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作者：Chen, Zhaohui; Wilhelm, William J., Jr.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Virginia
摘要：We develop a model in which investment banks and institutional investors collaborate in smoothing an initial public offering's (IPOs) transition to secondary market trading. Their intervention promotes welfare under the assumption that significant new information arrives in the market in the immediate aftermath of the IPO. Under this assumption, it is optimal to stage the offering and suboptimal to commit to selling shares at a uniform price. The optimal strategy yields an economic rationale f...
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作者：Della Corte, Pasquale; Sarno, Lucio; Thornton, Daniel L.
作者单位：University of Warwick; AXA Group; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：This paper reexamines the validity of the expectation hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to 3 months. We extend the work of Longstaff [2000b. The term Structure of very short term rates: new evidence for the expectations hypothesis. journal of Financial Economics 58, 397-415] in two directions: (1) we implement statistical tests designed to increase test power in this context; (2) more important, we assess the economic value of departures ...
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作者：Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the...
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作者：Coles, Jeffrey L.; Daniel, Naveen D.; Naveen, Lalitha
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Drexel University; Arizona State University; Arizona State University-Tempe
摘要：This paper reexamines the relation between firm value and board structure. We find that complex firms, which have greater advising requirements than simple firms, have larger boards with more outside directors. The relation between Tobin's Q and board size is U-shaped, which, at face value, suggests that either very small or very large boards are optimal. This relation, however, arises from differences between complex and simple firms. Tobin's Q increases (decreases) in board size for complex ...
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作者：Dastidar, Siddhartha G.; Fisman, Raymond; Khanna, Tarun
作者单位：Columbia University; Harvard University
摘要：We examine the effect of regime change on privatization. In the 2004 Indian election, the pro-reform BJP was unexpectedly defeated by a less reformist coalition. Stock prices of government-controlled companies that had been slated for privatization by the BJP dropped 3.5% relative to private firms. Government-controlled companies that were under study for possible privatization fell 7.5% relative to private firms. This is consistent with investor belief of a point of no return, where advanced ...
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作者：Puri, Manju; Rocholl, Joerg
作者单位：Duke University; National Bureau of Economic Research; European School of Management & Technology
摘要：We use proprietary data to analyze the importance of retail banking relationships to commercial banks and their depositors when banks underwrite securities. We find lead underwriters' retail customers benefit as they demand and end up with significantly more of the highly underpriced issues. We find it is actual underpricing beyond that predicted by grey markets that drive the differential demand from the lead bank retail clientele, suggesting that banks pass on information about underpriced i...
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作者：Ferreira, Miguel A.; Matos, Pedro
作者单位：University of Southern California; Instituto Universitario de Lisboa
摘要：We study the role of institutional investors around the world using a comprehensive data set of equity holdings from 27 countries. We find that all institutional investors have a strong preference for the stock of large firms and firms with good governance, while foreign institutions tend to overweight firms that are cross-listed in the U.S. and members of the Morgan Stanley Capital International World Index. Firms with higher ownership by foreign and independent institutions have higher firm ...
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作者：Andrade, Sandro C.; Chang, Charles; Seasholes, Mark S.
作者单位：Santa Clara University; University of Miami; Cornell University
摘要：We test the implications of a multi-asset equilibrium model in which a finite number of risk-averse liquidity providers accommodate non-informational trading imbalances. These imbalances generate predictable reversals in stock returns. An imbalance in one stock also affects the prices of other stocks. The magnitude of the cross-stock price pressure depends on the correlations of the stocks' underlying cash flows. The model implies that non-informational trading increases the volatility of stoc...
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作者：Huizinga, Harry; Laeven, Luc; Nicodeme, Gaetan
作者单位：Tilburg University; International Monetary Fund; Universite Libre de Bruxelles
摘要：This paper presents a model of a multinational firm's optimal debt policy that incorporates international taxation factors. The model yields the prediction that a multinational firm's indebtedness in a country depends on a weighted average of national tax rates and differences between national and foreign tax rates. These differences matter as multinationals have an incentive to shift debt to high-tax countries. The predictions of the model are tested using a novel firm-level dataset for Europ...
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作者：Johnson, Timothy C.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of London; London Business School
摘要：Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing contribution of individuals to that average. Volume and liquidity are unrelated in the model, but volu...
