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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Yang, Fan
作者单位：Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Hong Kong
摘要：We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out-of-sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. T...
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作者：Griffin, John M.; Tang, Dragon Yongjun
作者单位：University of Texas System; University of Texas Austin; University of Hong Kong
摘要：Analyzing 916 collateralized debt obligations (CDOs), we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to increasingly larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied AAA sizes receive larger adjustments. CDOs with larger adjustments experience more severe subsequent downgrading. Additionally, prior to April 2007, 91.2% of AAA...
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作者：Sialm, Clemens; Starks, Laura
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings, we find that funds held primarily by taxable investors choose investment strategies that result in lower tax burdens than funds held primarily in tax-qualified accounts. Despite these differences, we fi...
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作者：Ramadorai, Tarun
作者单位：University of Oxford
摘要：Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premiu...
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作者：Dumas, Bernard; Lyasoff, Andrew
作者单位：National Bureau of Economic Research; Boston University
摘要：Because of non-traded human capital, real-world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide-open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous-agents incomplete-market equilibrium prices of primitive securities. E...
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作者：McLean, R. David; Zhang, Tianyu; Zhao, Mengxin
作者单位：Chinese University of Hong Kong
摘要：Investor protection is associated with greater investment sensitivity to q and lower investment sensitivity to cash flow. Finance plays a role in causing these effects; in countries with strong investor protection, external finance increases more strongly with q, and declines more strongly with cash flow. We further find that q and cash flow sensitivities are associated with ex post investment efficiency; investment predicts growth and profits more strongly in countries with greater q sensitiv...
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作者：Jotikasthira, Chotibhak; Lundblad, Christian; Ramadorai, Tarun
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Oxford
摘要：We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds emerging market portfolio allocations. These forced trades or fire sales affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration...
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作者：Jiang, Wei; Li, Kai; Wang, Wei
作者单位：Columbia University; University of British Columbia; Queens University - Canada
摘要：This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and secured creditors. Their effect on the debtor manifests in higher probabilities of the latter's loss of exclusive rights to file reorganization plans, CEO turnover,...
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作者：Corwin, Shane A.; Schultz, Paul
作者单位：University of Notre Dame
摘要：We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highlow ratio reflects both the stock's variance and its bid-ask spread. Although the variance component of the highlow ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of highlow ratios over 1-day and 2-day intervals. The estimator is easy to calculate, can be applied in...
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作者：Fernando, Chitru S.; May, Anthony D.; Megginson, William L.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Wichita State University
摘要：We examine the long-standing question of whether firms derive value from investment bank relationships by studying how the Lehman collapse affected industrial firms that received underwriting, advisory, analyst, and market-making services from Lehman. Equity underwriting clients experienced an abnormal return of around 5%, on average, in the 7 days surrounding Lehman's bankruptcy, amounting to $23 billion in aggregate risk-adjusted losses. Losses were especially severe for companies that had s...
