This paper examines the relation between bank funding structure and lending to firms during periods of liquidity shocks. We analyze this relation by using quarterly loan panel data of all commercial banks in Korea, as well as their borrowing firms. We find that when liquidity shocks are severe,...

We examine how profitability of long–short arbitrage strategies based on anomalies is affected after adjustment for two shorting costs: implicit cost due to unavailability of stocks in the short-leg to sell short and loan fee actually paid to stock lenders. The combined shorting cost amounts...

This paper examines cross-sectional relations between ex ante expected returns and betas. As a proxy for ex ante expected returns, we use implied returns obtained from the risk-adjusted option pricing model suggested in this paper. We find that implied returns have a positive and significant...

This paper examines the effect of commercial bank entry on underwriting spreads for IPOs, SEOs, and debt issues using a long time series that spans 30 years, from 1975 to 2004. We find that, on average, commercial banks charge lower spreads of approximately 72 basis points for IPOs, 43 basis...

This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and the earnings-price ratio for average stock returns, correcting two currently controversial biases: selection bias in COMPUSTAT and the errors-in-variables (EIV) bias. After filling in the missing data on...

This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and earnings-price ratio to average stock returns with correcting two currently controversial biases: the selection bias in COMPUSTAT and the errors-in-variables (EIV) problem. The selection bias is corrected...

Recent research has documented the failure of market beta to capture the cross-section of expected returns within the context of a two-pass estimation methodology. However, the two-pass methodology suffers from the errors-in-variables (EIV) problem that could attenuate the apparent significance...