C. Krishnamurti, A. Subrahmanyam, Tiong Yang Thong
{"title":"Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?","authors":"C. Krishnamurti, A. Subrahmanyam, Tiong Yang Thong","doi":"10.2139/ssrn.1341465","DOIUrl":"https://doi.org/10.2139/ssrn.1341465","url":null,"abstract":"Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice versa. Another interesting conclusion that emerges from our research is that liquidity changes can predict future abnormal returns. Our results remain robust to the use of alternate procedures to characterize unexpected changes in liquidity.","PeriodicalId":132549,"journal":{"name":"EFA 2009 Bergen Meetings (Archive)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125665679","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Nicole Branger, Alexandra Hansis, Christian Schlag
{"title":"Expected Option Returns and the Structure of Jump Risk Premia","authors":"Nicole Branger, Alexandra Hansis, Christian Schlag","doi":"10.2139/ssrn.1340575","DOIUrl":"https://doi.org/10.2139/ssrn.1340575","url":null,"abstract":"The paper analyzes expected option returns in models with stochastic volatility and jumps. A comparison with empirically documented returns shows that the ability of the model to explain these returns can differ significantly depending on the holding period and depending on whether we consider call or put options. Furthermore, we show that the size of the jump risk premium and its decomposition into a premium for jump intensity risk, jump size risk, and jump variance risk has a significant impact on expected option returns. In particular, expected returns on OTM calls can even become negative if e.g. jump variance risk is priced.","PeriodicalId":132549,"journal":{"name":"EFA 2009 Bergen Meetings (Archive)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117158662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Does Debtor Protection Really Protect Debtors? Evidence from the Small Business Credit Market","authors":"Allen N. Berger, G. Cerqueiro, M. F. Penas","doi":"10.2139/ssrn.1101309","DOIUrl":"https://doi.org/10.2139/ssrn.1101309","url":null,"abstract":"This paper analyzes how different levels of debtor protection across US states affect small firms' access to credit, as well as the price and non-price terms of their loans. We use an individual-specific measure of debtor protection that has its maximum value when the borrower's home equity is lower than the state homestead exemption (the debtor's home equity is fully protected), and is decreasing in the difference between the home equity and the homestead exemption (the amount that the creditor can seize). We find that unlimited liability small businesses have lower access to credit in states with more debtor-friendly bankruptcy laws. In addition, these businesses face tighter loan terms - they are more likely to pledge business collateral, have shorter maturities, and borrow smaller amounts. For limited liability small businesses, we also find a reduction in credit availability, but of smaller magnitude, together with an increase in the loan rate.","PeriodicalId":132549,"journal":{"name":"EFA 2009 Bergen Meetings (Archive)","volume":"338 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122272382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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