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Preview: CiteULike: Review of Financial Studies

CiteULike: Review of Financial Studies



CiteULike: Review of Financial Studies



 



Tractability in Incentive Contracting

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr044
Alex Edmans, Xavier Gabaix



Information in (and not in) the Term Structure

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr033
Gregory Duffee



Dividend Policies in an Unregulated Market: The London Stock Exchange, 18951905

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr026
Fabio Braggion, Lyndon Moore



Financial Constraints, RD Investment, and Stock Returns

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr043
Dongmei Li



The Good or the Bad? Which Mutual Fund Managers Join Hedge Funds?

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr057
Prachi Deuskar, Joshua Pollet, Jay Wang, Lu Zheng



Learning from Prices and the Dispersion in Beliefs

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr050
Snehal Banerjee



Information Sales and Strategic Trading

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr041
Diego Garca, Francesco Sangiorgi



Can VCs Time the Market? An Analysis of Exit Choice for Venture-backed Firms

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr042
Eric Ball, Hsin Hui Chiu, Richard Smith



Recourse and Residential Mortgage Default: Evidence from US States

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr055
Andra Ghent, Marianna Kudlyak



Erratum

2011-08-19T14:13:51-00:00

doi:10.1093/rfs/hhr070
Joel Peress



What Factors Drive Global Stock Returns?

2011-08-01T09:46:03-00:00

doi:10.1093/rfs/hhr013
Kewei Hou, Andrew Karolyi, Bong-Chan Kho



Risk Shifting and Mutual Fund Performance

2011-08-01T09:46:03-00:00

Review of Financial Studies, Vol. 24, No. 8. (01 August 2011), pp. 2575-2616, doi:10.1093/rfs/hhr001

Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This article investigates the performance consequences of risk shifting and sheds light on the mechanisms and the economic motivations behind risk-shifting behavior. Using a holdings-based measure of risk shifting, we find that funds that increase risk perform worse than funds that keep stable risk levels over time, suggesting that risk shifting either is an indication of inferior ability or is motivated by agency issues.
Jennifer Huang, Clemens Sialm, Hanjiang Zhang



Credit Default Swaps and the Empty Creditor Problem

2011-08-01T09:46:03-00:00

doi:10.1093/rfs/hhr002
Patrick Bolton, Martin Oehmke



Bank Liquidity, Interbank Markets, and Monetary Policy

2011-08-01T09:46:02-00:00

doi:10.1093/rfs/hhr018
Xavier Freixas, Antoine Martin, David Skeie



Does Government Ownership Affect the Cost of Debt? Evidence from Privatization

2011-08-01T09:46:02-00:00

doi:10.1093/rfs/hhq154
Ginka Borisova, William Megginson



Learning and Asset-price Jumps

2011-08-01T09:46:02-00:00

doi:10.1093/rfs/hhr023
Ravi Bansal, Ivan Shaliastovich



Growing Out of Trouble? Corporate Responses to Liability Risk

2011-08-01T09:46:02-00:00

doi:10.1093/rfs/hhr011
Todd Gormley, David Matsa



The Effect of Risk on the CEO Market

2011-08-01T09:46:02-00:00

doi:10.1093/rfs/hhq153
Alex Edmans, Xavier Gabaix



Mergers, Spinoffs, and Employee Incentives

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr004
Paolo Fulghieri, Merih Sevilir



Anticipation, Acquisitions, and Bidder Returns: Industry Shocks and the Transfer of Information across Rivals

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr035
Jie Cai, Moon Song, Ralph Walkling



Do Investment Banks Matter for MA Returns?

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr014
Jack Bao, Alex Edmans



Implications of Data Screens on Merger and Acquisition Analysis: A Large Sample Study of Mergers and Acquisitions from 1992 to 2009

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr010
Jeffry Netter, Mike Stegemoller, Babajide Wintoki



Corporate Governance Propagation through Overlapping Directors

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr034
Christa Bouwman



Governance Through Trading and Intervention: A Theory of Multiple Blockholders

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhq145
Alex Edmans, Gustavo Manso



Short Arbitrage, Return Asymmetry, and the Accrual Anomaly

2011-07-18T09:51:49-00:00

Review of Financial Studies, Vol. 24, No. 7. (01 July 2011), pp. 2429-2461, doi:10.1093/rfs/hhr012

We find a positive association between short selling and accruals during 1988–2009, and that asymmetry between the up- and downsides of the accrual anomaly is stronger when constraints on short arbitrage are more severe (low availability of loanable shares as proxied by institutional holdings). Short arbitrage occurs primarily among firms in the top accrual decile. Asymmetry is present only on NASDAQ. Thus, there is short arbitrage of the accrual anomaly, but short-sale constraints limit its effectiveness.
David Hirshleifer, Siew Teoh, Jeff Yu



The Private Equity Advantage: Leveraged Buyout Firms and Relationship Banking

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr024
Victoria Ivashina, Anna Kovner



Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China

2011-07-18T09:51:49-00:00

doi:10.1093/rfs/hhr025
Kai Li, Tan Wang, Yan-Leung Cheung, Ping Jiang



The Academic Analysis of the 2008 Financial Crisis: Round 1

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhr040
Matthew Spiegel



The Influence of the Home Owners' Loan Corporation on Housing Markets During the 1930s

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq144
Price Fishback, Alfonso Flores-Lagunes, William Horrace, Shawn Kantor, Jaret Treber



Securitization and Mortgage Renegotiation: Evidence from the Great Depression

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhr017
Andra Ghent



Understanding the Subprime Mortgage Crisis

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhp033
Yuliya Demyanyk, Otto Van Hemert



Originate-to-distribute Model and the Subprime Mortgage Crisis

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq106
Amiyatosh Purnanandam



Bank Corporate Loan Pricing Following the Subprime Crisis

2011-06-01T18:47:43-00:00

Review of Financial Studies, Vol. 24, No. 6. (1 June 2011), pp. 1916-1943, doi:10.1093/rfs/hhq115

The massive losses that banks incurred with the meltdown of the subprime mortgage market have raised concerns about their ability to continue lending to corporations. We investigate these concerns. We find that firms paid higher loan spreads during the subprime crisis. Importantly, the increase in loan spreads was higher for firms that borrowed from banks that incurred larger losses. These results hold after we control for firm-, bank-, and loan-specific factors, and account for endogeneity of bank losses. These findings, together with our evidence that borrowers took out smaller loans during the crisis when they borrowed from banks that incurred larger losses, lend support to the concerns about bank lending following their subprime losses.
João Santos



Liquidity Management and Corporate Investment During a Financial Crisis

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq131
Murillo Campello, Erasmo Giambona, John Graham, Campbell Harvey



Margin-based Asset Pricing and Deviations from the Law of One Price

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhr027
Nicolae Grleanu, Lasse Heje Pedersen



The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq078
Hui Tong, Shang-Jin Wei



Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq123
Celso Brunetti, Mario di Filippo, Jeffrey Harris



Competition, Risk-shifting, and Public Bail-out Policies

2011-06-01T18:47:43-00:00

doi:10.1093/rfs/hhq114
Reint Gropp, Hendrik Hakenes, Isabel Schnabel






Crisis Resolution and Bank Liquidity

2011-06-01T18:47:42-00:00

Review of Financial Studies, Vol. 24, No. 6. (1 June 2011), pp. 2166-2205, doi:10.1093/rfs/hhq073

What is the effect of financial crises and their resolution on banks' choice of liquidity? When banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of bank failures. The gains from acquiring assets at fire-sale prices make it attractive for banks to hold liquid assets. The resulting choice of bank liquidity is countercyclical, inefficiently low during economic booms but excessively high during crises. We present evidence consistent with these predictions. While interventions to resolve banking crises may be desirable ex post, they affect bank liquidity in subtle ways: Liquidity support to failed banks or unconditional support to surviving banks reduces incentives to hold liquidity, whereas support to surviving banks conditional on their liquid asset holdings has the opposite effect.
Viral Acharya, Hyun Shin, Tanju Yorulmazer



Revisiting Asset Pricing Puzzles in an Exchange Economy

2011-03-05T22:15:59-00:00

doi:10.1093/rfs/hhq130
Christine Parlour, Richard Stanton, Johan Walden



Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds

2011-03-05T22:15:59-00:00

doi:10.1093/rfs/hhq074
Zhi Da, Pengjie Gao, Ravi Jagannathan



Market Liquidity and Flow-driven Risk

2011-03-05T22:15:59-00:00

doi:10.1093/rfs/hhq132
Prachi Deuskar, Timothy Johnson



Obfuscation, Learning, and the Evolution of Investor Sophistication

2011-03-05T22:15:59-00:00

doi:10.1093/rfs/hhq070
Bruce Ian Carlin, Gustavo Manso



Inheriting Losers

2011-03-05T22:15:59-00:00

doi:10.1093/rfs/hhq084
Li Jin, Anna Scherbina



Price Efficiency and Short Selling

2011-03-05T22:15:59-00:00

Review of Financial Studies, Vol. 24, No. 3. (01 March 2011), pp. 821-852, doi:10.1093/rfs/hhq124

This article presents a study of how stock price efficiency and return distributions are affected by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that includes more than 12,600 stocks from 26 countries. We present two main findings. First, lending supply has a significant impact on efficiency. Stocks with higher short-sale constraints, measured as low lending supply, have lower price efficiency. Second, relaxing short-sales constraints is not associated with an increase in either price instability or the occurrence of extreme negative returns.
Pedro Saffi, Kari Sigurdsson



Do Peso Problems Explain the Returns to the Carry Trade?

2011-03-05T22:15:58-00:00

doi:10.1093/rfs/hhq138
Craig Burnside, Martin Eichenbaum, Isaac Kleshchelski, Sergio Rebelo



The Price Impact of Institutional Herding

2011-03-05T22:15:58-00:00

Review of Financial Studies, Vol. 24, No. 3. (01 March 2011), pp. 892-925, doi:10.1093/rfs/hhq137
Amil Dasgupta, Andrea Prat, Michela Verardo



A New Perspective on Gaussian Dynamic Term Structure Models

2011-03-05T22:15:58-00:00

doi:10.1093/rfs/hhq128
Scott Joslin, Kenneth Singleton, Haoxiang Zhu



When Do Banks Listen to Their Analysts? Evidence from Mergers and Acquisitions

2011-02-01T15:03:57-00:00

doi:10.1093/rfs/hhq087
David Haushalter, Michelle Lowry