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作者：Ramadorai, Tarun
作者单位：University of Oxford
摘要：Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premiu...
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作者：Dumas, Bernard; Lyasoff, Andrew
作者单位：National Bureau of Economic Research; Boston University
摘要：Because of non-traded human capital, real-world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide-open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous-agents incomplete-market equilibrium prices of primitive securities. E...
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作者：McLean, R. David; Zhang, Tianyu; Zhao, Mengxin
作者单位：Chinese University of Hong Kong
摘要：Investor protection is associated with greater investment sensitivity to q and lower investment sensitivity to cash flow. Finance plays a role in causing these effects; in countries with strong investor protection, external finance increases more strongly with q, and declines more strongly with cash flow. We further find that q and cash flow sensitivities are associated with ex post investment efficiency; investment predicts growth and profits more strongly in countries with greater q sensitiv...
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作者：Jotikasthira, Chotibhak; Lundblad, Christian; Ramadorai, Tarun
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Oxford
摘要：We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds emerging market portfolio allocations. These forced trades or fire sales affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration...
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作者：Jiang, Wei; Li, Kai; Wang, Wei
作者单位：Columbia University; University of British Columbia; Queens University - Canada
摘要：This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and secured creditors. Their effect on the debtor manifests in higher probabilities of the latter's loss of exclusive rights to file reorganization plans, CEO turnover,...
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作者：Corwin, Shane A.; Schultz, Paul
作者单位：University of Notre Dame
摘要：We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highlow ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the highlow ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of highlow ratios over 1-day and 2-day intervals. The estimator is easy to calculate, can be applied in...
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作者：Fernando, Chitru S.; May, Anthony D.; Megginson, William L.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Wichita State University
摘要：We examine the long-standing question of whether firms derive value from investment bank relationships by studying how the Lehman collapse affected industrial firms that received underwriting, advisory, analyst, and market-making services from Lehman. Equity underwriting clients experienced an abnormal return of around 5%, on average, in the 7 days surrounding Lehman's bankruptcy, amounting to $23 billion in aggregate risk-adjusted losses. Losses were especially severe for companies that had s...
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作者：Fracassi, Cesare; Tate, Geoffrey
作者单位：University of Texas System; University of Texas Austin; University of California System; University of California Los Angeles
摘要：We use panel data on S&P 1500 companies to identify external network connections between directors and CEOs. We find that firms with more powerful CEOs are more likely to appoint directors with ties to the CEO. Using changes in board composition due to director death and retirement for identification, we find that CEO-director ties reduce firm value, particularly in the absence of other governance mechanisms to substitute for board oversight. Moreover, firms with more CEO-director ties engage ...
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作者：Kaniel, Ron; Liu, Shuming; Saar, Gideon; Titman, Sheridan
作者单位：University of Rochester; California State University System; San Francisco State University; Cornell University; University of Texas System; University of Texas Austin
摘要：This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also ...
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作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz University Hannover; City St Georges, University of London
摘要：We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so-called carry trades. We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yiel...
