The Short Sale Stigma

Despite a recent upturn, housing prices remain in flux in most cities nationwide. Lenders are still left dealing with a glut of distressed properties. They can choose to foreclose on the property or allow the owner/mortgagor to attempt to sell the property for less than the outstanding balance of the mortgage in a short sale agreement. The best way to clear the market of distressed properties is an important policy question. This is the first study to examine not only the price and time on market effect of being a short sale but also whether the short sale process itself creates a market stigma.     

南非的非吸收存款类放贷人法律制度

本文回顾了南非非吸收存款类放贷人以及消费信贷行业监管法律制度的演进过程,着重介绍了南非2005年《国家信贷法》、2006年《国家信贷规定》的立法背景和主要内容,指出我国应加快非吸收存款类放贷人的立法规范进程,积极促进信贷市场创新与发展,规范和引导民间借贷市场,形成金融机构+贷款零售商的新型信贷市场格局。     

Sovereign CDS Spreads,Volatility, and Liquidity: Evidence from 2010 German Short Sale Ban

The paper examines global impact of 2010 German short sale ban on sovereign credit default swap (CDS) spreads, volatility, and liquidity across 54 countries. We find that CDS spreads continue rising after the ban in the debt crisis region, which suggests that the short selling ban is incapable of suppressing soaring borrowing costs in these countries. However, we find that the ban helps stabilize the CDS market by reducing CDS volatility. The reduction in CDS volatility is greater in the eurozone than that in the non‐eurozone. Furthermore, we find that the CDS market liquidity has been impaired during the ban for the PIIGS (Portugal, Ireland, Italy, Greece, and Spain) countries. In contrast, there are no dramatic changes in the market liquidity for non‐PIIGS eurozone and non‐eurozone samples. The findings suggest that the short sale ban is ineffective to reduce sovereign borrowing costs in the debt crisis region if the underlying economy has not been significantly improved.     

Valuation Effects of Short Sale Constraints: the Case of Corporate Takeovers

We examine the relation between the degree of short sale constraints for acquiring firms' equity and post takeover stock performance. We find that negative long‐run abnormal returns appear to decline (in economic and statistical terms) as the extent and persistence of institutional block‐holder ownership increase, after accounting for the size, book‐to‐market and method of payment effects. In the spirit of Miller (1977) , such evidence implies that the degree of short sale constraints serves as an important determinant of acquiring firms' short‐run overpricing. It appears that the presence of concentrated institutional presence mitigates and in most cases eliminates, through effective arbitrage, any short‐run overpricing that may be responsible for the long‐run underperformance of acquirers, preserving in this way efficiency in the takeover markets.     

Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets

We examine how the September 2008 short sale restrictions and the accompanying confusion and regulatory uncertainty impacted equity option markets. We find that the short sale ban is associated with dramatically increased bid‐ask spreads for options on banned stocks. In addition, synthetic share prices for banned stocks become significantly lower than actual share prices during the ban. We find similar results for synthetic share prices of hard‐to‐borrow stocks, suggesting that the dislocation in actual and synthetic share prices is attributable to the increased hedging costs for options on banned stocks during the short sale ban.     

Contracting Sequentially with Multiple Lenders: The Role of Menus

We study a credit market in which multiple lenders sequentially offer financing to a single borrower under moral hazard. We show that restricting lenders to post single offers involves a loss of generality: none of the equilibrium outcomes arising in this scenario survives if lenders offer menus of contracts. This result challenges the approach followed in standard models of multiple lending. From a theoretical perspective, we offer new insights on equilibrium robustness in sequential common agency games.     

Distribution of Ownership,Short Sale Constraints,and Market Efficiency: Evidence from Cross‐Listed Stocks

We investigate the interplay between the distribution of ownership, short sale constraints, and market efficiency. Using minute‐by‐minute data during the period surrounding the short sale ban of 2008, we demonstrate that short sale restrictions cause price disparities among cross‐listed stocks when ownership in the stocks is distributed unevenly across the two markets. The stocks tend to trade at a premium in the market where long sellers are relatively scarcer, which reduces the speed at which prices adjust to bad news. The premium is driven primarily by an increase on the ask side of the market where ownership is thinner, is only evident when prices are moving down, and disappears quickly.     

升值压力下人民币汇率制度选择

尽管国际上要求人民币升值的呼声很高，我国政府仍声明继续坚持人民币汇率稳定这一正确的政策。但应看到我国的固定汇率制已暴露出许多弊端。我国人民币汇率形成机制存在缺陷，僵化的汇率制度制约了货币政策的独立性。在金融开放条件下，我国应实行以市场供求为基础的浮动汇率制，逐步推进人民币资本项目可兑换，加快利率市场化改革，改革结售汇制度，进一步完善人民币汇率形成机制。     

The Effect of Information Quality on Optimal Portfolio Choice

Three types of agents acting on different information sets are considered: fully informed agents, insiders, and outsiders. Differences in information quality are shown to affect the properties of their optimal portfolios. For an outsider, the share of wealth invested in the stock is decreasing in the variance of the stock. However, for an insider, the effect of an increasing stock variance on the optimal portfolio weight is ambiguous. In a calibration to U.S. data, the confidence intervals of the insider's demand for the stock converge, whereas the outsider's confidence intervals become wider.     

Negotiated Transfer Pricing, Specific Investment, and Optimal Capacity Choice

This paper investigatesinvestment decisions in a divisionalized firm, in which an upstreamdivision supplies an intermediate product to a downstream division.The upstream division's investment includes two simultaneousdecisions. First, the division determines its capacity level,and second, it invests in a firm specific production technologythat lowers the marginal cost of production. Both the capacityand the specificity decision must be made before the actual demandfor the intermediate product is observable. Since the terms ofinternal trade are negotiated between the divisions, the upstreamdivision faces the well-known holdup problem and thus has incentivesto underinvest. It turns out that a simple contract stipulatinga minimum quantity and a transfer price for excessive quantitiesis sufficient to induce the efficient capacity and specificitydecisions.     

Informed or speculative: Short selling analyst recommendations

Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to downgrades is not tantamount to determining that short sellers are trading on tips from analysts unless shorting is abnormally low prior to upgrades. This paper revisits this issue. While we observe abnormal shorting prior to downgrades, we also find markedly higher shorting prior to upgrades. In fact, the short-selling patterns surrounding both downgrades and upgrades are remarkably symmetric indicating that short sellers during the pre-recommendation period are not unusually informed about the direction of upcoming recommendation changes. If anything, our findings indicate that short selling prior to analyst recommendations is more likely speculative than informed.     

Corporate Restructuring in Response to Performance Decline: Impact of Ownership, Governance and Lenders

Firms in performance decline may choose a variety of restructuringstrategies for recovery with conflicting welfare implicationsfor different stakeholders such as shareholders, lenders andmanagers. Choice of recovery strategies is therefore determinedby the complex interplay of ownership structure, corporate governanceand lender monitoring of such firms. For a sample of 297 U.K.firms experiencing relative stock return decline during 1987–93,we examine the impact of these factors as well as other controlfactors on their turnaround strategies. Strategy choices duringthe decline year and two post-decline years are modelled withlogit regressions. Our results show that turnaround strategychoices are significantly influenced by both agency and controlvariables. While there is agreement among stakeholders on certainstrategies there is also evidence of conflict of interests amongthem. Thereis further evidence of shifting coalitions of stakeholdersfor or against certain strategies.     

Optimal unemployment insurance design: Time limits, monitoring, or workfare?

This paper analyses crucial design features of unemployment insurance (UI) policies. We examine three different means of improving the efficiency of UI: the duration of benefit payments, monitoring in conjunction with sanctions, and workfare. To that end we develop a quantitative model of equilibrium unemployment. The model features worker heterogeneity in preferences for leisure. The analysis suggests that a system with monitoring and sanctions restores search incentives most effectively, since it brings additional incentives to search actively so as to avoid the sanction. Therefore, the UI provider can offer a more generous UI replacement rate in a system with monitoring and sanctions than in the other two systems. Workfare appears to be inferior to the other two systems. JEL Code J64 · J65 · J68     

Corporate Restructuring in Response to Performance Decline: Impact of Ownership, Governance and Lenders

Firms in performance decline may choose a variety ofrestructuring strategies for recovery with conflicting welfareimplications for different stakeholders such as shareholders,lenders and managers. Choice of recovery strategies is thereforedetermined by the complex interplay of ownership structure,corporate governance and lender monitoring of such firms. For asample of 297 U.K. firms experiencing relative stock return declineduring 1987–93, we examine the impact of these factors as wellas other control factors on their turnaround strategies. Strategychoices during the decline year and two post-decline years aremodelled with logit regressions. Our results show that turnaroundstrategy choices are significantly influenced by both agency andcontrol variables. While there is agreement among stakeholderson certain strategies there is also evidence of conflict ofinterests among them. There is further evidence of shiftingcoalitions of stakeholders for or against certain strategies.     

The Monitoring Incentive of Transactional and Relationship Lenders: Evidence from the Syndicated Loan Market

We identify a group of lenders specializing in syndicating tradable loans (referred to as transactional lenders [TLs]). We show that borrowers borrowing from TLs experience worse operating performance and more severe credit quality deterioration after loan origination compared to those borrowing from relationship lenders. This difference in the postloan issue performance remains robust after controlling for the potential self‐selection of the lender type, or using percentage of traded loans out of all syndicated loans to capture lenders’ propensity for syndicating tradable loans. Our results also remains qualitatively the same after we drop various types of risky loans.     

Competing Risks of Mortgage Termination: Who Refinances,Who Moves,and Who Defaults?

The Journal of Real Estate Finance and Economics - Why, when, and who terminates their mortgages? The primary reasons for mortgage termination are refinancing, selling of the property, and default....     

放松卖空管制与公司现金价值——基于中国资本市场的准自然实验

中国资本市场于2010年3月31日正式放开卖空管制,投资者可以对特定的股票进行卖空。放松卖空管制后,大股东如果继续侵占公司利益,投资者可通过卖空公司股票对大股东进行制衡。当卖空导致的股价下跌损失大于大股东侵占现金的收益时,现金资产被侵占的可能性降低,现金价值会有所提升。本文采用2007-2014年的中国上市公司为样本,借助放松卖空管制这一外生事件检验了这一问题,研究发现,放松卖空管制提高了公司的现金价值,并且这一影响主要体现在第一大股东持股比例较高的民营企业样本。     

粮食购销市场化与信贷政策取向

我国现行粮食流通体制存在的问题及粮食市场化改革给农发行经营和信贷管理带来一定的影响。在我国粮食流通体制转型期内,农业发展银行要履行好现阶段职能,充分运用信贷手段和自身优势,在维护国家粮食安全和农民利益方面起信贷保证作用;在粮食市场化改革方面发挥引导促进作用;进一步强化信贷监管,有效防范信贷风险;在信用咨询和信息服务方面积极创新金融服务品种,努力构筑粮食流通领域的诚信机制,营造银企良性互动格局。