本期主要包括來自Journal of Financial and Quantitative Analysis的論文
1.An Empirical Analysis of Market Segmentation on U.S. Equity Markets
Journal of Financial and Quantitative Analysis
Volume 52, Issue 3, June 2017, pp. 2399-2427
Frank Hatheway
Nasdaq
Amy Kwan
University of Sydney
Hui Zheng
University of Sydney
Abstract
We examine the impact of trading on markets partially exempt from National Market System requirements (「dark venues」) on equity-market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information risk, which results in their transactions being less informed and contributing less to price discovery on the consolidated market. Except for the execution of large transactions and trading in small stocks, the effects of dark-venue order segmentation are damaging to overall market quality. Our results have important implications for the regulation of international equity markets.
連結地址：
https://doi.org/10.1017/S0022109017000849
2.Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections
Journal of Financial and Quantitative Analysis
Volume 52, Issue 3, June 2017, pp. 2523-2564
Gönül Çolak
Hanken School of Economics
Art Durnev
University of Iowa
Yiming Qian
University of Iowa
Abstract
We analyze initial public offering (IPO) activity under political uncertainty surrounding gubernatorial elections in the United States. There are fewer IPOs originating from a state when it is scheduled to have an election. To establish identification, we develop a neighboring-states method that uses bordering states without elections as a control group. The dampening effect of elections on IPO activity is stronger for firms with more concentrated businesses in their home states, firms that are more dependent on government contracts (particularly state contracts), and harder-to-value firms. This dampening effect is related to lower IPO offer prices (hence, higher costs of capital) during election years.
連結地址:
https://doi.org/10.1017/S0022109017000862
3.What Explains the Difference in Leverage between Banks and Nonbanks?
Journal of Financial and Quantitative Analysis
Volume 52, Issue 3, June 2017, pp. 2677-2702
Tobias Berg
Frankfurt School of Finance and Management
Jasmin Gider
University of Bonn
Abstract
Banks have much more leverage than nonbanks. In this article, we use a joint sample of banks and nonbanks between 1965 and 2013 to analyze the determinants of this leverage difference. We find that a single factor, asset risk, is able to explain up to 90% of this difference. Banks』 assets consist of a diversified portfolio of nonbank debt. Therefore, banks have much lower asset risk than do nonbanks. Because asset risk is a major determinant of capital structure choice, this factor is able to explain a large fraction of the difference between bank and nonbank leverage.
連結地址:
https://doi.org/10.1017/S0022109017000734
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