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作者：Dell'Ariccia, G; Marquez, R
作者单位：International Monetary Fund; University System of Maryland; University of Maryland College Park
摘要：Private information obtained by lenders leads to borrower capture to the extent that such information cannot be communicated credibly to outsiders. We analyze how this capture affects the loan portfolio allocation of informed lenders. First, we show that banks charge higher interest rates and finance relatively less creditworthy borrowers in market segments with greater information asymmetries. Second, when faced with greater competition from outside lenders, banks reallocate credit toward mor...
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作者：Wu, YL
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines the impact of information asymmetry and monitoring of managers on the choice between public offerings and private placements. Three key findings emerge. First, private placement firms have higher information asymmetry than public offering firms. Second, private placement investors do not engage in more monitoring than public offering investors. Finally, discounts for private placements sold to managers are higher than discounts for private placements in which managers do no...
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作者：Bessembinder, H; Venkataraman, K
作者单位：Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：We examine the Paris Bourse, whose electronic limit order market closely resembles the downstairs markets envisioned by theorists, to test several theoretical predictions regarding upstairs trading. We present direct evidence in support of the Grossman (J. Business (1992) 509) prediction that upstairs brokers lower execution costs by tapping into unexpressed liquidity, as actual execution costs upstairs are on average only 20% (35%) as large as they would be if block trades were executed again...
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作者：Li, MQ; Pearson, ND; Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：There are a number of circumstances in finance in which it is useful to estimate diffusion processes conditional on some event. In this paper, we develop the theoretical and numerical tools necessary to perform conditional estimation of diffusion processes within a generalized method of moments framework. We illustrate our method by estimating a univariate diffusion process for a standard time-series of interest rate data conditioned to remain between lower and upper boundaries. A test statist...
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作者：Louis, H
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：I examine the market's efficiency in processing manipulated accounting reports and provide an explanation for the post-merger underperformance anomaly. I find strong evidence suggesting that acquiring firms overstate their earnings in the quarter preceding a stock swap announcement. I also find evidence of a reversal of the stock price effects of the earnings management in the days leading to the merger announcement. However, the pre-merger reversal is only partial. I find evidence of a post-m...
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作者：McNeil, C; Niehaus, G; Powers, E
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：We compare turnover of subsidiary managers inside conglomerate firms to turnover of CEO's of comparable stand-alone firms. We find that, compared to turnover of CEOs, subsidiary manager turnover is significantly more sensitive to changes in performance and significantly more likely following poor performance. For subsidiary managers, the relation between turnover and performance is significantly stronger when the subsidiary operates in an industry that is related to the parent's primary indust...
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作者：Mikhail, MB; Walther, BR; Willis, RH
作者单位：Duke University; Northwestern University
摘要：We investigate whether security analysts exhibit persistence in their stock picking ability. We find that analysts whose recommendation revisions earned the most (least) excess returns in the past continue to outperform (underperform) in the future. Further, the market recognizes these performance differences in the five-day period surrounding the recommendation revision. This market reaction, however, is incomplete. Excess returns in the one and three trading months following the revision are...
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作者：Grinblatt, M; Keloharju, M
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Aalto University
摘要：Finnish investors realize losses more than gains toward the end of December. Moreover, they repurchase the same stocks recently sold. The repurchase rate depends on loss magnitude, firm size, and how late in the year the sale takes place. This trading pattern generates net tax-loss buying pressure that is negative prior to the turn of the year and positive afterward. Cross-sectional regressions indicate that stock returns around the turn of the year, particularly for small firms, are related t...
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作者：Coughenour, JF; Saad, MM
作者单位：University of Delaware; U.S. Securities & Exchange Commission (SEC); American University in Dubai (AUD)
摘要：Each NYSE specialist firm provides liquidity for more than one common stock. As a result of shared capital and information among specialists within a firm, we argue that stock liquidity will co-move with the liquidity of other stocks handled by the same specialist firm, with magnitude increasing with the risk of providing liquidity. The evidence indicates that individual stock liquidity co-varies with specialist portfolio liquidity apart from information reflected by market liquidity variation...
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作者：Bollen, NPB; Smith, T; Whaley, RE
作者单位：Duke University; Australian National University; Vanderbilt University
摘要：The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market maker's spread that accounts for the effects of price discreteness induced by minimum tick size, order-processing costs, inventory-holding costs, adverse selection, and competition. The inventory-holding and adverse selection cost components o...
