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作者：Engelberg, Joseph E.; Parsons, Christopher A.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all earnings announcements of S&P 500 Index firms, we find that local media coverage strongly predicts local trading, after controlling for earn...
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作者：Hendershott, Terrence; Jones, Charles M.; Menkveld, Albert J.
作者单位：University of California System; University of California Berkeley; Columbia University; Vrije Universiteit Amsterdam
摘要：Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade-related price disco...
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作者：Bongaerts, Dion; de Jong, Frank; Driessen, Joost
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive-net-supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find...
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作者：Acharya, Viral V.; Viswanathan, S.
作者单位：New York University; Duke University
摘要：Financial firms raise short-term debt to finance asset purchases; this induces risk shifting when economic conditions worsen and limits their ability to roll over debt. Constrained firms de-lever by selling assets to lower-leverage firms. In turn, asset-market liquidity depends on the system-wide distribution of leverage, which is itself endogenous to future economic prospects. Good economic prospects yield cheaper short-term debt, inducing entry of higher-leverage firms. Consequently, adverse...
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作者：Loughran, Tim; McDonald, Bill
作者单位：University of Notre Dame
摘要：Previous research uses negative word counts to measure the tone of a text. We show that word lists developed for other disciplines misclassify common words in financial text. In a large sample of 10-Ks during 1994 to 2008, almost three-fourths of the words identified as negative by the widely used Harvard Dictionary are words typically not considered negative in financial contexts. We develop an alternative negative word list, along with five other word lists, that better reflect tone in finan...
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作者：Dinc, I. Serdar; Gupta, Nandini
作者单位：Massachusetts Institute of Technology (MIT); Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We investigate the influence of political and financial factors on the decision to privatize government-owned firms. The results show that profitable firms and firms with a lower wage bill are likely to be privatized early. We find that the government delays privatization in regions where the governing party faces more competition from opposition parties. The results also suggest that political patronage is important as no firm located in the home state of the minister in charge is ever privat...
