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51 records from EconBiz based on author Name
1. Retail derivatives and sentiment : a sentiment measure constructed from issuances of retail structured equity products
Henderson, Brian J.; Pearson, Neil D.; Wang, Li;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
2. World Markets for Raising New Capital
abstractFinancial markets are increasingly integrated globally. We examine the extent to which firms from different countries rely on alternative sources of capital, the locations where they raise capital, and the factors that affect these choices. During the 1990-2001 period, firms raised about $25.9 trillion of new capital, including $4.7 trillion from abroad. International debt issuances are substantially more common than equity, accounting for over 90% of the international security issues, and about 20% of all public debt issues. In contrast, international equity issues account for about 4.4% of all international security issues, and about 6% of all equity issues during our sample period. Market timing considerations appear to be very important in security issuance decisions. Firms all around the world are more likely to issue equity prior to periods of low market returns. Most of the cross-border equity is issued in the U.S. and the U.K., and these issues tend to occur in 'hot' markets and prior to relatively low market returns. Finally, firms issue more debt when interest rates are lower, and issue debt overseas when interest rates in the place of issue are lower than they are at home
Henderson, Brian J.; Jegadeesh, Narasimhan; Weisbach, Michael S.;2022
Availability: Link
3. Retail Derivatives and Sentiment : A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products
abstractWe use retail Structured Equity Product (SEP) issuances to construct a new sentiment measure for individual stocks. The SEP sentiment measure predicts negative abnormal returns on the SEPs' reference stocks based on a variety of benchmarks including behavioral factor models and factors based on idiosyncratic volatility, short interest, and the 52-week high effect. Consistent with our interpretation that SEP issuances reflect investor sentiment, aggregate SEP issuances are highly correlated with the Baker-Wurgler sentiment index. Tobit regressions reveal that proxies for attention and sentiment predict demand for SEPs, providing additional evidence consistent with the hypothesis that SEP issuances reflect sentiment
Henderson, Brian J.; Pearson, Neil D.; Wang, Li;2020
Availability: Link Link
Citations: 4 (based on OpenCitations)
4. Pre-trade hedging : Evidence from the issuance of retail structured products
Henderson, Brian J.; Pearson, Neil D.; Wang, Li;2020
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 13 (based on OpenCitations)
5. Stock Loan Fees, Private Information, and Smart Lending
abstractDecomposing lending fees into predicted (fair) and residual (premium or discount) fees reveals overpricing among a third of hard-to-borrow stocks: those for which borrowers pay a premium. Despite paying the highest fees, they are the only profitable shorters. Their net annualized profits of 5% reveal informed shorting. We also document smart lending. Lenders appear attuned to lending-market conditions, discounting fees on stocks with elastic shorting demand, thereby increasing revenues. Stocks with the most discounted fees attract the highest short interest, yet are predominantly easy-to-borrow. Their short sellers do not generate net shorting profits or appear motivated by private information
Henderson, Brian J.; Jostova, Gergana; Philipov, Alexander;2019
Availability: Link Link
6. Response to 'Order Flows and Financial Investor Impacts in Commodity Futures Markets'
abstractFinancial institutions that issue commodity-linked notes hedge their liabilities by buying commodity futures. Henderson, Pearson and Wang (2015) show that these futures trades impact commodity futures prices and interpret this as evidence that uninformed financial flows into the commodity markets impact commodity prices. Ready and Ready (2019) criticize the analysis and conclusions in Henderson, Pearson and Wang (2015) and instead conclude that there is no evidence that the uninformed financial flows of CLN hedging trades impact commodity prices. This note explains why the analysis, criticisms, and conclusions in Ready and Ready (2019) are incorrect
Henderson, Brian J.; Pearson, Neil D.; Wang, Li;2019
Availability: Link Link
Citations: 1 (based on OpenCitations)
7. Pre-Trade Hedging : Evidence from the Issuance of Retail Structured Products
abstractWe find evidence consistent with previously unrecognized market manipulation by broker-dealers. Specifically, we show that pre-trade hedging, which is distinct from front-running, alters prices at which derivative trades occur. We document that this behavior is intentional by exploiting variation in the design of structured equity products (SEPs). We find positive abnormal returns on the SEP pricing dates for which the issuer benefits from altering closing stock prices, but no such returns on pricing dates of otherwise similar SEPs. We also show large-buy trades near close of trading are more frequent when SEP issuers have incentives to alter closing stock prices
Henderson, Brian J.; Pearson, Neil D.; Wang, Li;2019
Availability: Link Link
Citations: 2 (based on OpenCitations)
8. Bond Lending and Bond Returns
abstractExisting literature nds that proxies for short-sale constraints do not predict bond returns.Using more comprehensive data over a longer sample period and rating and maturity-matchedbenchmarks we nd that utilization, which proxies for short-sale constraints, predicts negativereturns. Many lending fees are negative or low, suggesting many bond loans are fi nancingtransactions. The bonds with both high lending fees and high utilization, for which lending islikely associated with short sales and constraints are likely to be binding, display large negativeexcess returns. These results are robust to controlling for bond characteristics and informationfrom the equity lending market
Anderson, Mike; Henderson, Brian J.; Pearson, Neil D.;2018
Availability: Link Link
Citations: 4 (based on OpenCitations)
9. Do Municipal Bond Markups Reflect Accounting Quality?
abstractWe examine whether accounting measures of information uncertainty – specifically, the presence of internal control problems – impact municipal bond markups. Markups are the differences between the prices paid by investors and those stipulated in the underwriting agreement, and are a source of compensation to bond dealers. Markups are controversial in part because they are not transparent and individual investors comprise a large portion of the investor base. Primary findings suggest that municipal bonds issued by entities with a material weakness in internal controls exhibit larger markups. Findings are magnified under circumstances of greater information asymmetry between issuers and investors, such as for revenue bond issuances, delayed release of financial information, and retail investor trades. Moreover, bonds issued by entities with material weaknesses remain in dealer inventory significantly longer before eventual sale to investors. Our evidence is consistent with markups reflecting compensation to underwriters for the additional risk and effort involved in placing bonds issued by entities with serious accounting problems
Gore, Angela K.; Henderson, Brian J.; Ji, Yuan;2016
Availability: Link Link
Citations: 2 (based on OpenCitations)
10. The VIX futures basis : determinants and implications
Buetow, Gerald W.; Henderson, Brian J.;2016
Type: Aufsatz in Zeitschrift; Article in journal;
