Digests

Cancer and Portfolio Choice: Evidence from Norwegian Register Data
Trond Døskeland, Jens Soerlie Kvaerner
Review of Finance, Volume 26, Issue 2, March 2022, Pages 407–442, https://doi.org/10.1093/rof/rfab022

We examine the effect of a health shock on personal investment decisions. The health shock is a cancer diagnosis.… Read more...

The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bond
Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov
Review of Finance, Volume 26, Issue 2, March 2022, Pages 355–405, https://doi.org/10.1093/rof/rfab025

This paper provides new evidence on the distress anomaly based on a comprehensive sample of stocks and corporate bonds.… Read more...

The Costs and Benefits of Liquidity Regulations: Lessons from an Idle Monetary Policy Too
Christopher J Curfman, John Kandrac
Review of Finance, Volume 26, Issue 2, March 2022, Pages 319–353, https://doi.org/10.1093/rof/rfab024

Liquidity regulations implemented after the global financial crisis had a transformative effect on the financial system.… Read more...

Third-Party Credit Guarantees and the Cost of Debt: Evidence from Corporate Loans
Mehdi Beyhaghi
Review of Finance, Volume 26, Issue 2, March 2022, Pages 287–317, https://doi.org/10.1093/rof/rfab012

A recent stream of literature highlights the importance of the assets that firms own in their financing decisions.… Read more...

Momentum, Reversals, and Investor Clientele
Andy C W Chui, Avanidhar Subrahmanyam, Sheridan Titman
Review of Finance, Volume 26, Issue 2, March 2022, Pages 217–255, https://doi.org/10.1093/rof/rfac010

A large and growing literature uncovers cross-sectional return predictability based on past price moves. There is extensive evidence for what is known as the momentum effect, which is the tendency of stocks that performed well in the previous six to 12 months to perform well in the next six to 12 months.… Read more...

Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium
Stefania D’Amico, N Aaron Pancost
Review of Finance, Volume 26, Issue 1, February 2022, Pages 117 – 162, https://doi.org/10.1093/rof/rfab028

Although the market for nominal US Treasury bonds is very large and liquid, previous research has identified a number of cases in which assets with almost identical payoffs carry significantly different prices, including the on-the-run premium, the TIPS-Treasury bond puzzle, and the note-bond spread.… Read more...

Trading Volume and Time Varying Betas
Christopher Hrdlicka
Review of Finance, Volume 26, Issue 1, February 2022, Pages 79 – 116, https://doi.org/10.1093/rof/rfab014

Asset’s risks change overtime. These changes are central to understanding price dynamics. I show that these risk changes also drive trade.… Read more...

Secondary Market Transparency and Corporate Bond Issuing Costs
James Brugler, Carole Comerton-Forde, J Spencer Martin
Review of Finance, Volume 26, Issue 1, February 2022, Pages 43 – 77, https://doi.org/10.1093/rof/rfab017

We examine the impact of increased secondary market transparency following the introduction of mandated post-trade transparency (TRACE) in the US corporate bond market.… Read more...

Central Hub M&A Advisors
Alfred Yawson, Huizhong Zhang
Review of Finance, Volume 25, Issue 6, November 2021, Pages 1817–1857, https://doi.org/10.1093/rof/rfaa043

We examine how an M&A advisor’s horizontal relationships with other investment banks affects its ability to provide value-enhancing advice for acquiring firms.… Read more...

Informed Trading and Momentum in the Corporate Bond Market
Lifang Li, Valentina Galvani
Review of Finance, Volume 25, Issue 6, November 2021, Pages 1773–1816, https://doi.org/10.1093/rof/rfab004

This study is the first attempt to explore the mechanism underlying the momentum effect in the corporate bond market.… Read more...