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The Impact of Pillar 3 Disclosures on Asymmetric Information and Liquidity in Bank Stocks: Multi-Country Evidence 第三支柱披露对银行股信息不对称和流动性的影响:多国证据
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-08-10 DOI: 10.2139/SSRN.2670403
J. Parwada, K. Lau, S. Ruenzi
{"title":"The Impact of Pillar 3 Disclosures on Asymmetric Information and Liquidity in Bank Stocks: Multi-Country Evidence","authors":"J. Parwada, K. Lau, S. Ruenzi","doi":"10.2139/SSRN.2670403","DOIUrl":"https://doi.org/10.2139/SSRN.2670403","url":null,"abstract":"Theory suggests that increasing the public availability of regulatory information may hurt the information environment of bank stocks. It is therefore not clear whether the Basel Accord’s intent to foster market discipline by requiring banks to publish information on their risk management practices and exposures is beneficial. Using a sample of the 54 largest banks in Australia, Canada, India, Singapore, South Africa and UK, we find that, with the exception of South Africa and Singapore, there is a reduction in time-waited bid-ask spreads post the implementation of Pillar 3 reporting. The preliminary evidence suggests that increasing the availability of hitherto private information on risk management practices is welfare enhancing.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126033226","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}
引用次数: 1
Buying High and Selling Low: Stock Repurchases and Persistent Asymmetric Information 高买低卖:股票回购和持续的信息不对称
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-07-01 DOI: 10.2139/ssrn.2352059
P. Bond, Hongda Zhong
{"title":"Buying High and Selling Low: Stock Repurchases and Persistent Asymmetric Information","authors":"P. Bond, Hongda Zhong","doi":"10.2139/ssrn.2352059","DOIUrl":"https://doi.org/10.2139/ssrn.2352059","url":null,"abstract":"Share prices generally fall when a firm announces a seasoned equity offering (SEO). A standard explanation is that an SEO communicates negative information to investors. We show that if repeated capital market transactions are possible, this same asymmetry of information between firms and investors implies that some firms also repurchase shares in equilibrium. A subset of these firms directly profit from repurchases, while other firms repurchase in order to improve the terms of a subsequent SEO. The possibility of repurchases reduces both SEOs and investment. Overall, our analysis highlights the importance of analyzing SEOs and repurchases in a unified framework.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131901741","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}
引用次数: 30
Screening with Endogenous Preferences 内源性偏好筛选
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-06-12 DOI: 10.2139/ssrn.2617834
Lizi Chen, Casey G. Rothschild
{"title":"Screening with Endogenous Preferences","authors":"Lizi Chen, Casey G. Rothschild","doi":"10.2139/ssrn.2617834","DOIUrl":"https://doi.org/10.2139/ssrn.2617834","url":null,"abstract":"A general framework is developed for studying screening in many-agent discrete type environments wherein each agent’s preferences depend endogenously on the allocations received by the other agents. Applications include optimal income taxation, performance contracting with across-worker externalities, and insurance with endogenous risks. The solution to the principal’s problem is analyzed by decomposing it, a la Rothschild and Scheuer (2013, 2014b), into an inner problem with fixed preferences and an outer problem with varying preferences. The outer problem is typically discontinuous at points where the preferences of two or more types endogenously coincide. As a result, the principal will frequently find it optimal to select allocations which involve two or more types with endogenously coinciding preferences, even though such allocations may appear, ex-ante, to be highly unusual. Assuming that types are strictly ordered by their single-crossing preferences is, therefore, not innocuous in endogenous preference environments.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"158 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116232411","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}
引用次数: 4
Financial Advisors, Financial Ecologies and the Variegated Financialisation of Everyday Investors 金融顾问，金融生态和日常投资者的多样化金融化
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-05-19 DOI: 10.1111/TRAN.12101
Karen P. Y. Lai
{"title":"Financial Advisors, Financial Ecologies and the Variegated Financialisation of Everyday Investors","authors":"Karen P. Y. Lai","doi":"10.1111/TRAN.12101","DOIUrl":"https://doi.org/10.1111/TRAN.12101","url":null,"abstract":"While recent work on financialisation of everyday life has elucidated the reshaping of everyday consumers as risk-taking investors, the role of financial advisors (FAs) has been overlooked even though they are key intermediaries in articulating households and individuals into circuits of global finance. Through a financial ecologies approach, this paper focuses on FAs to reveal the ambiguities and inconsistencies inherent in their professional practice as varied modes of corporate management and organisational practices lead to differentiated encounters that shape the financial knowledge and investment decisions of clients. Empirical analysis is based on industry reports, regulatory documents, personal interviews and ethnographic fieldwork at professional training and networking events. The findings demonstrate how professional intermediaries like FAs are vital in explaining the shifting and uneven configuration of investor subjects. A critical analysis of FAs reveals how the decision-making process and investment practices of consumers are fraught with knowledge asymmetries and embedded in distinctive financial ecologies with variegated outcomes. The ecologies concept also offers greater topological finesse in explaining the resilience or fragility of relational formations, the entanglement of diverse elements and motivations in the variegated formation of investor subjects, and the operation of constitutive ecologies within the financial system.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123138399","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}
引用次数: 60
The Economics of Crowdfunding Platforms 众筹平台的经济学
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-03-20 DOI: 10.2139/ssrn.2585611
Paul Belleflamme, Nessrine Omrani, M. Peitz
{"title":"The Economics of Crowdfunding Platforms","authors":"Paul Belleflamme, Nessrine Omrani, M. Peitz","doi":"10.2139/ssrn.2585611","DOIUrl":"https://doi.org/10.2139/ssrn.2585611","url":null,"abstract":"This paper provides a description of the crowdfunding sector, considering investment- based crowdfunding platforms as well as platforms in which funders do not obtain monetary payments. It lays out key features of this quickly developing sector and explores the economic forces at play that can explain the design of these platforms. In particular, it elaborates on cross-group and within-group external effects and asymmetric information on crowdfunding platforms.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121526357","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}
引用次数: 484
News and Corporate Bond Liquidity 新闻与公司债券流动性
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-03-01 DOI: 10.2139/ssrn.2437975
Hao Jiang, Zheng Sun
{"title":"News and Corporate Bond Liquidity","authors":"Hao Jiang, Zheng Sun","doi":"10.2139/ssrn.2437975","DOIUrl":"https://doi.org/10.2139/ssrn.2437975","url":null,"abstract":"Both macroeconomic and firm-specific news contain value-relevant information for corporate bonds. In this article, we show that trading volume in corporate bonds spikes before the release of scheduled macroeconomic news but on the days with and after scheduled firm-specific news. Since investors are less likely to be concerned with asymmetric information about macroeconomic than firm-specific news to be released, this result suggests that the anticipated arrival of macroeconomic news promotes speculative trades, whereas the arrival of firm-specific news encourages liquidity trades. Turning to liquidity, we find evidence of reduced informed trading and increased corporate bond liquidity on days with firm-specific news, but not on days with macroeconomic news.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121336235","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}
引用次数: 18
Optimal Transport Provision to a Tourist Destination: A Contract Theory Perspective 旅游目的地最优交通供给:契约理论视角
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-02-06 DOI: 10.2139/ssrn.2561602
A. Batabyal, H. Beladi
{"title":"Optimal Transport Provision to a Tourist Destination: A Contract Theory Perspective","authors":"A. Batabyal, H. Beladi","doi":"10.2139/ssrn.2561602","DOIUrl":"https://doi.org/10.2139/ssrn.2561602","url":null,"abstract":"How to provide transport infrastructure to a tourist destination optimally is a salient question in tourism economics. Even so, this question has received no theoretical attention in the literature. Hence, we use contract theory to provide the first theoretical analysis of the optimal provision of transport infrastructure by an asymmetrically informed tourist agency (TA) interested in promoting a particular destination to tourists. Specifically, we first delineate our model and then solve for the first-best contract describing the interaction between the TA and a transport infrastructure providing firm. Second, we study the optimal second-best contract with asymmetric information when the above firm can be of two possible types. Third, we generalize the previous analysis by analyzing the case in which the firm can be of infinitely many types. Finally, we note that policy makers can reduce the negative effects of asymmetric information in practical settings by engaging in underwriting or obtaining additional information, by asking the firm to provide references, and by inspecting past transport infrastructure projects completed by the firm.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116931588","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}
引用次数: 0
Optimal Forestry Contracts Under Asymmetry of Information 信息不对称下的林业最优契约
ERN: Information Asymmetry Models (Topic) Pub Date : 2015-01-01 DOI: 10.1111/sjoe.12083
Francis Didier Tatoutchoup
{"title":"Optimal Forestry Contracts Under Asymmetry of Information","authors":"Francis Didier Tatoutchoup","doi":"10.1111/sjoe.12083","DOIUrl":"https://doi.org/10.1111/sjoe.12083","url":null,"abstract":"In this paper, I analyze optimal royalty contracts in forestry when the harvesting firm has private information on the cost of harvesting. This infinite horizon forest rotation model with asymmetry of information on the cost parameter results in a dynamic incentive problem. Depending on whether the costs are correlated over time or not, the firm either receives rent or receives no rent, associated with the continuation part of the rotation choice. I characterize the optimal contract explicitly in both cases. I also examine the loss in expected welfare surplus resulting from the use of a linear contract instead of the more general non-linear contract.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128431953","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}
引用次数: 6
Information Globalization, Risk Sharing and International Trade 信息全球化、风险分担与国际贸易
ERN: Information Asymmetry Models (Topic) Pub Date : 2014-12-04 DOI: 10.2139/ssrn.2475102
Isaac Baley, Laura L. Veldkamp, Michael E. Waugh
{"title":"Information Globalization, Risk Sharing and International Trade","authors":"Isaac Baley, Laura L. Veldkamp, Michael E. Waugh","doi":"10.2139/ssrn.2475102","DOIUrl":"https://doi.org/10.2139/ssrn.2475102","url":null,"abstract":"Information frictions are often invoked to explain low levels of international trade beyond those that measured trade frictions (taris, transportation costs, etc.) can explain. But to explain why international trade is lower then domestic trade, home rms have to know something that foreigners do not. Without information asymmetry, domestic trade and foreign trade would be inhibited equally. This paper incorporates a simple information asymmetry in a standard, two-country Armington trade model and studies its eect on international risk sharing and trade ows. We nd that ameliorating information asymmetry { information globalization { reduces trade and international risk sharing. In other words, asymmetric information frictions behave in the opposite manner as a standard trade cost. Many researchers have explored the possibility that information frictions account for the low volumes of cross-border trade. Portes and Rey (2005) show that the volume of phone calls between two countries predicts how much they trade. Gould (1994) and Rauch and Trindade (2002) argue that immigrants trade more with their home countries. The argument that information frictions create uncertainty about foreign economies, and that this uncertainty deters risk-averse potential exporters is compelling. In many settings, the eect of an increase in uncertainty is to reduce the certainty-equivalent expected return, which acts like","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125438949","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}
引用次数: 4
Transaction Taxes in a Price Maker/Taker Market 价格制定者/接受者市场中的交易税
ERN: Information Asymmetry Models (Topic) Pub Date : 2014-11-10 DOI: 10.2139/ssrn.1572648
Dale W. R. Rosenthal, N. D. Thomas, Hefei Wang
{"title":"Transaction Taxes in a Price Maker/Taker Market","authors":"Dale W. R. Rosenthal, N. D. Thomas, Hefei Wang","doi":"10.2139/ssrn.1572648","DOIUrl":"https://doi.org/10.2139/ssrn.1572648","url":null,"abstract":"We develop a price maker/taker model to study how a financial transaction tax affects markets. We find taxes widen quoted and effective spreads by more than twice the tax. Taxes increase volatility slightly (without intermediation) to significantly (with intermediation). High taxes may halve volumes and gains from trade while doubling search costs. Measures of market quality are more affected by taxes in markets with intermediaries. Investors and intermediaries competing for liquidity can triple search costs and increase quoted spreads while decreasing effective spreads. We also find revenue-optimal rates of 60-75 bp. Our results are particularly relevant to markets with high-frequency trading or thin depth.","PeriodicalId":411364,"journal":{"name":"ERN: Information Asymmetry Models (Topic)","volume":"7 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120903019","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}
引用次数: 1
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