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Adverse Selection, Public Information, and Underpricing in IPOs 逆向选择、公开信息与ipo定价过低
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2007-04-13 DOI: 10.2139/ssrn.498325
Tore E. Leite
{"title":"Adverse Selection, Public Information, and Underpricing in IPOs","authors":"Tore E. Leite","doi":"10.2139/ssrn.498325","DOIUrl":"https://doi.org/10.2139/ssrn.498325","url":null,"abstract":"This paper generalizes the informational environment of the Rock model to address empirical evidence and conjectures that cannot be addressed within the standard model based on informed and uninformed investors such as underpricing being positively related to market returns observed prior to the IPO, the number of IPOs being positively related to market returns, underpricing being partly predictable based on public information, and the return to uninformed participation being negative overall but positively related to market returns observed prior to the IPO. Finally, the model suggests that a positive relation between market returns and underpricing need not represent an inefficiency in the pricing of IPOs.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115019336","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: 43
U.S. Banking Deregulation, Small Businesses, and Interstate Insurance of Personal Income 美国银行业放松管制、小企业和州际个人收入保险
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2006-09-01 DOI: 10.2139/ssrn.557094
Yuliya Demyanyk, C. Ostergaard, Bent E. Sørensen
{"title":"U.S. Banking Deregulation, Small Businesses, and Interstate Insurance of Personal Income","authors":"Yuliya Demyanyk, C. Ostergaard, Bent E. Sørensen","doi":"10.2139/ssrn.557094","DOIUrl":"https://doi.org/10.2139/ssrn.557094","url":null,"abstract":"We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate personal income insurance during the period 1970–2001. Interstate income insurance occurs when personal income reacts less than one-to-one to state-specific shocks to output. We find that income insurance improved after banking deregulation, and that this effect is larger in states where small businesses are more important. We further show that the impact of deregulation is stronger for proprietors’ income than other components of personal income. Our explanation of this result centers on the role of banks as a prime source of small business finance and on the close intertwining of the personal and business finances of small business owners. Our analysis casts light on the real effects of bank deregulation, on the insurance function of banks, and on the integration of bank markets.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117075317","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: 202
Corporate Governance and Internal Organization 公司治理与内部组织
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2005-09-01 DOI: 10.2139/ssrn.469702
Vinay B. Nair
{"title":"Corporate Governance and Internal Organization","authors":"Vinay B. Nair","doi":"10.2139/ssrn.469702","DOIUrl":"https://doi.org/10.2139/ssrn.469702","url":null,"abstract":"This paper investigates how corporate governance affects managerial incentives inside the firm. While the internal organization of a firm affects competition between lower level managers to become the CEO, performance-based CEO dismissal and replacement alters the incentives due to this competition. I show that optimal governance mechanisms that dismiss CEOs are more likely to be accompanied by an outside replacement and such governance mechanisms make managerial competition more productive. However, strong governance may also reduce managerial incentives to acquire skill to become the CEO. As lower level managers have a greater impact on firm performance and increase in number, strong governance is optimal.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121753067","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
Caught on Tape: Predicting Institutional Ownership with Order Flow 录音:用订单流预测机构所有权
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-10-01 DOI: 10.2139/ssrn.519882
J. Campbell, Tuomo Vuolteenaho, Tarun Ramadorai
{"title":"Caught on Tape: Predicting Institutional Ownership with Order Flow","authors":"J. Campbell, Tuomo Vuolteenaho, Tarun Ramadorai","doi":"10.2139/ssrn.519882","DOIUrl":"https://doi.org/10.2139/ssrn.519882","url":null,"abstract":"Many questions about institutional trading behavior can only be answered if one can track institutional equity ownership continuously, yet institutional ownership data are only available on quarterly reporting dates. We infer institutional trading behavior from the “tape”, the Transactions and Quotes database of the New York Stock Exchange, by regressing quarterly changes in reported institutional ownership on quarterly buy and sell volume in different trade size categories. We find that institutions in aggregate demand liquidity, in that total buy (sell) volume predicts increasing (decreasing) institutional ownership. Institutions also tend to trade in large or very small sizes, in that buy (sell) volume at these sizes predicts increasing (decreasing) institutional ownership, while the pattern reverses at intermediate trade sizes that are favored by individuals. Our regression method predicts institutional ownership significantly better than the simple cutoff rules used in previous research.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128146602","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: 17
Proximity Always Matters: Evidence from Swedish Data 邻近总是很重要:来自瑞典数据的证据
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-07-29 DOI: 10.2139/ssrn.565345
Andriy Bodnaruk
{"title":"Proximity Always Matters: Evidence from Swedish Data","authors":"Andriy Bodnaruk","doi":"10.2139/ssrn.565345","DOIUrl":"https://doi.org/10.2139/ssrn.565345","url":null,"abstract":"In this paper I investigate the formation of local bias when the set of local companies changes: I analyze portfolios of individual investors that changed their place of residence. I find that the further away investors move from the company's closest establishment, the more of its stock they abnormally sell relative to the investors that do not move. I also document that originally held stocks, which holdings have not increased after the move, are more distant and provide lower return to the investors in their new location than stocks acquired after the move and originally held stocks, which holdings increased after the move. Confirming the results of other studies I find that Swedish individual investors derive economically and statistically significant gains from investing locally.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"322 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115670898","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: 19
Bias Reduction in European Option Pricing 欧式期权定价偏差的减少
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-06-22 DOI: 10.2139/ssrn.556204
B. Huge, N. Rom
{"title":"Bias Reduction in European Option Pricing","authors":"B. Huge, N. Rom","doi":"10.2139/ssrn.556204","DOIUrl":"https://doi.org/10.2139/ssrn.556204","url":null,"abstract":"Pricing European options using price estimates of the underlying security that contain noise, create a bias in the option price. We present a technique to reduce this bias. Using ideas from the Longstaff and Schwartz (2001) algorithm, we prove that when the price of the underlying security belongs to a space spanned by a set of basis functions, the bias reduction technique can effectively remove the option price bias. In this setting we prove (i) the option price bias can be controlled by increasing the computational burden (ii) the proposed estimator for the price of the underlying security is less volatile than the crude Monte Carlo estimate and (iii) the resulting option price estimator is consistent. The technique is particular efficient when a lot of computational effort has to be allocated to reduce the option price bias.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130069886","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: 2
Style Investing: Evidence from Mutual Fund Flows 风格投资:来自共同基金流动的证据
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-19 DOI: 10.2139/ssrn.559405
Lukasz Pomorski
{"title":"Style Investing: Evidence from Mutual Fund Flows","authors":"Lukasz Pomorski","doi":"10.2139/ssrn.559405","DOIUrl":"https://doi.org/10.2139/ssrn.559405","url":null,"abstract":"I investigate the impact of returns on broad styles, such as growth funds, on mutual fund flows. I test whether mutual fund investors pursue styles, as predicted by the style investing hypothesis of Barberis and Shleifer (2003). Although in the aggregate, style-level flows to style categories are positively (negatively) related to past returns on the given category (other categories), at the individual fund level this pattern disappears. In fact, after controlling for fund returns, flows are negatively related to style performance. Such patterns persist for three different style classifications I consider here. The findings go against the hypothesis of style investing, and are consistent with within-style return chasing and evaluating fund managers based on both fund-level and style-level returns.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124250722","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: 16
Optimal Strike Prices of Stock Options for Effort Averse Executives 努力厌恶型高管股票期权的最优执行价格
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-15 DOI: 10.2139/ssrn.559922
Oded Palmon, Sasson Bar-Yosef, Ren‐Raw Chen, Itzhak Venezia
{"title":"Optimal Strike Prices of Stock Options for Effort Averse Executives","authors":"Oded Palmon, Sasson Bar-Yosef, Ren‐Raw Chen, Itzhak Venezia","doi":"10.2139/ssrn.559922","DOIUrl":"https://doi.org/10.2139/ssrn.559922","url":null,"abstract":"This paper evaluates the common practice of setting the strike prices of executive option plans at-the-money. Hall and Murphy, 2000, claim this practice to be optimal since it maximizes the sensitivity of compensation to firm performance. However, they do not incorporate effort and the possibility that managers are effort averse into their model. We revisit this question while explicitly introducing these factors and allowing the reward package to include fixed wages and options or stock grants. We simulate the firm's decisions and the manager's effort choice under alternative compensation schemes and identify schemes that are optimal. Our simulations indicate that when abstracting from tax considerations, it is optimal to establish the strike price in-the-money. However, when issuing in the money options creates tax related disadvantages, it may be optimal to issue at-the-money options. We show that the above result holds both in the case when the strike price is linked to an economy-wide benchmark and when it is not benchmarked. Our simulations also indicate that issuing options with benchmarked strike prices usually dominates issuing options with non-benchmarked strike prices.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124442842","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
Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market 订单特征与成交量波动关系:来自限价订单市场的经验证据
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-15 DOI: 10.2139/ssrn.565323
Randi Naes, Johannes A. Skjeltorp
{"title":"Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market","authors":"Randi Naes, Johannes A. Skjeltorp","doi":"10.2139/ssrn.565323","DOIUrl":"https://doi.org/10.2139/ssrn.565323","url":null,"abstract":"We examine empirically the relationship between the demand and supply schedules in a limit order book and the volume volatility relation. Several empirical studies find support for the hypothesis that the volume-volatility relation is driven by the arrival rate of new information, proxied by the number of transactions. Our results show that the number of trades and the price volatility are also related to the slope of the order book. One possible interpretation for this finding is that the slope of the book is proxying for dispersed beliefs among investors. If so, this would support models where investor heterogeneity intensifies the volume-volatility relation.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"890 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127753292","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: 140
Where is the Market? Evidence from Cross-Listings 市场在哪里?来自交叉列表的证据
EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-15 DOI: 10.2139/ssrn.556105
M. Halling, M. Pagano, Otto Randl, J. Zechner
{"title":"Where is the Market? Evidence from Cross-Listings","authors":"M. Halling, M. Pagano, Otto Randl, J. Zechner","doi":"10.2139/ssrn.556105","DOIUrl":"https://doi.org/10.2139/ssrn.556105","url":null,"abstract":"We analyze the location of stock trading for firms with a US cross-listing. The fraction of trading that occurs in the United States tends to be larger for companies from countries that are geographically close to the United States and feature low financial development and poor insider trading protection. For companies based in developed countries, trading volume in the United States is larger if the company is small, volatile, and technology-oriented, while this does not apply to emerging country firms. The domestic turnover rate increases in the cross-listing year and remains higher for firms based in developed markets, but not for emerging market firms. Domestic trading volume actually declines for companies from countries with poor enforcement of insider trading regulation.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125091559","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: 187
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