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The Twilight Zone: OTC Regulatory Regimes and Market Quality

Leuz, Christian; Brüggemann, Ulf; Kaul, Aditya; … - National Bureau of Economic Research (NBER) - 2013

We analyze a comprehensive sample of more than 10,000 U.S. stocks in the OTC market. As little is known about this … market, we first characterize OTC firms by trading venue and provide evidence on survival, success, frequency of venue … changes, reporting status, and trading activity. A large number of new firms appear on the OTC market each year. With few …

Persistent link: https://www.econbiz.de/10010969441

Valuing Thinly-Traded Assets

Longstaff, Francis A. - National Bureau of Economic Research (NBER) - 2014

We model illiquidity as a restriction on the stopping rules investors can follow in selling assets, and apply this framework to the valuation of thinly-traded investments. We find that discounts for illiquidity can be surprisingly large, approaching 30 to 50 percent in some cases. Immediacy...

Persistent link: https://www.econbiz.de/10010951368

Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending

Voth, Hans-Joachim; Koudijs, Peter - National Bureau of Economic Research (NBER) - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...

Persistent link: https://www.econbiz.de/10010951446

How Firms Use Domestic and International Corporate Bond Markets

Levine, Ross; Schmukler, Sergio; Gozzi, Juan Carlos; … - National Bureau of Economic Research (NBER) - 2012

This paper provides the first comprehensive documentation of the main features of corporate bond issues in domestic and international markets and analyzes how firms use these markets after they internationalize. We find that debt issues in domestic and international bond markets have different...

Persistent link: https://www.econbiz.de/10009421976

The Role of Mortgage Brokers in the Subprime Crisis

Hollifield, Burton; Berndt, Antje; Sandås, Patrik - National Bureau of Economic Research (NBER) - 2010

Prior to the subprime crisis, mortgage brokers originated about 65% of all subprime mortgages. Yet little is known about their behavior during the runup to the crisis. Using data from New Century Financial Corporation, we find that brokers earned an average revenue of $5,300 per funded loan. We...

Persistent link: https://www.econbiz.de/10008601693

Rollover Risk and Market Freezes

Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju - National Bureau of Economic Research (NBER) - 2010

The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...

Persistent link: https://www.econbiz.de/10008601707

Is IPO Underperformance a Peso Problem?

Ang, Andrew; Gu, Li; Hochberg, Yael V. - National Bureau of Economic Research (NBER) - 2006

Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or %u201CPeso%u201D problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance...

Persistent link: https://www.econbiz.de/10005040621

Impossible Frontiers

Lo, Andrew W.; Brennan, Thomas J. - National Bureau of Economic Research (NBER) - 2008

A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in which each asset's weight is proportional to its total market capitalization---lies on the mean-variance efficient frontier, the set of portfolios having mean-variance...

Persistent link: https://www.econbiz.de/10005710882

Financially Constrained Stock Returns

Zhang, Lu; Livdan, Dmitry; Sapriza, Horacio - National Bureau of Economic Research (NBER) - 2006

More financially constrained firms are riskier and earn higher expected returns than less financially constrained firms, although this effect can be subsumed by size and book-to-market. Further, because the stochastic discount factor makes capital investment more procyclical, financial...

Persistent link: https://www.econbiz.de/10005714534

Pseudo Market Timing and Predictive Regressions

Baker, Malcolm; Wurgler, Jeffrey; Taliaferro, Ryan - National Bureau of Economic Research (NBER) - 2004

A number of studies claim that aggregate managerial decision variables, such as aggregate equity issuance, have power to predict stock or bond market returns. Recent research argues that these results may be driven by an aggregate time-series version of Schultz's (2003) pseudo market timing...

Persistent link: https://www.econbiz.de/10005718099

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