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Overconfidence and Early-life Experiences: The Impact of Managerial Traits on Corporate Financial Policies

Malmendier, Ulrike; Tate, Geoffrey; Yan, Jonathan - National Bureau of Economic Research (NBER) - 2010

We show that measurable managerial characteristics have significant explanatory power for corporate financing decisions beyond traditional capital-structure determinants. First, managers who believe that their firm is undervalued view external financing as overpriced, especially equity. Such...

Persistent link: https://www.econbiz.de/10008624578

Robust Benchmark Design

Duffie, Darrell; Dworczak, Piotr - National Bureau of Economic Research (NBER) - 2014

Recent scandals over the manipulation of LIBOR and foreign exchange benchmarks have spurred policy discussions of the appropriate design of financial benchmarks. We solve a version of the problem faced by a financial benchmark administrator. Acting as a mechanism designer, the benchmark...

Persistent link: https://www.econbiz.de/10010951190

Market Liquidity -- Theory and Empirical Evidence

Vayanos, Dimitri; Wang, Jiang - National Bureau of Economic Research (NBER) - 2012

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity...

Persistent link: https://www.econbiz.de/10010951230

Strategic Trading in Informationally Complex Environments

Ostrovsky, Michael; Lambert, Nicolas S.; Panov, Mikhail - National Bureau of Economic Research (NBER) - 2014

We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...

Persistent link: https://www.econbiz.de/10010951327

Decentralized Trading with Private Information

Golosov, Mikhail; Lorenzoni, Guido; Tsyvinski, Aleh - National Bureau of Economic Research (NBER) - 2009

The paper studies asset pricing in informationally decentralized markets. These markets have two key frictions: trading is decentralized (bilateral), and some agents have private information. We analyze how uninformed agents acquire information over time from their bilateral trades. In...

Persistent link: https://www.econbiz.de/10008627116

Do Security Analysts Speak in Two Tongues?

Malmendier, Ulrike; Shanthikumar, Devin - National Bureau of Economic Research (NBER) - 2007

Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue...

Persistent link: https://www.econbiz.de/10005778519

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - National Bureau of Economic Research (NBER) - 2012

general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price … impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate … 'stochastic bridge' process, which displays stochastic volatility. This is because insiders choose to optimally wait to trade more …

Persistent link: https://www.econbiz.de/10010581038

Private Information and Sunspots in Sequential Asset Markets

Benhabib, Jess; Wang, Pengfei - National Bureau of Economic Research (NBER) - 2014

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...

Persistent link: https://www.econbiz.de/10010759908

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...

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

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

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