In this paper we develop a CAPM-based model which incorporate liquidity costs. This model implies, that for markets with nontrivial liquidity costs, the measure of systematic risk is based on returns net of bid-ask spread. Another implications of our CAPM-based model is that the relationship...

We investigate the relationship between corporate loan spreads and maturity to test whether lenders are compensated for longer maturity loans (tradeoff hypothesis) or limit their exposure by forcing riskier borrowers to take short-term loans (creditquality hypothesis). Earlier studies reject the...

This paper uses a proprietary database of asset-backed securities (ABS) to make two contributions to the literature: A detailed descriptive analysis of the ABS market and an investigation of the factors that influence underwriting fees in the ABS market. Using methodology similar to that used in...

To our knowledge, this is the first paper to examine the informational efficiency of the equity market as compared to the syndicated bank loan market. The loan market is a private market comprised of financial institutions with access to private information. We test whether this isreflected in...

Market liquidity is impacted by the presence of financial intermediaries that are informed and active participants in both the equity and the syndicated bank loan markets, specifically informationally advantaged lead arrangers of syndicated bank loans that simultaneously act as equity market...

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis a vis the equity markets, and...

This paper utilizes a new data set from AllianceBernstein that, unlike other corporate governance data, has monthly-updated firm-level governance ratings for 21 emerging markets countries for almost a five year period. With these unique data, we examine how changes in corporate governance...

This paper utilizes a new data set from AllianceBernstein that, unlike other corporate governance data, has country-level and monthly-updated firm-level governance ratings for 22 emerging markets countries for almost a five year period. With these data we examine the relationship of firm-level...

In this paper we test if a mutual fund's own corporate culture predicts fund performance. To do this we use Morningstar's corporate culture ratings for mutual funds and then examine the ability of these corporate culture ratings to predict risk-adjusted performance of domestic equity funds over...