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作者：Bessembinder, H
作者单位：Utah System of Higher Education; University of Utah
摘要：This study examines quotations, order routing, and trade execution costs for seven markets that compete for orders in large-capitalization NYSE-listed stocks. The competitiveness of quote updates from each market varies with measures of the profitability of attracting additional order and with volatility and inventory measures. The probability of a trade executing on each market increases when the market posts competitive quotes. Execution costs for non-NYSE trades when the local market posts ...
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作者：Conrad, J; Johnson, KM; Wahal, S
作者单位：Emory University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the use of alternative trading systems in a large sample of institutional orders and the trades that constitute these orders. Proprietary data allow us to distinguish between orders and trades filled by day and after-hours crossing systems, electronic communication networks (ECNs), and traditional brokers. Controlling for variation in order and security characteristics, as well as endogeneity in the choice of trading venue, we find that realized execution costs are generally lower o...
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作者：Leuz, C; Nanda, D; Wysocki, PD
作者单位：University of Pennsylvania; Duke University; Massachusetts Institute of Technology (MIT)
摘要：This paper examines systematic differences in earnings management across 31 countries. We propose an explanation for these differences based on the notion that insiders, in an attempt to protect their private control benefits, use earnings management to conceal firm performance from outsiders. Thus, earnings management is expected to decrease in investor protection because strong protection limits insiders' ability to acquire private control benefits, which reduces their incentives to mask fir...
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作者：Massa, M
作者单位：INSEAD Business School
摘要：This is a first attempt to study how the structure of the industry affects mutual fund behavior. I show that industry structure matters; the mutual fund families employ strategies that rely on the heterogeneity of the investors in terms of investment horizon by offering the possibility to switch across different funds belonging to the same family at no cost. I argue that this option acts as an externality for all the funds belonging to the same family, affecting the target level of performance...
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作者：Ang, JS; Brau, JC
作者单位：Brigham Young University; State University System of Florida; Florida State University
摘要：We study a known negative signal, the sale of insider shares in an IPO and find that insiders adopt two concealment strategies consistent with wealth-maximizing behavior. First, insiders underreport the number of personally owned shares in the prominent original prospectus and use an obscure amendment to communicate the true higher level of shares to be offered. Second, when insiders increase shares in a later amendment, they tend to either increase secondary shares disproportional to primary ...
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作者：Valkanov, R
作者单位：University of California System; University of California Los Angeles
摘要：I use asymptotic arguments to show that the t-statistics in long-horizon regressions do not converge to well-defined distributions. In some cases, moreover, the ordinary least squares estimator is not consistent and the R 2 is an inadequate measure of the goodness of fit. These findings can partially explain the tendency, of long-horizon regressions to find significant results where previous short-term approaches find none. I propose a rescaled t-statistic, whose asymptotic distribution is eas...
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作者：Johnson, S; Mitton, T
作者单位：Massachusetts Institute of Technology (MIT); Brigham Young University
摘要：The onset of the Asian financial crisis in Malaysia reduced the expected value of government subsidies to politically connected firms, accounting for roughly 9% of the estimated $60 billion loss in their market value from July 1997 to August 1998. Firing the Deputy Prime Minister and imposing capital controls in September 1998 primarily benefited firms with strong ties to Prime Minister Mahathir, accounting for roughly 32% of these firms' estimated $5 billion gain in market value during Septem...
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作者：Durham, GB
作者单位：University of Iowa
摘要：An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyo...
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作者：Liu, J; Pan, J
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles
摘要：We study optimal investment strategies given investor access not only to bond and stock markets but also to the derivatives market. The problem is solved in closed form. Derivatives extend the risk and return tradeoffs associated with stochastic volatility and price jumps. As a means of exposure to volatility risk, derivatives enable non-myopic investors to exploit the time-varying opportunity set; and as a means of exposure to jump risk, they enable investors to disentangle the simultaneous e...
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作者：Nenova, T
作者单位：The World Bank
摘要：This paper measures the value of corporate voting rights, specifically of the control block of votes, in a sample of 661 dual-class firms in 18 countries, in 1997. A consistent measure across countries is proposed. The measure is adjusted for takeover probability, block-holding costs, and dividend and liquidity differences between the share classes. The value of controlblock votes varies widely across countries. It is close to half of firm market value in South Korea, and close to zero in Finl...
