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作者：Silber, WL
作者单位：New York University
摘要：This paper examines how financial markets responded to the longest circuit breaker in American financial history: the four-month suspension of trading on the New York Stock Exchange following the outbreak of World War I. The suspension that began on July 31, 1914 fostered a substitute trading forum called the New Street market. Trading on New Street began almost immediately and offered economically meaningful liquidity services despite its impaired price transparency. A simple cross-sectional ...
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作者：Burch, TR; Nanda, V; Warther, V
作者单位：University of Miami; University of Michigan System; University of Michigan
摘要：We examine underwriting fees for repeat issuers of new securities to determine the relation between loyalty to an underwriting bank and the fees charged. For a sample of offers over the 1975-2001 period, we find that loyalty is associated with lower fees for common stock offers, consistent with valuable relationship capital being built through loyalty. For debt offers, however, we find the opposite pattern, consistent with relationship capital not being as valuable. For both offer types, firms...
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作者：Rutherford, RC; Springer, TM; Yavas, A
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Texas System; University of Texas at San Antonio; State University System of Florida; Florida Atlantic University
摘要：When a homeowner uses an agent to sell his property, lie may have less information than his agent and be disadvantaged in price setting and negotiating. This study examines whether the percentage commission structure in real estate brokerage creates agency problems. We investigate whether agents are able to use their information advantage to either sell their own property faster or for a higher price than their clients' properties. The empirical results confirm our theoretical predictions of a...
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作者：Ang, A; Bekaert, G; Liu, J
作者单位：Columbia University; University of Southern California; University of California System; University of California Los Angeles
摘要：We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991. Econometrica 59(3), 667-686), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment averse investors with utility functions exhibiting low curvature. Moderate v...
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作者：Gande, A; Parsley, DC
作者单位：Vanderbilt University
摘要：We study the effect of a sovereign credit rating change of one country on the sovereign credit spreads of other countries from 1991 to 2000. We find evidence of spillover effects; that is, a ratings change in one country has a significant effect on sovereign credit spreads of other countries. This effect is asymmetric: positive ratings events abroad have no discernable impact on sovereign spreads, whereas negative ratings events are associated with an increase in spreads. On average, a one-not...
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作者：Sherman, AE
作者单位：University of Notre Dame
摘要：The U.S. book-building method has become increasingly popular for initial public offerings (IPOs) worldwide over the last decade, whereas sealed-bid IPO auctions have been abandoned in nearly all of the many countries in which they have been tried. I model book building, discriminatory auctions, and uniform price auctions in an environment in which the number of investors and the accuracy of investors' information are endogenous. Book building lets underwriters manage investor access to shares...
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作者：Lettau, M; Ludvigson, SC
作者单位：New York University; New York University
摘要：We investigate a consumption-based present-value relation that is a function of future dividend growth and find that changing forecasts of dividend growth are an important feature of the post-war U.S. stock market, despite the failure of the dividend-price ratio to uncover such variation. In addition, dividend forecasts are found to covary with changing forecasts of excess stock returns over business cycle frequencies. This covariation is important because positively correlated fluctuations in...
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作者：Boehmer, E
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：I analyze market-order execution quality using order-based data reported in accordance with Securities and Exchange Commission Rule 11Acl-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent with competitive equity markets. Overall execution costs on Nasdaq exceed those on the NYSE, but orders execute faster. This relationsh...
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作者：Coval, JD; Thakor, AV
作者单位：Harvard University; Washington University (WUSTL)
摘要：This paper proposes a new framework for understanding financial intermediation. In contrast to previous research, we consider a setting in which intermediaries possess no inherent information processing or monitoring advantages. Instead, in an economy with overly optimistic entrepreneurs who require funding from pessimistic investors, we show that intermediaries can arise endogenously. In such a setting, only a rational intermediary will be sufficiently optimistic to find it worthwhile to inve...
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作者：Rhodes-Kropf, M; Robinson, DT; Viswanathan, S
作者单位：Duke University; Columbia University
摘要：To test recent theories suggesting that valuation errors affect merger activity, we develop a decomposition that breaks the market-to-book ratio (M/B) into three components: the firm-specific pricing deviation from short-run industry pricing; sector-wide, short-run deviations from firms' long-run pricing; and long-run pricing to book. We find strong support for recent theories by Rhodes-Kropf and Viswanathan [2004. Market valuation and merger waves. Journal of Finance, forthcoming] and Shleife...
