Testing Asymmetric-Information Asset Pricing Models

By Bryan T. Kelly, Alexander P. Ljungqvist. 2011

565 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4b34465447bb312a37a3b6c88ab4d3608f2906cf

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Citations in the corpus

The Dark Side of Analyst Coverage: The Case of Innovation (2013, unknown): “The first experiment , brokerage closures , first adopted in Kelly and Ljungqvist ( 2011 , 2012 ) , relies on the fact that brokerage firms often respond to adverse changes in revenue generation from trading , market - making , and investment banking by closing their research operations .”
Analyst Initiations of Coverage and Stock Return Synchronicity (2012, unknown): “3 This methodology is similar in spirit to that in Kelly and Ljungqvist (2011) who examine drops in coverage caused by the closing of brokerage houses.”
Information Asymmetry, the Cost of Debt, and Credit Events: Evidence from Quasi-Random Analyst Disappearances (2016, background): “These analysts are important information intermediaries that affect financial and real outcomes.2 Some firms are even willing to explicitly pay for analyst coverage (Kirk (2011)).”
Executive Extraversion: Career and Firm Outcomes (2018, unknown): “14 Merton (1987) provides a theoretical framework for linking investor recognition to firm value. Several papers find empirical support for the Merton (1987) investor recognition hypothesis including Kadlec and McConnell (1994), Chen, Noronha, and Singal (2004), and Green and Jame (2013).”
Peer influence on payout policies (2018, background): “…firm's actions or outcomes affect its industry peers (see, e.g., Foster, 1981 and Baginski, 1987 for earnings; Firth, 1996, Howe and Shen, 1998 and Laux et al., 1998 for dividends; Eckbo (1983) for mergers; Lang and Stulz (1992) for bankruptcies; and Servaes and Tamayo (2014) for control threats).”
Do Analysts Matter for Governance? Evidence from Natural Experiments (2015, methodology): “The large effect of analyst coverage due to brokerage exit is consistent with Kelly and Ljungqvist (2012) who find that the cumulative abnormal returns average -112 basis points on the day of an exogenous exit.”