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Author: Yuqi Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
My dissertation consists of three chapters that examine how information production by financial intermediaries impacts on the capital market.My first chapter investigates whether extreme but rare events, i.e., major climatic disasters, influence the productivity of professional financial analysts, whose output is highly crucial in the capital market. We use 21 major natural disasters in the U.S. and find that disaster-zone analysts reduce their forecast accuracy by reiterating their previous forecast within 3 months after disasters. This effect is driven by distracted attention, rather than resource constraints. Though the effect is short term, we reveal a spillover negative impact from climatic disasters to information environment of firms which do not experience disasters, via the channel of disaster-zone analysts, highlighting the importance of the financial intermediary and also the economic consequences of severe climate events. My second chapter is motivated by the increasing global expansion by U.S. firms in recent decades and examines how geographic distribution of U.S. firms' offshore network affects the coverage incentive of non-U.S. analysts. We combine analyst country location database and the novel dataset of offshore activities by Hoberg and Moon (2017) who quantify a U.S. firm's local exposure in a foreign country and we discover that foreign analysts, are more likely to initiate coverage of U.S. firms with offshore activities in their domiciled countries and provide more accurate forecasts compared to non-domiciled foreign analysts. This study uncovers an important channel, i.e., offshore network, through which non-U.S. analysts can contributes to U.S. market with information advantage. In my third chapter, I study an emerging group of equity analysts, i.e., social media analysts, who post equity research on social media platforms and share investment opinions. I employ initial public offering (IPO) as a laboratory setting because during pre-IPO period, a period with high information asymmetry, professional sell-side analysts are restricted to issue reports under the restriction enforced by SEC, which provides a great setting to study the informational role of this group. I exploit research articles on Seeking Alpha website and find that pre-IPO social media analyst coverage has a positive impact on first day initial return, with the effect driven by heightened retail investor attention. This study highlights the role of social media analysts, as a new information intermediary in the capital market during the internet era.
Author: Yuqi Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
My dissertation consists of three chapters that examine how information production by financial intermediaries impacts on the capital market.My first chapter investigates whether extreme but rare events, i.e., major climatic disasters, influence the productivity of professional financial analysts, whose output is highly crucial in the capital market. We use 21 major natural disasters in the U.S. and find that disaster-zone analysts reduce their forecast accuracy by reiterating their previous forecast within 3 months after disasters. This effect is driven by distracted attention, rather than resource constraints. Though the effect is short term, we reveal a spillover negative impact from climatic disasters to information environment of firms which do not experience disasters, via the channel of disaster-zone analysts, highlighting the importance of the financial intermediary and also the economic consequences of severe climate events. My second chapter is motivated by the increasing global expansion by U.S. firms in recent decades and examines how geographic distribution of U.S. firms' offshore network affects the coverage incentive of non-U.S. analysts. We combine analyst country location database and the novel dataset of offshore activities by Hoberg and Moon (2017) who quantify a U.S. firm's local exposure in a foreign country and we discover that foreign analysts, are more likely to initiate coverage of U.S. firms with offshore activities in their domiciled countries and provide more accurate forecasts compared to non-domiciled foreign analysts. This study uncovers an important channel, i.e., offshore network, through which non-U.S. analysts can contributes to U.S. market with information advantage. In my third chapter, I study an emerging group of equity analysts, i.e., social media analysts, who post equity research on social media platforms and share investment opinions. I employ initial public offering (IPO) as a laboratory setting because during pre-IPO period, a period with high information asymmetry, professional sell-side analysts are restricted to issue reports under the restriction enforced by SEC, which provides a great setting to study the informational role of this group. I exploit research articles on Seeking Alpha website and find that pre-IPO social media analyst coverage has a positive impact on first day initial return, with the effect driven by heightened retail investor attention. This study highlights the role of social media analysts, as a new information intermediary in the capital market during the internet era.
Author: Xian Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 149
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Book Description
Author: Aslı Demirgüç-Kunt
Publisher: World Bank Publications
ISBN:
Category : Capital market
Languages : en
Pages : 39
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Book Description
The relationship between the development of stock markets and the functioning of financial intermediaries may be complementary.
Author: Paula Andrea Beltran Saavedra
Publisher:
ISBN:
Category :
Languages : en
Pages : 205
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Book Description
This dissertation consists of three chapters on financial intermediation and international finance that contribute to our understanding and identification of the transmission of aggregate shocks in imperfect financial markets. The first chapter studies the effect of an aggregate funding supply shock in a lending network in times of distress in a quantitative framework for the money market funds industry in the U.S. The second chapter identifies the effect of cross-border banking flows on macroeconomic and financial outcomes for emerging economies. The third chapter studies the identification of the impact of foreign exchange interventions under a limited risk-bearing capacity of financial intermediaries. The first chapter studies the implications of network frictions for the allocative efficiency of funding provision of the U.S. Money Markets Funds Industry. I build a tractable model of financial intermediation that features an incomplete network of counterparties and bilateral bargaining within a network. I use the quantitative model to assess the effect of a large supply shock of funding in the money market funds industry. I provide an identification framework to estimate the model's parameters and discipline the model using portfolio data of the money market funds industry. I assess a counterfactual taking as primitives the drop in assets under management at the onset of the COVID-19 pandemic and show that the model can account for price dispersion and funding allocation observed in the data. The second chapter assesses the effect of capital flows in emerging countries. We focus on the impact of cross-border banking flows and leverage the size distribution at the bilateral level to construct an instrument for capital inflows. We build a granular instrumental variable to identify the effects on macroeconomic and financial conditions for 22 emerging countries. Cross-border bank credit causes higher domestic activity in EMEs and looser financial conditions. We also show that the effect is heterogeneous across different levels of capital inflow controls. The third chapter studies the effects of foreign exchange intervention. We estimate the causal effect of foreign exchange intervention. Theoretically, the impact of foreign exchange intervention depends on the imperfect asset substitution that relates to the limited risk-bearing capacity of financial intermediaries. To identify the risk-bearing capacity, we use the variation from information free flows of passive investors around rebalancing dates. These flows are plausibly exogenous with respect to domestic conditions and act as a shock to the risk held by financial intermediaries. We show that information-free flows have effects on UIP and CIP deviations. Our preliminary estimates show that the required foreign exchange intervention to achieve a 10% foreign exchange depreciation in one week is between $0.02-$5.06 billion dollars.
Author: Javed Ahmed
Publisher:
ISBN:
Category :
Languages : en
Pages : 178
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Book Description
In this dissertation, I analyze behavior of two types of financial intermediaries that play critical roles in capital allocation: ratings agencies and merger advisors. Each type of intermediary survives due to (assumed) informational advantages relative to firms and investors. In the following chapters, I analyze how differences in information between market participants and intermediaries lead to signaling behavior related to privately-observed quality. My results explain some seemingly-anomalous aspects of financial markets, and provide a framework for assessing the impact intermediaries can have on efficient capital allocation. In the first chapter, I examine whether rating agencies strategically manipulate the informativeness of bond ratings in response to competition from private lenders. I model a monopolistic rating agency that caters to a low-quality marginal customer with uninformative ratings. High-quality customers prefer informative ratings but are captive customers of the rating agency in the absence of competition from private lenders. With competition from private lenders, the rating agency uses informative ratings to keep high-quality customers in public markets. The model also suggests that the ratings sector dampens the impact of capital supply shocks, and offers a strategic pricing rationale for the controversial practice of issuing unsolicited credit ratings. In the second chapter, I test predictions of the model using a measure of informativeness based on the impact of unexpected ratings on a debt issuer's borrowing cost. I analyze two events that increased the relative supply of private vs.\ public lending: the temporary shutdown of the high-yield market in 1989 and legislation in 1994 that reduced barriers to interstate bank lending. After each event, I find that the informativeness of ratings increased for issuers whose relative supply of private vs.\ public capital increased most. In the third chapter, I analyze how acquiring firms select and pay advisors. I present a model in which an advisor with privately known quality screens targets (due diligence) and improves negotiation outcomes (bidding). When a transaction involves only bidding, advisors pool by offering fees contingent on a completed transaction. By contrast, a transaction involving due diligence can lead to a separating equilibrium and fixed fees. The model predicts that acquirers use advisor market share instead of stock return-based measures to select advisors when synergies are not observable, and that acquirers with better information about advisor quality pay higher fees. I argue that investors in leveraged buyouts are skilled in acquisitions, and find that they pay higher fees for both mergers and tender offers, controlling for assignment and deal characteristics. They are also less likely to include contingent fees than other acquirers. Results suggest skilled investors use private information about advisor ability to hire advisors, and do so primarily to screen targets rather than to improve negotiation outcomes.
Author: Colin Mayer
Publisher: Cambridge University Press
ISBN: 9780521443975
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Financial intermediation is currently a subject of active academic research on both sides of the Atlantic. European financial integration raises major policy issues about the risks of banking competition and the appropriate regulation of banks and other financial intermediaries. The choice of Anglo-American vis-à-vis Continental European forms of financial markets is also central to Eastern Europe's transformation. This volume contains theoretical papers at the forefront of academic research that shed light on banking and security markets and banking competition.
Author: Ryan D. Flugum
Publisher:
ISBN:
Category :
Languages : en
Pages : 143
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Book Description
This dissertation consists of three essays regarding the value of various financial intermediaries in capital markets. In the first essay, we examine the value of hedge fund activists, conditional on a firm’s existing monitoring presence. Traditional corporate governance theory designates analysts and institutional investors as the primary external monitors of the firm, and therefore, hedge fund activists are more likely to add value when these forces are inadequate. Consistent with this hypothesis, in the two years following the arrival of a hedge fund activist, we find the greatest abnormal returns and changes in fundamentals to be taking place in low-monitored firms. In the second essay, we determine the impact that hedge fund activism has on the quality of analyst content and analyst ability. We find a preponderance of recommendations that move to or are reinstated at the Hold level following the arrival of a hedge fund activist. Furthermore, the predictive content of analyst recommendations and their ability to accurately forecast earnings is diminished in the presence of a hedge fund activist. Overall, the quality of the important functions of an analyst is reduced by the arrival of a hedge fund activist, questioning the degree of social good that Jensen and Meckling (1976) argue security analysts provide. In the third essay, I examine the profitability of analysts’ consensus recommendation level, conditional on a firm’s synchronicity. Roll (1988), and many others, conclude that low r-squared from standard factor models, sometimes called low synchronicity, coincides with a more efficient incorporation of firm-specific information into stock prices. Under this view, analyst recommendations issued to firms with low synchronicity should be more profitable, primarily because analysts disseminate firm-specific information. I find the consensus recommendation level of analysts to be more profitable for low synchronicity firms. Moreover, this enhanced profitability is present primarily in good economic times and only in the post Regulation Fair Disclosure time period.
Author: Stanley L. Engerman
Publisher: Cambridge University Press
ISBN: 1139438476
Category : Business & Economics
Languages : en
Pages : 362
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Book Description
This volume includes ten essays dealing with financial and other forms of economic intermediation in Europe, Canada, and the United States since the seventeenth century. Each relates the development of institutions to economic change and describes their evolution over time, as well as discussing several different forms of intermediation, and deals with significant economic and historical issues.
Author: Asl? Demirgüç-Kunt
Publisher: World Bank Publications
ISBN:
Category : Financial institutions
Languages : en
Pages : 64
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Book Description
Author: Jeremy Atack
Publisher: Cambridge University Press
ISBN: 1139477048
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
Collectively, mankind has never had it so good despite periodic economic crises of which the current sub-prime crisis is merely the latest example. Much of this success is attributable to the increasing efficiency of the world's financial institutions as finance has proved to be one of the most important causal factors in economic performance. In a series of insightful essays, financial and economic historians examine how financial innovations from the seventeenth century to the present have continually challenged established institutional arrangements, forcing change and adaptation by governments, financial intermediaries, and financial markets. Where these have been successful, wealth creation and growth have followed. When they failed, growth slowed and sometimes economic decline has followed. These essays illustrate the difficulties of co-ordinating financial innovations in order to sustain their benefits for the wider economy, a theme that will be of interest to policy makers as well as economic historians.
