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作者：Constantinides, George M.; Czerwonko, Michal; Jackwerth, Jens Carsten; Perrakis, Stylianos
作者单位：University of Chicago; National Bureau of Economic Research; Concordia University - Canada; McGill University; University of Konstanz
摘要：American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out-of-sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk-averse inv...
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作者：Acharya, Viral V.; Myers, Stewart C.; Rajan, Raghuram G.
作者单位：Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Chicago
摘要：We develop a model of internal governance where the self-serving actions of top management are limited by the potential reaction of subordinates. Internal governance can mitigate agency problems and ensure that firms have substantial value, even with little or no external governance by investors. External governance, even if crude and uninformed, can complement internal governance and improve efficiency. This leads to a theory of investment and dividend policy, in which dividends are paid by s...
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作者：Dinc, I. Serdar; Gupta, Nandini
作者单位：Massachusetts Institute of Technology (MIT); Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We investigate the influence of political and financial factors on the decision to privatize government-owned firms. The results show that profitable firms and firms with a lower wage bill are likely to be privatized early. We find that the government delays privatization in regions where the governing party faces more competition from opposition parties. The results also suggest that political patronage is important as no firm located in the home state of the minister in charge is ever privat...
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作者：Ioannidou, Vasso; Ongena, Steven
作者单位：Tilburg University; European Central Bank
摘要：This paper studies loan conditions when firms switch banks. Recent theoretical work on bank-firm relationships motivates our matching models. The dynamic cycle of the loan rate that we uncover is as follows: a loan granted by a new (outside) bank carries a loan rate that is significantly lower than the rates on comparable new loans from the firm's current (inside) banks. The new bank initially decreases the loan rate further but eventually ratchets it up sharply. Other loan conditions follow a...
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作者：Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper shows that large cash reserves lead to systematic future market share gains at the expense of industry rivals. Using shifts in import tariffs to identify exogenous intensification of competition, difference-in-difference estimations support the causal impact of cash on product market performance. Moreover, the analysis reveals that the competitive effect of cash is markedly distinct from the strategic effect of debt on product market outcomes. This effect is stronger when rivals fac...
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作者：Ang, Andrew; Bhansali, Vineer; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Rice University
摘要：Implicit tax rates priced in the cross section of municipal bonds are approximately two to three times as high as statutory income tax rates, with implicit tax rates close to 100% using retail trades and above 70% for interdealer trades. These implied tax rates can be identified because a portion of secondary market municipal bond trades involves income taxes. After valuing the tax payments, market discount bonds, which carry income tax liabilities, trade at yields around 25 basis points highe...
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作者：Hoberg, Gerard; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine how product market competition affects firm cash flows and stock returns in industry booms and busts. Our results show how real and financial factors interact in industry business cycles. In competitive industries, we find that high industry-level stock market valuation, investment, and financing are followed by sharply lower operating cash flows and abnormal stock returns. Analyst estimates are positively biased and returns comove more. In concentrated industries these relations ar...
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作者：Liberti, Jose M.; Mian, Atif R.
作者单位：DePaul University; University of Chicago; National Bureau of Economic Research
摘要：We show that institutions that promote financial development ease borrowing constraints by lowering the collateral spread and shifting the composition of acceptable collateral towards firm-specific assets. Collateral spread is defined as the difference in collateralization rates between high- and low-risk borrowers. The average collateral spread is large but declines rapidly with improvements in financial development driven by stronger institutions. We also show that the composition of collate...
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作者：Verdelhan, Adrien
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper presents a model that reproduces the uncovered interest rate parity puzzle. Investors have preferences with external habits. Countercyclical risk premia and procyclical real interest rates arise endogenously. During bad times at home, when domestic consumption is close to the habit level, the representative investor is very risk averse. When the domestic investor is more risk averse than her foreign counterpart, the exchange rate is closely tied to domestic consumption growth shocks...
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作者：Roussanov, Nikolai
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Social status concerns influence investors' decisions by driving a wedge in attitudes toward aggregate and idiosyncratic risks. I model such concerns by emphasizing the desire to get ahead of the Joneses, which implies that aversion to idiosyncratic risk is lower than aversion to aggregate risk. The model predicts that investors hold concentrated portfolios in equilibrium, which helps rationalize the small premium for undiversified entrepreneurial risk. In the model, status concerns are more i...
