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題名 Two essays of the market friction effects on asset prices: evidence from syndicated loan and futures markets
作者 吳偉劭
Wu, Wei-Shao
貢獻者 張元晨
Chang, Yuanchen
吳偉劭
Wu, Wei-Shao
關鍵詞 syndicated loans
informational cascade
all-in-drawn spread
non-price contract terms
lead-lag relationship
information content
foreign institutional traders
日期 2011
上傳時間 30-Oct-2012 10:14:03 (UTC+8)
摘要 Two essays are comprised in this dissertation to explore how market friction affects the processes of price formation. The first essay investigates on both theoretical and empirical bases how segmentation of communication amongst potential lenders can influence loan contracts. Two cases are considered. The first one assumes that potential lenders can freely communicate with each other; the second one assumes that each potential lender can only observe the decisions of its predecessors. I show theoretically that the ex post observed interest rate will be higher and the probability of syndication failure will be lower if the potential lenders cannot communicate freely with each other. These predictions are confirmed by my empirical work. Using a novel proxy, relational distance, for the segmentation of communication, I show that the larger the relational distance, the higher is the loan spread and the lower is the probability of syndication failure. In addition, the relational distance is positively correlated with the probability of the existence of non-price contract terms, such as the requirement for collateral and guarantees. My conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.
The second essay focuses on the informational effects between futures market and its spot market. Intraday data are used to investigate the lead-lag relationship between the TX returns, the TX trading activity and the TAIEX stock index returns. I focus on the transmission direction and the source of information and find that there are specific lead-lag relationships between futures returns and spot returns, in addition to the contemporaneous relationship predicted by carry-cost theory and efficient market theory. The results show that futures returns significantly lead spot returns, which suggests that informed trades occur in the futures market and makes information flows from the futures market to the spot market. By distinguishing different types of futures traders and using private information, net open buy, as a proxy for futures trading activity, I found that the major source of informed trades is foreign institutional traders because their trading activity have predictive power for future movements in both spot and futures prices. In contrary, traders in the other categories carry no information about the directional changes in both spot and futures prices.
參考文獻 Acharya, V. V. and Yorulmazer, T., 2008. Information Contagion and Bank Herding. Journal of Money, Credit and Banking 40, 215-231.
Altman, E. I., 1968. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance 23, 489-609.
Anthony, J. H., 1988. The Interrelation of Stock and Option Market Trading-Volume Data. Journal of Finance 43, 949-964.
Banerjee, A. V., 1992. A Simple Model of Herd Behavior. Quarterly Journal of Economics 107, 796-817.
Baum, J. A. C., Rowley, T. J., and Shipilov, A. V., 2004. The Small World of Canadian Capital Markets: Statistical Mechanics of Investment Bank syndicate Networks, 1952-1989. Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de I’Administration 21, 307-325.
Bosch, O. and Steffen, S., 2011. On Syndicate Composition, Corporate Structure and the Certification Effect of Credit Ratings. Journal of Banking and Finance 35, 290-299.
Cai, J., Saunders, A., and Steffen, S., 2010. Diversification or Specialization? An Analysis of distance and Collaboration in Loan Syndication Networks. Working paper, University of Mannheim.
Carey, M. and Nini, G., 2007. Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle. Journal of Finance 62, 2969-3007.
Chakravarty, S., 2001. Stealth-trading: Which Traders’ Trades Move Stock Prices? Journal of Financial Economics 61, 29-307.
Champagne, C. and Kryzanowski, L., 2007. Are Current Syndicated Loan Alliances Related to Past Alliances? Journal of Banking and Finance 31, 3145-3161.
Chan, K., 1992. A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market. Review of Financial Studies 5, 123-152.
Chan, K., Chung, Y. P., and Fong, W. M., 2002. The Informational Role of Stock and Option Volume. Review of Financial Studies 15, 1049-1075.
Chan, K. C., Chang, Y. C., and Lung, P. P., 2009. Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options. Pacific-Basin Finance Journal 17, 189-208.
Chang, C. C., Hsieh, P. F., and Lai, H. N., 2009. Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange. Journal of Banking and Finance 33, 757-764.
Chen, C. R., Lung, P. P., and Tay, N. S. P., 2005. Information Flow between the Stock and Option Markets: Where do Informed Traders Trade? Review of Financial Economics 14, 1-23.
Chen, L. W., Johnson, S. A., Lin, J. C., and Liu, Y. J., 2009. Information, Sophistication, and Foreign versus Domestic Investors’ Performance. Journal of Banking and Finance 33, 1636-1651.
Chou, R. K. and Wang,Y.-Y., 2009. Strategic Order Splitting, Order Choice, and Aggressiveness: Evidence from the Taiwan Futures Exchange. Journal of Futures Markets 29, 1102-1129.
Chu, Q. C., Hsieh, W. G., and Tse, Y., 1999. Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs. International Review of Financial Analysis 8, 21-34.
Cohen, L., Frazzini, A., and Malloy, C., 2008. The Small World of Investing: Board Connections and Mutual Fund Returns. Journal of Political Economy 116, 951-979.
D’Arcy, S. P. and Oh, P., 1997. The Cascade Effect in Insurance Pricing. Journal of Risk and Insurance 64, 465-480.
De Jong, F. and Donders, M. W. M., 1998. Intraday Lead-Lag Relationships between the Futures, Options and Stock Market. European Finance Review 1, 337-359.
De Jong, F. and Nijman, T., 1997. High Frequency Analysis of Lead-Lag Relationships between Financial Markets. Journal of Empirical Finance 4, 259-277.
Dennis, S. A. and Mullineaux, D. J., 2000. Syndicated Loans. Journal of financial Intermediation 9, 404-426.
Easley, D., O’Hara, M., and Srinivas, P. S., 1998. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade. Journal of Finance 53, 431-465.
Elyasiani, E. and Goldberg, L. G., 2004. Relationship Lending: A Survey of the Literature. Journal of Economics and Business 56, 315-330.
Esty, B. C. and Megginson, W. L., 2003. Creditor Rights, Enforcement, and Debt Ownership Structure: Evidence from the global Syndicated Loan Market. Journal of Financial and Quantitative Analysis 38, 37-59.
Fahlenbrach, R. and Sandas, P., 2003. Bid-Ask Spreads and Inventory Risk: Evidence from the FTSE-100 Index Options Market. Working paper, University of Pennsylvania.
Focarelli, D., Pozzolo, A. F., and Casolaro, L., 2008. The Pricing Effect of Certification on Syndicated Loans. Journal of Monetary Economics 55, 335-349.
French, K. R., 1986. Detecting Spot Price Forecasts in Futures Prices, Journal of Business 59, 39-54.
Giannetti, M. and Yafeh, Y., 2012. Do Cultural Differences Between Contracting Parties Matter? Evidence from syndicated Bank Loans. Management Science 58, 365-383.
Godlewski, C. J., Sanditov, B., and Burger-Helmchen, T., 2012. Bank Lending Networks, Experience, Reputation, and Borrowing Costs. Journal of Business Finance & Accounting 39, 113-140.
Godlewski, C. J. and Weill, L., 2011. Does Collateral Help Mitigate Advere Selection? A Cross-Country Analysis. Journal of Financial Services Research 40, 49-78.
Gottesman, A. A. and Roberts , G. S., 2004. Maturity and Corporate Loan Pricing. Financial Review 39, 55-77.
Graham, J. R., Li, S., and Qiu, J., 2008. Corporate Misreporting and Bank Loan Contracting. Journal of Financial Economics 89, 44-61.
Green, W. H., 2008. Econometric Analysis. Prentice Hall, New Jersey.
Han, B., Lee, Y. T., and Liu, Y. J., 2009. Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options, Working Paper, University of Texas at Austin.
Haselmann, R. and Wachtel, P., 2011. Foreign Banks in Syndicated loan Markets. Journal of Banking and Finance, forthcoming.
Huang, R. D. and Shiu, C. Y., 2009. Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan. Financial Management 38, 567-602.
Hausman, J. A., 1978. Specification Tests in Econometrics. Econometrica 46, 1251–1271.
Hochberg, Y. V., Ljungqvist, A., and Lu, Y., 2007. Whom You Know Matters: Venture Capital Networks and Investment Performance. Journal of Finance 62, 251-301.
Hochberg, Y. V., Ljungqvist, A., and Lu, Y., 2010. Networking as a Barrier to Entry and the Competitive Supply of Venture Capital. Journal of Finance 65, 829-859.
In, F. and kim, S., 2006. The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A new Approach Using Wavelet Analysis. Journal of Business 79, 799-820.
Ivashina, V., 2009. Asymmetric Information Effects on Loan Spreads. Journal of Financial Economics 92, 300-319.
Ivashina, V. and Kovner, A., 2011. The Private Equity Advantage: Leveraged Buyout Firms and Relationship Banking. Review of Financial Studies 24, 2462-2498.
Ivashina, V. and Sun, Z., 2010. Institutional Demand Pressure and the Cost of Corporate Loans. Journal of Financial Economics 99, 500-522.
Jain, A. K. and Gupta, S., 1987. Some Evidence on “Herding” Behavior of U.S. Banks. Journal of Money, Credit, and Banking 19, 78-89.
Kawaller, I. G., Koch, P. D., and Koch, T. W., 1987. The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. Journal of Finance 42, 1309-1329.
Kawaller, I. G., P. D. Koch, and T. W. Koch, 1993. Intraday Market Behavior and the Extent of Feedback between S&P 500 Futures Prices and the S&P 500 Index, The Journal of Financial Research 16, 107-121.
Lee, S. W. and Mullineaux, D. J., 2004. Monitoring, Financial Distress, and the Structure of Commercial Lending Syndicates. Financial Management 33, 107-130.
Lin, C. H., Hsu, H. N., Li, H. C., 2008. The Dynamics of Major Type of Traders in Taiwan Futures Market. Journal of Financial Studies 16, 149-172.
Lin, J. C., Lee, Y. T., and Liu, Y. J., 2007. IPO Auctions and Private Information. Journal of Banking and Finance 31, 1483-1500.
Mian, A., 2006. Distance Constraints: The Limits of foreign Lending in Poor Economies. Journal of Finance 61, 1465-1505.
Nakagawa, R. and Uchida, H., 2003. Herd Behavior in the Japanese Loan Market: Evidence from Semi-Macro Data. Working paper, Hiroshima University of Economics.
Nandy, D. and Shao, P., 2010. Institutional Investment in Syndicated Loans. Working paper, York University.
Newman, M. E. J., 2003. The Structure and Function of Complex Networks. SIAM Review 45, 167-256.
Nini, G., 2008. How Non-Banks Increased the Supply of Bank Loans: Evidence from Institutional Term Loans. Working paper, University of Pennsylvania.
Nini, G., Smith, D. C., and Sufi, A., 2011. Creditor Control Rights, Corporate Governance, and Firm Value. Working paper, University of Pennsylvania.
Pan, J. and Poteshman, A. M., 2006. The Information in Option Volume for Future Stock Prices. Review of Financial Studies 19, 871-908.
Pati, P. C. and Rajib, P., 2011. Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters 18, 567-574.
Roll, R., Schwartz, E. and Subrahmanyam, A., 2011. Volume in Redundant Assets. Working paper, University of California at Los Angeles.
Sadath, A. and Kamaiah, B., 2009. Evidence of Informed Trading in Single Stock Futures Market in the National Stock Exchange of India Ltd. Indian Journal of Economics and Business 8, 387-394.
Shiller, R. J., 1995. Conversation, Information, and Herd Behavior. American Economic Review 85, 181-185.
Sias, R. W. and Starks, L. T., 1997. Return Autocorrelation and Institutional Investors. Journal of Financial Economics 46, 103-131.
Staiger, D. and Stock, J. H., 1997. Instrumental Variables Regression with Weak Instruments. Econometrica 65, 557–586.
Stephan, J. A. and Whaley, R. E., 1990. Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. Journal of Finance 45, 191-220.
Stoll, H. R. and Whaley, R. E., 1990. The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis 25, 441-468.
Sufi, A., 2007. Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans. Journal of Finance 62, 629-668.
Sufi, A., 2009. The Real Effects of Debt Certification: Evidence from the Introduction of Bank Loan Ratings. Review of Financial Studies 22, 1659-1691.
Uchida, H. and Nakagawa, R., 2007. Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data. Journal of Financial Intermediation 16, 555-583.
Wang, C., 2004. Futures Trading Activity and Predictable Foreign Exchange Market Movements. Journal of Banking and Finance 28, 1023-1041.
Welch, I., 1992. Sequential Sales, Learning, and Cascades. Journal of Finance 47, 695-732.
Wooldridge, J. M., 2002. Econometric Analysis of Cross Section and Panel Data. MIT Press, Massachusetts.
Yang, J., Yang, Z., and Zhou, Y., 2012. Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China. Journal of Futures Markets 32, 99-121.
描述 博士
國立政治大學
財務管理研究所
96357504
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963575041
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuanchenen_US
dc.contributor.author (Authors) 吳偉劭zh_TW
dc.contributor.author (Authors) Wu, Wei-Shaoen_US
dc.creator (作者) 吳偉劭zh_TW
dc.creator (作者) Wu, Wei-Shaoen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:14:03 (UTC+8)-
dc.date.available 30-Oct-2012 10:14:03 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:14:03 (UTC+8)-
dc.identifier (Other Identifiers) G0963575041en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54179-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 96357504zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) Two essays are comprised in this dissertation to explore how market friction affects the processes of price formation. The first essay investigates on both theoretical and empirical bases how segmentation of communication amongst potential lenders can influence loan contracts. Two cases are considered. The first one assumes that potential lenders can freely communicate with each other; the second one assumes that each potential lender can only observe the decisions of its predecessors. I show theoretically that the ex post observed interest rate will be higher and the probability of syndication failure will be lower if the potential lenders cannot communicate freely with each other. These predictions are confirmed by my empirical work. Using a novel proxy, relational distance, for the segmentation of communication, I show that the larger the relational distance, the higher is the loan spread and the lower is the probability of syndication failure. In addition, the relational distance is positively correlated with the probability of the existence of non-price contract terms, such as the requirement for collateral and guarantees. My conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.
The second essay focuses on the informational effects between futures market and its spot market. Intraday data are used to investigate the lead-lag relationship between the TX returns, the TX trading activity and the TAIEX stock index returns. I focus on the transmission direction and the source of information and find that there are specific lead-lag relationships between futures returns and spot returns, in addition to the contemporaneous relationship predicted by carry-cost theory and efficient market theory. The results show that futures returns significantly lead spot returns, which suggests that informed trades occur in the futures market and makes information flows from the futures market to the spot market. By distinguishing different types of futures traders and using private information, net open buy, as a proxy for futures trading activity, I found that the major source of informed trades is foreign institutional traders because their trading activity have predictive power for future movements in both spot and futures prices. In contrary, traders in the other categories carry no information about the directional changes in both spot and futures prices.		en_US
dc.description.tableofcontents Chapter I. Introduction 1
Chapter II. The Cascade Effect in the Syndicated Loan Market 5
1. Introduction 5
2. The Model 10
2.1. Perfect Communication 11
2.2. Informational Cascades 12
3. Empirical Framework 14
3.1. Proxies for the degree of segmented communication 14
3.2. Loan syndication networks 15
3.3. Hypotheses 18
3.4. Empirical specifications 19
4. Data and Descriptive Statistics 21
5. Empirical Results 23
5.1. Results for Physical Distance 23
5.2. Results for Relational Distance 26
5.2.1. Relational distance and loan spreads 26
5.2.2. Relational distance and non-price requirements 28
5.2.3. Relational distance and syndication failures 30
5.3. Robustness checks 31
5.3.1. Alternative explanations and model specifications 31
5.3.2. Endogeneity 34
5.3.3. Omitted variables 36
6. Conclusions 37
Appendix A 51
Appendix B 53
Chapter III. The Relationships between Futures Returns, Futures Volume, and Spot Returns:
Evidence from Taiwan Futures Market 65
1. Introduction 65
2. Empirical Specifications 69
3. Data and Preliminary Analysis 72
4. Empirical Results 76
4.1. The lead-lag relationship between index returns, futures returns, and overall net open buy 76
4.2. The differences in information content of the four trader classes 78
4.2.1 The spot market 79
4.2.2 The futures market 81
4.2.3 Robustness check 82
4.3 VAR Results 83
5. Conclusions 88
Appendix A 97
Chapter IV. Conclusions 107
Reference 111		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963575041en_US
dc.subject (關鍵詞) syndicated loansen_US
dc.subject (關鍵詞) informational cascadeen_US
dc.subject (關鍵詞) all-in-drawn spreaden_US
dc.subject (關鍵詞) non-price contract termsen_US
dc.subject (關鍵詞) lead-lag relationshipen_US
dc.subject (關鍵詞) information contenten_US
dc.subject (關鍵詞) foreign institutional tradersen_US
dc.title (題名) Two essays of the market friction effects on asset prices: evidence from syndicated loan and futures marketsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Acharya, V. V. and Yorulmazer, T., 2008. Information Contagion and Bank Herding. Journal of Money, Credit and Banking 40, 215-231.
Altman, E. I., 1968. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance 23, 489-609.
Anthony, J. H., 1988. The Interrelation of Stock and Option Market Trading-Volume Data. Journal of Finance 43, 949-964.
Banerjee, A. V., 1992. A Simple Model of Herd Behavior. Quarterly Journal of Economics 107, 796-817.
Baum, J. A. C., Rowley, T. J., and Shipilov, A. V., 2004. The Small World of Canadian Capital Markets: Statistical Mechanics of Investment Bank syndicate Networks, 1952-1989. Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de I’Administration 21, 307-325.
Bosch, O. and Steffen, S., 2011. On Syndicate Composition, Corporate Structure and the Certification Effect of Credit Ratings. Journal of Banking and Finance 35, 290-299.
Cai, J., Saunders, A., and Steffen, S., 2010. Diversification or Specialization? An Analysis of distance and Collaboration in Loan Syndication Networks. Working paper, University of Mannheim.
Carey, M. and Nini, G., 2007. Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle. Journal of Finance 62, 2969-3007.
Chakravarty, S., 2001. Stealth-trading: Which Traders’ Trades Move Stock Prices? Journal of Financial Economics 61, 29-307.
Champagne, C. and Kryzanowski, L., 2007. Are Current Syndicated Loan Alliances Related to Past Alliances? Journal of Banking and Finance 31, 3145-3161.
Chan, K., 1992. A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market. Review of Financial Studies 5, 123-152.
Chan, K., Chung, Y. P., and Fong, W. M., 2002. The Informational Role of Stock and Option Volume. Review of Financial Studies 15, 1049-1075.
Chan, K. C., Chang, Y. C., and Lung, P. P., 2009. Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options. Pacific-Basin Finance Journal 17, 189-208.
Chang, C. C., Hsieh, P. F., and Lai, H. N., 2009. Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange. Journal of Banking and Finance 33, 757-764.
Chen, C. R., Lung, P. P., and Tay, N. S. P., 2005. Information Flow between the Stock and Option Markets: Where do Informed Traders Trade? Review of Financial Economics 14, 1-23.
Chen, L. W., Johnson, S. A., Lin, J. C., and Liu, Y. J., 2009. Information, Sophistication, and Foreign versus Domestic Investors’ Performance. Journal of Banking and Finance 33, 1636-1651.
Chou, R. K. and Wang,Y.-Y., 2009. Strategic Order Splitting, Order Choice, and Aggressiveness: Evidence from the Taiwan Futures Exchange. Journal of Futures Markets 29, 1102-1129.
Chu, Q. C., Hsieh, W. G., and Tse, Y., 1999. Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs. International Review of Financial Analysis 8, 21-34.
Cohen, L., Frazzini, A., and Malloy, C., 2008. The Small World of Investing: Board Connections and Mutual Fund Returns. Journal of Political Economy 116, 951-979.
D’Arcy, S. P. and Oh, P., 1997. The Cascade Effect in Insurance Pricing. Journal of Risk and Insurance 64, 465-480.
De Jong, F. and Donders, M. W. M., 1998. Intraday Lead-Lag Relationships between the Futures, Options and Stock Market. European Finance Review 1, 337-359.
De Jong, F. and Nijman, T., 1997. High Frequency Analysis of Lead-Lag Relationships between Financial Markets. Journal of Empirical Finance 4, 259-277.
Dennis, S. A. and Mullineaux, D. J., 2000. Syndicated Loans. Journal of financial Intermediation 9, 404-426.
Easley, D., O’Hara, M., and Srinivas, P. S., 1998. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade. Journal of Finance 53, 431-465.
Elyasiani, E. and Goldberg, L. G., 2004. Relationship Lending: A Survey of the Literature. Journal of Economics and Business 56, 315-330.
Esty, B. C. and Megginson, W. L., 2003. Creditor Rights, Enforcement, and Debt Ownership Structure: Evidence from the global Syndicated Loan Market. Journal of Financial and Quantitative Analysis 38, 37-59.
Fahlenbrach, R. and Sandas, P., 2003. Bid-Ask Spreads and Inventory Risk: Evidence from the FTSE-100 Index Options Market. Working paper, University of Pennsylvania.
Focarelli, D., Pozzolo, A. F., and Casolaro, L., 2008. The Pricing Effect of Certification on Syndicated Loans. Journal of Monetary Economics 55, 335-349.
French, K. R., 1986. Detecting Spot Price Forecasts in Futures Prices, Journal of Business 59, 39-54.
Giannetti, M. and Yafeh, Y., 2012. Do Cultural Differences Between Contracting Parties Matter? Evidence from syndicated Bank Loans. Management Science 58, 365-383.
Godlewski, C. J., Sanditov, B., and Burger-Helmchen, T., 2012. Bank Lending Networks, Experience, Reputation, and Borrowing Costs. Journal of Business Finance & Accounting 39, 113-140.
Godlewski, C. J. and Weill, L., 2011. Does Collateral Help Mitigate Advere Selection? A Cross-Country Analysis. Journal of Financial Services Research 40, 49-78.
Gottesman, A. A. and Roberts , G. S., 2004. Maturity and Corporate Loan Pricing. Financial Review 39, 55-77.
Graham, J. R., Li, S., and Qiu, J., 2008. Corporate Misreporting and Bank Loan Contracting. Journal of Financial Economics 89, 44-61.
Green, W. H., 2008. Econometric Analysis. Prentice Hall, New Jersey.
Han, B., Lee, Y. T., and Liu, Y. J., 2009. Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options, Working Paper, University of Texas at Austin.
Haselmann, R. and Wachtel, P., 2011. Foreign Banks in Syndicated loan Markets. Journal of Banking and Finance, forthcoming.
Huang, R. D. and Shiu, C. Y., 2009. Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan. Financial Management 38, 567-602.
Hausman, J. A., 1978. Specification Tests in Econometrics. Econometrica 46, 1251–1271.
Hochberg, Y. V., Ljungqvist, A., and Lu, Y., 2007. Whom You Know Matters: Venture Capital Networks and Investment Performance. Journal of Finance 62, 251-301.
Hochberg, Y. V., Ljungqvist, A., and Lu, Y., 2010. Networking as a Barrier to Entry and the Competitive Supply of Venture Capital. Journal of Finance 65, 829-859.
In, F. and kim, S., 2006. The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A new Approach Using Wavelet Analysis. Journal of Business 79, 799-820.
Ivashina, V., 2009. Asymmetric Information Effects on Loan Spreads. Journal of Financial Economics 92, 300-319.
Ivashina, V. and Kovner, A., 2011. The Private Equity Advantage: Leveraged Buyout Firms and Relationship Banking. Review of Financial Studies 24, 2462-2498.
Ivashina, V. and Sun, Z., 2010. Institutional Demand Pressure and the Cost of Corporate Loans. Journal of Financial Economics 99, 500-522.
Jain, A. K. and Gupta, S., 1987. Some Evidence on “Herding” Behavior of U.S. Banks. Journal of Money, Credit, and Banking 19, 78-89.
Kawaller, I. G., Koch, P. D., and Koch, T. W., 1987. The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. Journal of Finance 42, 1309-1329.
Kawaller, I. G., P. D. Koch, and T. W. Koch, 1993. Intraday Market Behavior and the Extent of Feedback between S&P 500 Futures Prices and the S&P 500 Index, The Journal of Financial Research 16, 107-121.
Lee, S. W. and Mullineaux, D. J., 2004. Monitoring, Financial Distress, and the Structure of Commercial Lending Syndicates. Financial Management 33, 107-130.
Lin, C. H., Hsu, H. N., Li, H. C., 2008. The Dynamics of Major Type of Traders in Taiwan Futures Market. Journal of Financial Studies 16, 149-172.
Lin, J. C., Lee, Y. T., and Liu, Y. J., 2007. IPO Auctions and Private Information. Journal of Banking and Finance 31, 1483-1500.
Mian, A., 2006. Distance Constraints: The Limits of foreign Lending in Poor Economies. Journal of Finance 61, 1465-1505.
Nakagawa, R. and Uchida, H., 2003. Herd Behavior in the Japanese Loan Market: Evidence from Semi-Macro Data. Working paper, Hiroshima University of Economics.
Nandy, D. and Shao, P., 2010. Institutional Investment in Syndicated Loans. Working paper, York University.
Newman, M. E. J., 2003. The Structure and Function of Complex Networks. SIAM Review 45, 167-256.
Nini, G., 2008. How Non-Banks Increased the Supply of Bank Loans: Evidence from Institutional Term Loans. Working paper, University of Pennsylvania.
Nini, G., Smith, D. C., and Sufi, A., 2011. Creditor Control Rights, Corporate Governance, and Firm Value. Working paper, University of Pennsylvania.
Pan, J. and Poteshman, A. M., 2006. The Information in Option Volume for Future Stock Prices. Review of Financial Studies 19, 871-908.
Pati, P. C. and Rajib, P., 2011. Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters 18, 567-574.
Roll, R., Schwartz, E. and Subrahmanyam, A., 2011. Volume in Redundant Assets. Working paper, University of California at Los Angeles.
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