Annual Conference

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Investment Finance

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May 2015

A Market-Based Funding Liquidity Measure

Chen ZHUO, Andrea LU
We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margins, to control for their sensitivity to the aggregate funding shocks. Our measure of ...
Keywords: Funding liquidity, Leverage, Margin requirements
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Annual Conference

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Accounting

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May 2015

Accounting Measurement of Assets and Earnings and Market Valuation of Firm Assets

Ning ZHANG, Chen QI
In this paper we evaluate the quality of accounting reports for valuation purpose from a measurement error based perspective. This perspective views accounting assets and earnings noisy measurements of their underlying economic constructs, economic assets and economic income. We show that the useful...
Keywords: Accounting measurement, economic assets, economic income, accural accounting
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Are Shorts Equally Informed? A Global Perspective

Ekkehart BOEHMER, Zsuzsa. R. HUSZAR, Yanchu WANG, Xiaoyan ZHANG
Using a daily sample of 25 countries from 2006 to 2010, we examine whether information from shorts can significantly predict future stock returns across different countries. We construct seven shorting measures using past shorting transactions, and fees information in the lending market. The majorit...
Keywords: Pricing Efficiency, Short Selling, Costs of Short Selling, Short Sale Regulations
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Annual Conference

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Economic Transformation of Asia

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May 2015

Assessing Market Failures in Export Pioneering Activities: A Structural Estimation Approach

Shang-Jin WEI , Ziru WEI, Jianhuan XU
The paper provides a first structural-estimation-based assessment of an influential hypothesis that export pioneers are too few relative to social optimum due to knowledge spillover in new market explorations. Such market failure requires two inequalities to hold simultaneously: the discovery cost i...
Keywords: Market failures, Export Pioneering, Knowledge spillover
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2015

Behind the Scenes: The Corporate Governance Preferences of Institutional Investors

Laura STARKS, Joseph A. MCCAHERY, Zacharias SAUTNER
We survey institutional investors to better understand their role in the corporate governance of firms. Consistent with a number of theories we document widespread behind-the-scenes intervention as well as governance-motivated exit. Both governance mechanisms are viewed as complementary devices, in ...
Keywords: institutional investors, Corporate governance, shareholder activism
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