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Item Metadata only Volatility and dark trading: evidence from the Covid-19 pandemic*,**(Elsevier Sci Ltd, 2023) 0000-0002-5531-3616; Ibikunle, Gbenga; Department of Business Administration; Rzayev, Khaladdin; Faculty Member; College of Administrative Sciences and Economics; 317105We study the effect(s) of volatility on the share of trading in dark pools by exploiting the exogenous shock of the Covid-19 pandemic on financial markets and regulatory restrictions on dark trading. We find that high levels of volatility in lit exchanges is linked to an economically significant loss of market share by dark pools to lit exchanges. In line with the theory, the loss appears to be driven by informed traders' migration from lit to dark markets during high volatility periods. The market quality implications of the trading dynamics are mixed: while it tempers liquidity decline in the lit market, it exacerbates the loss of informational efficiency.Item Metadata only The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave(Elsevier, 2023) 0000-0002-5531-3616; Ibikunle, Gbenga; Steffen, Tom; Department of Business Administration; Rzayev, Khaladdin; Faculty Member; College of Administrative Sciences and Economics; 317105Exploiting information transmission latency between stock exchanges in Frankfurt and London, and speed-inducing technological upgrades, we show that when cross-market latency arbitrage opportunities are linked to the arrival of information, high-frequency traders' (HFTs') activities impair liquidity and enhance price discovery by facilitating the incorporation of public information into prices. Conversely, when cross-market latency arbitrage opportunities are driven by liquidity shocks, HFTs improve liquidity and reduce trading costs, thus incentivizing information acquisition and trading with private information. These findings underscore the complex nature of the association between trading speed and market quality and reconcile mixed evidence in the extant literature.Publication Metadata only High-frequency trading in the stock market and the costs of options market making(Elsevier Sci Ltd, 2024) Nimalendran, Mahendrarajah; Sagade, Satchit; Department of Business Administration; Department of Business Administration; Rzayev, Khaladdin; College of Administrative Sciences and EconomicsWe investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid-ask spreads in the options market through two main channels. First, options market makers' quotes are exposed to sniping risk from HFTs exploiting put-call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid-ask spread and intensifying aggressive HFT activity in the underlying market.Publication Metadata only Nonstandard errors(Wiley, 2024) Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; Huber, Juergen; Johannesson, Magnus; Kirchler, Michael; Neususs, Sebastian; Razen, Michael; Weitzel, Utz; Abad-Diaz, David; Abudy, Menachem; Adrian, Tobias; Ait-Sahalia, Yacine; Akmansoy, Olivier; Alcock, Jamie T.; Alexeev, Vitali; Aloosh, Arash; Amato, Livia; Amaya, Diego; Angel, James J.; Avetikian, Alejandro T.; Bach, Amadeus; Baidoo, Edwin; Bakalli, Gaetan; Bao, Li; Barbon, Andrea; Bashchenko, Oksana; Bindra, Parampreet C.; Bjonnes, Geir H.; Black, Jeffrey R.; Black, Bernard S.; Bogoev, Dimitar; Bohorquez Correa, Santiago; Bondarenko, Oleg; Bos, Charles S.; Bosch-Rosa, Ciril; Bouri, Elie; Brownlees, Christian; Calamia, Anna; Viet Nga Cao; Capelle-Blancard, Gunther; Romero, Laura M. Capera; Caporin, Massimiliano; Carrion, Allen; Caskurlu, Tolga; Chakrabarty, Bidisha; Chen, Jian; Chernov, Mikhail; Cheung, William; Chincarini, Ludwig B.; Chordia, Tarun; Chow, Sheung-Chi; Clapham, Benjamin; Colliard, Jean-Edouard; Comerton-Forde, Carole; Curran, Edward; Thong Dao; Dare, Wale; Davies, Ryan J.; De Blasis, Riccardo; De Nard, Gianluca F.; Declerck, Fany; Deev, Oleg; Degryse, Hans; Deku, Solomon Y.; Desagre, Christophe; Van Dijk, Mathijs A.; Dim, Chukwuma; Dimpfl, Thomas; Dong, Yun Jiang; Drummond, Philip A.; Dudda, Tom; Duevski, Teodor; Dumitrescu, Ariadna; Dyakov, Teodor; Dyhrberg, Anne Haubo; Dzielinski, Michal; Eksi, Asli; El Kalak, Izidin; ter Ellen, Saskia; Eugster, Nicolas; Evans, Martin D. D.; Farrell, Michael; Felez-Vinas, Ester; Ferrara, Gerardo; Ferrouhi, El Mehdi; Flori, Andrea; Fluharty-Jaidee, Jonathan T.; Foley, Sean D. V.; Fong, Kingsley Y. L.; Foucault, Thierry; Franus, Tatiana; Franzoni, Francesco; Frijns, Bart; Frommel, Michael; Fu, Servanna M.; Fullbrunn, Sascha C.; Gan, Baoqing; Gao, Ge; Gehrig, Thomas P.; Gemayel, Roland; Gerritsen, Dirk; Gil-Bazo, Javier; Gilder, Dudley; Glosten, Lawrence R.; Gomez, Thomas; Gorbenko, Arseny; Grammig, Joachim; Gregoire, Vincent; Gucbilmez, Ufuk; Hagstromer, Bjorn; Hambuckers, Julien; Hapnes, Erik; Harris, Jeffrey H.; Harris, Lawrence; Hartmann, Simon; Hasse, Jean-Baptiste; Hautsch, Nikolaus; He, Xue-Zhong; Heath, Davidson; Hediger, Simon; Hendershott, Terrence; Hibbert, Ann Marie; Hjalmarsson, Erik; Hoelscher, Seth A.; Hoffmann, Peter; Holden, Craig W.; Horenstein, Alex R.; Huang, Wenqian; Huang, Da; Hurlin, Christophe; Ilczuk, Konrad; Ivashchenko, Alexey; Iyer, Subramanian R.; Jahanshahloo, Hossein; Jalkh, Naji; Jones, Charles M.; Jurkatis, Simon; Jylha, Petri; Kaeck, Andreas T.; Kaiser, Gabriel; Karam, Arze; Karmaziene, Egle; Kassner, Bernhard; Kaustia, Markku; Kazak, Ekaterina; Kearney, Fearghal; Van Kervel, Vincent; Khan, Saad A.; Khomyn, Marta K.; Klein, Tony; Klein, Olga; Klos, Alexander; Koetter, Michael; Kolokolov, Aleksey; Korajczyk, Robert A.; Kozhan, Roman; Krahnen, Jan P.; Kuhle, Paul; Kwan, Amy; Lajaunie, Quentin; Lam, F. Y. Eric C.; Lambert, Marie; Langlois, Hugues; Lausen, Jens; Lauter, Tobias; Leippold, Markus; Levin, Vladimir; Li, Yijie; Li, Hui; Liew, Chee Yoong; Lindner, Thomas; Linton, Oliver; Liu, Jiacheng; Liu, Anqi; Llorente, Guillermo; Lof, Matthijs; Lohr, Ariel; Longstaff, Francis; Lopez-Lira, Alejandro; Mankad, Shawn; Mano, Nicola; Marchal, Alexis; Martineau, Charles; Mazzola, Francesco; Meloso, Debrah; Mi, Michael G.; Mihet, Roxana; Mohan, Vijay; Moinas, Sophie; Moore, David; Mu, Liangyi; Muravyev, Dmitriy; Murphy, Dermot; Neszveda, Gabor; Muravyev, Dmitriy; Murphy, Dermot; Neszveda, Gabor; Neumeier, Christian; Nielsson, Ulf; Nimalendran, Mahendrarajah; Nolte, Sven; Norden, Lars L.; O'Neill, Peter; Obaid, Khaled; Odegaard, Bernt A.; Ostberg, Per; Pagnotta, Emiliano; Painter, Marcus; Palan, Stefan; Palit, Imon J.; Park, Andreas; Pascual, Roberto; Pasquariello, Paolo; Pastor, Lubos; Patel, Vinay; Patton, Andrew J.; Pearson, Neil D.; Pelizzon, Loriana; Pelli, Michele; Pelster, Matthias; Perignon, Christophe; Pfiffer, Cameron; Philip, Richard; Plihal, Tomas; Prakash, Puneet; Press, Oliver-Alexander; Prodromou, Tina; Prokopczuk, Marcel; Putnins, Talis; Qian, Ya; Raizada, Gaurav; Rakowski, David; Ranaldo, Angelo; Regis, Luca; Reitz, Stefan; Renault, Thomas; Renjie, Rex W.; Reno, Roberto; Riddiough, Steven J.; Rinne, Kalle; Rintamaki, Paul; Riordan, Ryan; Rittmannsberger, Thomas; Longarela, Inaki Rodriguez; Roesch, Dominik; Rognone, Lavinia; Roseman, Brian; Rosu, Ioanid; Roy, Saurabh; Rudolf, Nicolas; Rush, Stephen R.; Rzeznik, Aleksandra A.; Sanford, Anthony; Sankaran, Harikumar; Sarkar, Asani; Sarno, Lucio; Scaillet, Olivier; Scharnowski, Stefan; Schenk-Hoppe, Klaus R.; Schertler, Andrea; Schneider, Michael; Schroeder, Florian; Schuerhoff, Norman; Schuster, Philipp; Schwarz, Marco A.; Seasholes, Mark S.; Seeger, Norman J.; Shachar, Or; Shkilko, Andriy; Shui, Jessica; Sikic, Mario; Simion, Giorgia; Smales, Lee A.; Soderlind, Paul; Sojli, Elvira; Sokolov, Konstantin; Sonksen, Jantje; Spokeviciute, Laima; Stefanova, Denitsa; Subrahmanyam, Marti G.; Szaszi, Barnabas; Talavera, Oleksandr; Tang, Yuehua; Taylor, Nick; Tham, Wing Wah; Theissen, Erik; Thimme, Julian; Tonks, Ian; Tran, Hai; Trapin, Luca; Trolle, Anders B.; Vaduva, M. Andreea; Valente, Giorgio; Van Ness, Robert A.; Vasquez, Aurelio; Verousis, Thanos; Verwijmeren, Patrick; Vilhelmsson, Anders; Vilkov, Grigory; Vladimirov, Vladimir; Vogel, Sebastian; Voigt, Stefan; Wagner, Wolf; Walther, Thomas; Weiss, Patrick; Van der Wel, Michel; Werner, Ingrid M.; Werner, Ingrid M.; Westerholm, P. Joakim; Westheide, Christian; Wika, Hans C.; Wipplinger, Evert; Wolf, Michael; Wolff, Christian C. P.; Wolk, Leonard; Wong, Wing-Keung; Wrampelmeyer, Jan; Wu, Zhen-Xing; Xia, Shuo; Xiu, Dacheng; Xu, Ke; Xu, Caihong; Yadav, Pradeep K.; Yague, Jose; Yan, Cheng; Yang, Antti; Yoo, Woongsun; Yu, Wenjia; Yu, Yihe; Yu, Shihao; Yueshen, Bart Z.; Yuferova, Darya; Zamojski, Marcin; Zareei, Abalfazl; Zeisberger, Stefan M.; Zhang, Lu; Zhang, S. Sarah; Zhang, Xiaoyu; Zhao, Lu; Zhong, Zhuo; Zhou, Z. Ivy; Zhou, Chen; Zhu, Xingyu S.; Zoican, Marius; Zwinkels, Remco; Department of Business Administration; Department of Business Administration; Rzayev, Khaladdin; College of Administrative Sciences and EconomicsIn statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.Publication Metadata only How an ipo helps in m&a(Wiley, 2010) Sevilir, Merih; Shivdasani, Anil; Department of Business Administration; Department of Business Administration; Çelikyurt, Uğur; Faculty Member; College of Administrative Sciences and Economics; 47082An initial public offering (IPO) can often provide a powerful stimulus to private companies seeking to pursue an acquisition- driven growth strategy. Based on a comprehensive analysis of U.S. IPOs, the authors show that newly public companies are prolific acquirers. Over 30% of companies conducting an IPO make at least one acquisition in their IPO year, and the typical IPO firm makes about four acquisitions during its first five years as a public company. IPOs facilitate MandA not only by providing infusions of capital but also by creating ongoing access to equity and debt markets for cash-financed deals. In addition, IPOs create an acquisition currency that can prove valuable in stock-financed deals when the shares are attractively priced. The authors also argue that IPOs improve the ability of companies to conduct MandA by resolving some of the valuation uncertainty facing privately held companies.Publication Metadata only The use of bank lines of credit in corporate liquidity management: a review of empirical evidence(Elsevier, 2011) James, Christopher; Department of Business Administration; Department of Business Administration; Demiroğlu, Cem; Faculty Member; College of Administrative Sciences and Economics; 18073This paper reviews empirical evidence on the use of bank lines of credit as a source of corporate liquidity. Traditional explanation for lines of credit is that they provide insurance against liquidity shocks, in much the same as way hoarding cash does. However, recent empirical research suggests that access to lines of credit is contingent on the credit quality of the borrower as well as the financial condition of the lender. These findings suggest that lines of credit are an imperfect substitute for cash as a source of corporate liquidity. (C) 2010 Published by Elsevier B.V.Publication Metadata only Bondholder governance, takeover likelihood, and division of gains(Elsevier, 2023) Akdogu, Evrim; Paukowits, Aysun Alp; Department of Business Administration; Department of Business Administration; Çelikyurt, Uğur; Faculty Member; College of Administrative Sciences and Economics; 47082We investigate the effect of creditor rights on the probability of becoming a takeover target by constructing firm-level bond covenant indices. Our primary result is that the more restrictive covenants a firm has, the more likely it is to become the target of an acquisition. This finding is robust to the exclusion of merger-related event-risk covenants which have the opposite impact and appear to reduce takeover likelihood. Furthermore, this effect is not driven by financially distressed firms and rather contained in small, profitable, financially healthy firms with high growth opportunities and low cash holdings. We also find that a higher target covenant index leads to a significant decrease (increase) in target (acquirer) abnormal returns around acquisition announcements and tilts merger gains towards the acquirer, suggesting the presence of a 'cove-nant discount' for potential target firms. Overall, our results are consistent with covenants creating key frictions, and in turn, making firms viable targets for acquirers with possibly deep pockets.Publication Metadata only Firm complexity and post-earnings announcement drift(Springer) Barinov, Alexander; Park, Shawn Saeyeul; Department of Business Administration; Department of Business Administration; Yıldızhan, Çelim; Faculty Member; College of Administrative Sciences and Economics; 328466We show that the post-earnings announcement drift (PEAD) is stronger for conglomerates than single-segment firms. Conglomerates, on average, are larger than single segment firms, so it is unlikely that limits-to-arbitrage drive the difference in PEAD. Rather, we hypothesize that market participants find it more costly and difficult to understand firm-specific earnings information regarding conglomerates, as they have more complicated business models than single-segment firms. This in turn slows information processing about them. In support of our hypothesis, we find that, compared to single-segment firms with similar firm characteristics, conglomerates have relatively low institutional ownership and short interest, are covered by fewer analysts, and these analysts have less industry expertise and make larger forecast errors. Finally, we find that an increase in organizational complexity leads to larger PEAD and document that more complicated conglomerates have even greater PEAD. Our results are robust to an extensive list of alternative explanations of PEAD as well as alternative measures of firm complexity.Publication Metadata only Integrated reporting: an accounting disclosure tool for high quality financial reporting(Elsevier, 2019) Pavlopoulos, Athanasios; Magnis, Chris; Department of Business Administration; Department of Business Administration; Iatridis, Georgios Emmanouil; Other; College of Administrative Sciences and Economics; N/AThis study examines the association between the level of the quality of integrated reporting (IR) disclosure and a firm’s market valuation. Employing data from IR firms during the years 2011 to 2015, we identify the association between firm performance and IR disclosure quality. Further, we examine the way in which the quality of IR disclosure improves the value relevance of summary accounting information (i.e., the market value of equity) and can create value. Specifically, we show the positive relation between firm performance and the quality of IR disclosure. Further, an examination shows that the level of the quality of IR disclosure is more significant when firms tend to exhibit a higher value relevance of summary accounting information (i.e., the book value of equity and earnings). Finally, more effective use of IR has resulted in abnormal stock returns being positively associated with earnings quality.Publication Metadata only How important is having skin in the game? Originator-sponsor affiliation and losses on mortgage-backed securities(Oxford Univ Press Inc, 2012) James, Christopher; Department of Business Administration; Department of Business Administration; Demiroğlu, Cem; Faculty Member; College of Administrative Sciences and Economics; 18073This article examines the relationship between a mortgage originator's affiliation with the sponsor of a securitization or the servicer of the securitized loans and the default rate on the securitized mortgages. We find that default rates are significantly lower for securitizations in which the originator is affiliated with the sponsor or servicer. Consistent with investors expecting performance to vary with affiliation, we find that the initial yields on mortgage-backed securities (MBS) are lower and the percentage of AAA-rated securities issued against the securitized pool of loans is higher when the originator is affiliated with either the sponsor or servicer.