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作者：Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.
作者单位：University of Virginia; University of Oxford; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research
摘要：We study the performance of nearly 1,400 U.S. buyout and venture capital funds using a new data set from Burgiss. We find better buyout fund performance than previously documentedperformance has consistently exceeded that of public markets. Outperformance versus the S&P 500 averages 20% to 27% over a fund's life and more than 3% annually. Venture capital funds outperformed public equities in the 1990s, but underperformed in the 2000s. Our conclusions are robust to various indices and risk cont...
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作者：O'Hara, Maureen; Yao, Chen; Ye, Mao
作者单位：Cornell University; University of Warwick; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We investigate odd-lot trades in equity markets. Odd lots are increasingly used in algorithmic and high-frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd-lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd-lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd-lot trades leads to inaccuracies in order imbalance mea...
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作者：Rose, Andrew K.; Wieladek, Tomasz
作者单位：University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Bank of England
摘要：We examine large public interventions in the financial sector, such as bank nationalizations and search for financial protectionism, a decrease in the quantity and/or an increase in the price of loans that banks from one country make to borrowers resident in another. We use a bank-level panel data set spanning all U.K.-resident banks between 1997Q3 and 2010Q1. After nationalization, foreign banks reduced their fraction of British loans by about 11% and increased their effective interest rates ...
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作者：Bena, Jan; Li, Kai
作者单位：University of British Columbia
摘要：Using a large and unique patent-merger data set over the period 1984 to 2006, we show that companies with large patent portfolios and low R&D expenses are acquirers, while companies with high R&D expenses and slow growth in patent output are targets. Further, technological overlap between firm pairs has a positive effect on transaction incidence, and this effect is reduced for firm pairs that overlap in product markets. We also show that acquirers with prior technological linkage to their targ...
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作者：Peress, Joel
摘要：The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate...
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作者：An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret
作者单位：Columbia University; National Bureau of Economic Research; Georgetown University; Fordham University
摘要：Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option implied volatilities, with stocks with high past returns tending to have call and put option contracts that exhibit ...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno
作者单位：National Bureau of Economic Research
摘要：We show that the price of a Treasury bond and an inflation-swapped Treasury Inflation-Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the mispricing narrows as additional capital flows into the mar...
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作者：Nikolov, Boris; Whited, Toni M.
作者单位：University of Rochester; National Bureau of Economic Research
摘要：Which agency problems affect corporate cash policy? To answer this question, we estimate a dynamic model of finance and investment with three mechanisms that misalign managerial and shareholder incentives: limited managerial ownership of the firm, compensation based on firm size, and managerial perquisite consumption. We find that perquisite consumption critically impacts cash policy. Size-based compensation also matters, but less. Firms with lower blockholder and institutional ownership have ...
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作者：Chaboud, Alain P.; Chiquoine, Benjamin; Hjalmarsson, Erik; Vega, Clara
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Gothenburg; University of London
摘要：We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with ...
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作者：Balakrishnan, Karthik; Billings, Mary Brooke; Kelly, Bryan; Ljungqvist, Alexander
作者单位：University of London; London Business School; New York University; University of Chicago; National Bureau of Economic Research
摘要：Can managers influence the liquidity of their firms' shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and informative earnings guidance. Responses appear motivated by a desire to reduce information asymmetries ...
