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作者：Lin, Ji-Chai; Singh, Ajai K.; Yu, Wen
作者单位：Louisiana State University System; Louisiana State University; University System of Ohio; Case Western Reserve University; University of St Thomas Minnesota
摘要：We hypothesize that managers use stock splits to attract more uninformed trading so that market makers can provide liquidity services at lower costs, there by increasing investors' trading propensity and improving liquidity. We examine a large sample of stock splits and find that, consistent with our hypothesis, the incidence of no trading decreases and liquidity risk is lower following splits, implying a decline in latent trading costs and a reduced cost of equity capital. Further, split anno...
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作者：Pukthuanthong, Kuntara; Roll, Richard
作者单位：California State University System; San Diego State University
摘要：Global markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, ...
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作者：Low, Angie
作者单位：Nanyang Technological University
摘要：Equity-based compensation affects managers' risk-taking behavior, which in turn has an impact on shareholder wealth. In response to an exogenous increase in takeover protection in Delaware during the mid-1990s, managers lower firm risk by 6%. This risk reduction is concentrated among firms with low managerial equity-based incentives, in particular firms with low chief executive officer portfolio sensitivity to stock return volatility. Furthermore, the risk reduction is value-destroying. Finall...
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作者：Gatev, Evan; Strahan, Philip E.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Boston College; Simon Fraser University
摘要：We decompose syndicated loan risk into credit, market, and liquidity risk and test how these shape syndicate structure. Commercial banks dominate relative to non-banks in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of creditor market risk. We then tie commercial banks' advantage in liquidity risk to access to transactions deposits by comparing investments a cross-banks. The results suggest that risk-management conside...
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作者：Degryse, Hans; Van Achter, Mark; Wuyts, Gunther
作者单位：Tilburg University; University of Bonn; KU Leuven; European Central Bank; National Bank of Belgium
摘要：We analyze a dynamic microstructure model in which a dealer market (DM) and a crossing network (CN) interact for three informational settings. A key result is that coexistence of trading systems generates systematic patterns in order flow, which depend on the degree of transparency. Further, we study overall welfare, measured by the gains from trade of all agents, and compare it with the maximum overall welfare. The discrepancy between both measures is attributable to two inefficiencies. Due t...
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作者：Fu, Fangjian
作者单位：Singapore Management University
摘要：Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510] predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang [2006. The cross-section of volatility and expected returns. Journal of Finance 61, 259-299], however, find that monthly stock returns are negatively related to the one-month lagged idiosyncratic volatilitie...
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作者：Da, Zhi; Warachka, Mitchell Craig
作者单位：Singapore Management University; University of Notre Dame
摘要：The returns of stocks are partially driven by changes in their expected cashflow. Using revisions in analyst earnings forecasts, we construct an analyst earnings beta that measures the covariance between the cashflow innovations of an asset and those of the market. A higher analyst earnings beta implies greater sensitivity to market wide revisions in expected cashflow, and therefore higher systematic risk. Our analyst earnings beta captures exposure to macroeconomic fluctuations and has a posi...
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作者：Kerr, William R.; Nanda, Ramana
作者单位：Harvard University
摘要：We examine entrepreneurship and creative destruction following US banking deregulations using US Census Bureau data. US banking reforms brought about exceptional growth in both entrepreneurship and business closures. Most of the closures, however, were the new ventures themselves. Although we find evidence for the standard story of creative destruction, the most pronounced impact was a massive increase in churning among new entrants. We argue that creative destruction requires many business fa...
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作者：Sadka, Gil; Sadka, Ronnie
作者单位：Boston College; Columbia University
摘要：This paper studies the effects of predictability on the earnings-returns relation for individual firms and for the aggregate. We demonstrate that prices better anticipate earnings growth at the aggregate level than at the firm level, which implies that random-walk models are inappropriate for gauging aggregate earnings expectations. Moreover, we show that the contemporaneous correlation of earnings growth and stock returns decreases with the ability to predict future earnings. Our results may ...
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作者：Hennessy, Christopher A.; Livdan, Dmitry
作者单位：University of California System; University of California Berkeley
摘要：We examine optimal leverage for a downstream firm relying on implicit (self-enforcing) contracts with a supplier. Performing a leveraged recapitalization prior to bargaining increases the firm's share of total surplus. However, the resulting debt overhang limits the range of credible bonuses, resulting in low input quality. Optimal financial structure trades off bargaining benefits of debt within efficiency resulting from overhang. Consistent with empirical evidence, the model predicts that le...
