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作者：Dorn, Daniel; Huberman, Gur; Sengmueller, Paul
作者单位：Drexel University; Columbia University; Tilburg University; University of Amsterdam
摘要：A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably d...
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作者：Maksimovic, Vojislav; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine the effect of industry life-cycle stages on within-industry acquisitions and capital expenditures by conglomerates and single-segment firms controlling for endogeneity of organizational form. We find greater differences in acquisitions than in capital expenditures, which are similar across organizational types. In particular, 36% of the growth recorded by conglomerate segments in growth industries comes from acquisitions, versus 9% for single-segment firms. In growth industries, the...
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作者：Detragiache, Enrica; Tressel, Thierry; Gupta, Poonam
作者单位：Delhi School of Economics
摘要：We study how foreign bank penetration affects financial sector development in poor countries. A theoretical model shows that when domestic banks are better than foreign banks at monitoring soft information customers, foreign bank entry may hurt these customers and worsen welfare. The model also predicts that credit to the private sector should be lower in countries with more foreign bank penetration, and that foreign banks should have a less risky loan portfolio. In the empirical section, we t...
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作者：Cohen, Lauren; Frazzini, Andrea
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago
摘要：This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across assets. Using a data set of firms' principal customers to identify a set of economically related firms, we show that stock prices do not incorporate news involving related firms, generating predictable ...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, Christopher S.
作者单位：University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Southern California
摘要：Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation has more identifiable parameters than the maximal model of Dai and Singleton (2000). We implement this new representation for select three-factor models ...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：European University Institute; Northwestern University; University of Chicago
摘要：We study the effect that a general lack of trust can have on stock market participation. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function of the objective characteristics of the stocks and the subjective characteristics of the investor. Less trusting individuals are less likely to buy stock and, conditional on buying stock, they will buy less. In Dutch and Italian micro data, as well as in cross-country data, we find ev...
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作者：Paravisini, Daniel
作者单位：Columbia University
摘要：I exploit the exogenous component of a formula-based allocation of government funds across banks in Argentina to test for financial constraints and underinvestment by local banks. Banks are found to expand lending by $0.66 in response to an additional dollar of external financing. Using novel data to measure risk and return on marginal lending, I show that the profitability of lending does not decline and total borrower debt increases during lending expansions, holding investment opportunities...
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作者：Keswani, Aneel; Stolin, David
作者单位：City St Georges, University of London; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
摘要：Gruber (1996) and Zheng (1999) report that investors channel money toward mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this smart money effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a British data set of monthly fund inflows and outflows differentiated between individual and institutional investors. We document a robust smart money effect in the United Kingdom. The effect is caused by bu...
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作者：Morrison, Alan D.; Wilhelm, William J., Jr.
作者单位：University of Oxford; University of Virginia
摘要：In 1970 the New York Stock Exchange relaxed rules that prohibited the public incorporation of member firms. Investment banking concerns went public in waves, with Goldman Sachs the last of the bulge bracket banks to float. We explain the pattern of investment bank flotations. We argue that partnerships foster the formation of human capital and we use technological advances that undermine the role of human capital to explain the partnership's going-public decision. We support our theory using a...
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作者：Marosi, Andras; Massoud, Nadia
作者单位：University of Alberta; York University - Canada
摘要：Although a number of prior papers have argued the benefits to foreign firms of cross-listing their shares in the U.S., the number of foreign firms exiting U.S. capital markets has been increasing. This has occurred despite the difficulties foreign firms face in deregistering from the Securities and Exchange Commission (SEC). This paper examines the reasons underlying this trend. One of our main findings is that the passage of the Sarbanes-Oxley Act has reduced the net benefits of a U.S. listin...
