作者：Jenkinson, Tim; Jones, Howard; Suntheim, Felix
作者单位：University of Oxford
摘要：Using data from all of the leading international investment banks on 220 initial public offerings (IPOs) raising $160 billion between January 2010 and May 2015, we test the determinants of IPO allocations. We compare investors' IPO allocations with proxies for their information production during bookbuilding and the broking (and other) revenues they generate for bookrunners. We find evidence consistent with information revelation theories. We also find strong support for the existence of a qui...
作者：Seo, Sang Byung; Wachter, Jessica A.
作者单位：University of Houston System; University of Houston; University of Pennsylvania
摘要：We investigate whether a model with time-varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of previously stable firms default, and thus are deep out-of-the money put options on the overall economy. When calibrated to consumption data and to the equity premium, the model explains the spreads on C...
