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Capital Budgeting vs. Market Timing : An Evaluation Using Demographics

DellaVigna, Stefano - 2009

An ongoing debate sets capital budgeting against market timing. The primary difficulty in evaluating these theories is finding distinct exogenous proxies for investment opportunities and mispricing. We use demand shifts induced by demographics to address this problem, and hence, provide a more...

Persistent link: https://www.econbiz.de/10012463465

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

Do Bank Insiders Impede Equity Issuances?

Goetz, Martin - 2020

We evaluate the role of insider ownership in shaping banks' equity issuances in response to the global financial crisis. We construct a unique dataset on the ownership structure of U.S. banks and their equity issuances and discover that greater insider ownership leads to less equity issuances....

Persistent link: https://www.econbiz.de/10012481637

Information and Competition in U.S. Forest Service Timber Auctions

Athey, Susan - 1999

This paper studies the bidding behavior of firms in U.S. Forest Service timber auctions in 1976--1990. When conducting timber auctions, the Forest Service publicly announces its estimates of the tract characteristics before the auction, and each bidder additionally has an opportunity to inspect...

Persistent link: https://www.econbiz.de/10012471603

The Underreaction Hypothesis and the New Issue Puzzle : Evidence from Japan

Kang, Jun-Koo - 1996

This paper investigates the long-term performance of Japanese firms issuing convertible debt or equity. We find that these firms perform poorly even though the stock-price reaction to convertible debt and equity issue announcements is not significantly negative for Japanese firms and Japanese...

Persistent link: https://www.econbiz.de/10012473009

Underwriter Certification, Issuer-Underwriter Matching, and SEO Performance

Calomiris, Charles W. - 2019

The introduction of deal types for issues of seasoned equity in which the offer follows quickly after its announcement highlights the role of underwriter certification in the performance of SEOs. Controlling for the matching between underwriters and issuers, underwriter quality is positively...

Persistent link: https://www.econbiz.de/10012480288

The Effect of Dividends on Consumption

Baker, Malcolm - 2006

Classical models predict that the division of stock returns into dividends and capital appreciation does not affect investor consumption patterns, while mental accounting and other economic frictions predict that investors have a higher propensity to consume from stock returns in the form of...

Persistent link: https://www.econbiz.de/10012466380

Puzzles in the Forex Tokyo “Fixing” : Order Imbalances and Biased Pricing by Banks

Ito, Takatoshi - 2016

"Fixing" in the foreign exchange market is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail customers...

Persistent link: https://www.econbiz.de/10012455860

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk...

Persistent link: https://www.econbiz.de/10012458027

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

Ito, Takatoshi - 2012

Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....

Persistent link: https://www.econbiz.de/10012460119

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