Where is the Market? Evidence from Cross-Listings in the U.S.

We explore two main questions. First, can two markets for a company’s shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases U.S. trading is a significant fraction of total volume, and tends to be larger for companies based in countries that are geographically close, with low financial development and poor anti-insider trading protection. Moreover, the relative size of the U.S. market is larger if the company is small, volatile and high-tech. Second, we ask whether developing an active foreign market entails lower domestic trading activity. We find that for firms based in developed markets, the domestic turnover rate increases in the wake of cross-listing and remains permanently higher. In contrast, emerging market firms tend to experience a decrease in domestic trading activity.trading volume, cross-listing, flow-back

The Politics of Related Lending

This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.We analyze the profitability of government-owned banks’ lending to their owners, using a unique data set of relatively homogeneous government-owned banks; the banks are all owned by similarly structured local governments in a single country. Making use of a natural experiment that altered the regulatory and competitive environment, we find evidence that such lending was used to transfer revenues from the banks to the governments. Some of the evidence is particularly pronounced in localities where the incumbent politicians face significant competition for reelection.Peer Reviewe

The Persistence of Fee Dispersion among Mutual Funds

Previous work shows large differences in fees for S&P 500 index funds and other funds, and suggests that investors suffer wealth losses investing in high-fee funds when similar low-fee funds are available. In contrast, the neoclassical model of mutual funds (Berk and van Binsbergen, 2015) argues that percentage fees are irrelevant, as fund size will adjust in equilibrium such that net alphas are equal to zero. We show that fees matter from an investor perspective. We document (a) a strong negative association between net-of-fee fund performance and fees in a sample of all US and international equity funds, (b) economically large, robust, persistent, and pervasive fee dispersion in the mutual fund industry, and (c) important economic effects for investors. During the sample period, the mutual fund industry has generated a total value lost (i.e., a negative net value added) of 125 billion USD, coming predominantly from high-fee funds

Predictive regressions with time-varying coefficients

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Aggregate jump and volatility risk in the cross-section of stock returns

peer reviewe

How did COVID-19 affect firms’ access to public capital markets?

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Leverage dynamics over the business cycle

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