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作者：Chuprinin, Oleg; Massa, Massimo; Schumacher, David
作者单位：University of New South Wales Sydney; INSEAD Business School; McGill University
摘要：We study outsourcing relationships among international asset management firms. We find that, in companies that manage both outsourced and in-house funds, in-house funds outperform outsourced funds by 0.85% annually (57% of the expense ratio). We attribute this result to preferential treatment of in-house funds via the preferential allocation of IPOs, trading opportunities, and cross-trades, especially at times when in-house funds face steep outflows and require liquidity. We explain preferenti...
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作者：Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University; Shanghai Jiao Tong University; University of Pennsylvania
摘要：Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially fo...
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作者：Bessembinder, Hendrik; Hao, Jia; Zheng, Kuncheng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; Chinese University of Hong Kong; Northeastern University
摘要：We examine the effects of secondary market liquidity on firm value and the IPO decision. Competitive aftermarket liquidity provision is associated with reduced welfare and a discounted secondary market price that can dissuade IPOs. The competitive market fails in particular for firms or at times when uncertainty regarding fundamental value and asymmetric information are large in combination. In these cases, firm value and welfare are improved by a contract where the firm engages a designated m...
