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Recent empirical work suggests that a proxy for the probability of informed trading (P IN) is an important determinant of the cross-section of average returns. This paper examines whether P IN is priced because of information asymmetry or because of other liquidity effects that are unrelated to information asymmetry. Our starting point is a model that(More)
This paper considers the impact of Regulation Fair Disclosure (FD) on firms' information environments and costs of capital. For NYSE/Amex firms we find little evidence of a change in the cost of capital attributable to Regulation FD. For Nasdaq firms we find that Regulation FD increased firms' costs of capital by 10–19 basis points per annum though the(More)
This study considers the impact of trustworthiness on financial markets at the individual transaction level. We employ a natural experiment using the peer-to-peer lending site, Prosper.com. We find that borrowers who are perceived as less trustworthy are economically and significantly less likely to have their loan requests filled, even controlling for(More)
This paper examines the effects of the Sarbanes-Oxley Act (SOX) by studying both foreign firms' decisions to list in the US and local market stock price reactions to US listing announcements. We have three main findings: First, we estimate that if SOX was a complete surprise to the market, US equity values would increase between six and eleven percent.(More)
Acknowledgments: The paper has benefited from helpful comments Abstract This paper investigates the effect of accrual quality on bond liquidity and the implications of this effect for cost of debt. We argue that high accrual quality not only reduces information asymmetry but also decreases uncertainty, thereby improving liquidity, which in turn lowers the(More)
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