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作者：Panayides, Marios A.
作者单位：Utah System of Higher Education; University of Utah
摘要：Existing empirical studies provide little support for the theoretical prediction that market makers rebalance their inventory through revisions of quoted prices. This study provides evidence that the NYSE's specialist does engage in significant inventory rebalancing, but only when not constrained by the affirmative obligation to provide liquidity imposed by the Price Continuity rule. The evidence also suggests that such obligations are associated with better market quality, but impose signific...
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作者：Puri, Manju; Robinson, David T.
作者单位：Duke University; National Bureau of Economic Research
摘要：We create a novel measure of optimism using the Survey of Consumer Finance by comparing selfreported life expectancy to that implied by statistical tables. This measure of optimism correlates with positive beliefs about future economic conditions and with psychometric tests of optimism. Optimism is related to numerous work/life choices: more optimistic people work harder, expect to retire later, are more likely to remarry, invest more in individual stocks, and save more. Interestingly, however...
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作者：Berrada, Tony; Hugonnier, Julien; Rindisbacher, Marcel
作者单位：University of Toronto; University of Lausanne; Swiss Finance Institute (SFI); University of Geneva
摘要：The representative-agent Lucas model stresses aggregate risk and hence does not allow us to study the impact of agents' heterogeneity on the dynamics of equilibrium trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to nontrivial trading volume in equilibrium. We present a non-informational no-trade theorem that provides necessary and sufficient conditions for zero equilibrium trading volum...
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作者：Aragon, George O.
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper presents evidence on the relation between hedge fund returns and restrictions imposed by funds that limit the liquidity of fund investors. The excess returns of funds with lockup restrictions are approximately 4-7% per year higher than those of nonlockup funds. The average alpha of all funds is negative or insignificant after controlling for lockups and other share restrictions. Also, a negative relation is found between share restrictions and the liquidity of the fund's portfolio. ...
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作者：Foley, C. Fritz; Hartzell, Jay C.; Titman, Sheridan; Twite, Garry
作者单位：University of Texas System; University of Texas Austin; Harvard University; Australian National University
摘要：US corporations hold significant amounts of cash on their balance sheets. This paper develops and tests the hypothesis that the magnitude of US multinational cash holdings are, in part, a consequence of the tax costs associated with repatriating foreign income. Consistent with this hypothesis, firms facing higher repatriation taxes hold higher levels of cash, hold this cash abroad, and hold this cash in affiliates that trigger high tax costs when repatriating earnings. In addition, less financ...
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作者：Gonzalez, Laura; James, Christopher
作者单位：State University System of Florida; University of Florida
摘要：This paper examines the bank lending relations of a large sample of technology and nontechnology firms that went public during the 1996-2000 period. We use a unique hand-collected data set to examine the characteristics of firms that establish pre- Initial Public Offering (IPO) bank lending relations and whether post-IPO performance is related to the existence and size of pre-IPO banking relations. We find that the majority of IPO firms have banking relations before they go public. Firms with ...
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作者：Durham, Garland B.
作者单位：University of Colorado System; University of Colorado Boulder
摘要：Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provide...
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作者：Boone, Audra L.; Field, Laura Casares; Karpoff, Jonathan M.; Raheja, Charu G.
作者单位：University of Washington; University of Washington Seattle; University of Kansas; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Wake Forest University
摘要：Using a unique panel dataset that tracks corporate board development from a firm's IPO through 10 years later, we find that: (i) board size and independence increase as firms grow and diversify over time; (ii) board size-but not board independence-reflects a tradeoff between the firm-specific benefits and costs of monitoring; and (iii) board independence is negatively related to the manager's influence and positively related to constraints on that influence. These results indicate that economi...
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作者：Kroszner, Randall S.; Laeven, Luc; Klingebiel, Daniela
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre for Economic Policy Research - UK; The World Bank
摘要：This paper contributes to the literature that analyzes the mechanisms linking financial shocks and real activity. In particular, we investigate the growth impact of banking crises on industries with different levels of dependence on external finance. If banks are the key institutions allowing credit constraints to be relaxed, then a sudden loss of these intermediaries in a system in which such intermediaries are important should have a disproportionately contractionary impact on the sectors th...
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作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We consider an imperfectly competitive loan market in which a local relationship lender has an information advantage vis--vis distant transaction lenders. Competitive pressure from the transaction lenders prevents the local lender from extracting the full surplus from projects. As a result, the local lender inefficiently rejects marginally profitable projects. Collateral mitigates the inefficiency by increasing the local lender's payoff from precisely those marginally profitable projects that ...
