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作者：Gutierrez, Roberto C., Jr.; Kelley, Eric K.
作者单位：University of Oregon; University of Arizona
摘要：Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In additi...
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作者：Gondat-Larralde, Celine; James, Kevin R.
作者单位：University of London; London School Economics & Political Science; Universite de Bordeaux
摘要：Since an underwriter sets an IPO's offer price without knowing its market value, investors can acquire information about its value and avoid overpriced deals (lemon-dodge). To mitigate this well-known risk, the bank enters into a repeat game with a coalition of investors who do not lemon-dodge in exchange for on-average underpriced shares. We (i) derive and test a quantitative IPO pricing rule (showing that tech IPOs were not excessively underpriced during the boom of the 1990s); and (ii) anal...
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作者：Epstein, Larry G.; Schneider, Martin
作者单位：Boston University; New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent...
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作者：Foucault, Thierry; Menkveld, Albert J.
作者单位：Hautes Etudes Commerciales (HEC) Paris; Vrije Universiteit Amsterdam
摘要：We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross-sectionally, we find that a higher trade-through rate in the entrant market coincides with less liquidity supply in this market. These findings imply that (i) fragmentation of order flow can enhance liquidity supply and (ii) ...
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作者：Watanabe, Masahiro
作者单位：Rice University
摘要：This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. The model produces multiple equilibria, including highly volatile equilibria that can exhibit strong or weak correlations between asset returns-even when asset supplies and future dividends are uncorrelated across assets. Less informed agents rationally behave like trend-followers, while better informed agents follow contrarian strategies. Trading volume has a hump-shaped relation ...
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作者：Chan, Kalok; Menkveld, Albert J.; Yang, Zhishu
作者单位：Hong Kong University of Science & Technology; Vrije Universiteit Amsterdam; National Tsing Hua University
摘要：We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid-ask spread in the A- and B-share markets explains 44% and ...
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作者：Schultz, Paul
作者单位：University of Notre Dame
摘要：Over March and April 2000, Internet stocks lost 56%, or $700 billion. This sudden collapse has been attributed to an increasing supply of shares from lockup expirations and equity offerings. I show that Internet stocks collapsed in this period regardless of whether their lockups expired. Furthermore, daily Internet stock portfolio returns were almost unaffected by the number or dollar amount of lockup expirations that day, or by the amount of stock offered in IPOs or SEOs. Most of the Internet...
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作者：Kaniel, Ron; Saar, Gideon; Titman, Sheridan
作者单位：Duke University; Cornell University; University of Texas System; University of Texas Austin
摘要：This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or v...
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作者：[Anonymous]
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作者：Albuquerque, Rui; Wang, Neng
作者单位：Boston University; National Bureau of Economic Research
摘要：The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premia, and higher interest rate. Calibra...
