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作者：Edwards, Amy K.; Harris, Lawrence E.; Piwowar, Michael S.
作者单位：U.S. Securities & Exchange Commission (SEC); University of Southern California
摘要：Using a complete record of U.S. over-the-counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and t...
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作者：Han, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：I develop an interest rate model with separate factors driving innovations in bond yields and their covariances. It features a flexible and tractable affine structure for bond covariances. Maximum likelihood estimation of the model with panel data on swaptions and discount bonds implies pricing errors for swaptions that are almost always lower than half of the bid-ask spread. Furthermore, market prices of interest rate caps do not deviate significantly from their no-arbitrage values implied by...
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作者：Bris, Arturo; Goetzmann, William N.; Zhu, Ning
作者单位：University of California System; University of California Davis; Yale University
摘要：We analyze cross-sectional and time-series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices. We find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced. A common conjecture by regulators is that short sales restrictions can reduce the relative severity...
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作者：Battalio, Robert; Ellul, Andrew; Jennings, Robert
作者单位：University of Notre Dame; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocatin...
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作者：Broadie, Mark; Chernov, Mikhail; Sundaresan, Suresh
作者单位：Columbia University; University of London; London Business School
摘要：Explicit presence of reorganization in addition to liquidation leads to conflicts of interest between borrowers and lenders. In the first-best outcome, reorganization adds value to both parties via higher debt capacity, lower credit spreads, and improved overall firm value. If control of the ex ante reorganization timing and the ex post decision to liquidate is given to borrowers, most of the benefits are appropriated by borrowers ex post. Lenders can restore the first-best outcome by seizing ...
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作者：Broadie, Mark; Chernov, Mikhail; Johannes, Michael
作者单位：Columbia University; University of London; London Business School
摘要：This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically sig...
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作者：MacKay, Peter; Moeller, Sara B.
作者单位：Hong Kong University of Science & Technology; Wake Forest University
摘要：We model and estimate the value of corporate risk management. We show how risk management can add value when revenues and costs are nonlinearly related to prices and estimate the model by regressing quarterly firm sales and costs on the second and higher moments of output and input prices. For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. We validate our approach by regressing Tobin's q on th...
