Matti Suominen

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We study community enforcement in a private information, random matching setting, where buyers privately \network" for information and sellers have a short term incentive to supply low quality. We also show that high quality can be sold in a sequential equilibrium with population M even when each buyer periodically interacts with only N¤(M) players where 0(More)
We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 30 basis points on the(More)
We estimate the impact of bank merger announcements on borrowers’ stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is influenced by a strategic focus favoring acquiring borrowers. Bank mergers lead(More)
We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in published academic studies. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from zero. The average post-publication decay, which we attribute to both statistical bias and price pressure from(More)
In this paper we offer an explanation for the empirical anomaly that most raiders do not acquire the maximum possible toehold prior to announcing a takeover bid. By endogenously modeling the target value following an unsuccessful takeover we demonstrate that a raider may optimally choose to acquire a small toehold even if the toehold acquisition does not(More)
In this paper, we study short term return reversals in the stock market. In our model, each period new investors arrive to the stock market with stochastic endowments, trade and then exit the market. The market makers retain a continuous presence in the stock market and carry over in time investors’ order imbalances. The price impact from investors’ order(More)
In this paper, we study whether hedge funds supply or demand immediacy on NYSE and Amex traded stocks. Regressing hedge fund returns on a measure of the returns from providing immediacy we find that hedge funds typically (equity market neutral, event driven and long/short equity funds in particular) supply immediacy in the stock market. Consistent with(More)
We examine the relationships among corporate governance, industry concentration and financial structure that emerge endogenously in an economy. We consider entrepreneurs whose ability to raise capital is limited by the presence of agency costs in both the equity and debt markets. We argue that the quality of the corporate governance system may have a(More)
We study the motives and effects of return misreporting in the hedge fund industry, and find the following results. First, misreporting is most prevalent in young funds, in funds that have strong flow-performance relation, and during months of positive capital flows. These empirical findings are consistent with a simple model where hedge fund managers have(More)