidence that this activity is syst...
