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作者：Gomes, Joao F.; Schmid, Lukas
作者单位：University of Pennsylvania; Duke University
摘要：This paper revisits the theoretical relation between financial leverage and stock returns in a dynamic world where both corporate investment and financing decisions are endogenous. We find that the link between leverage and stock returns is more complex than static textbook examples suggest, and depends on the investment opportunities available to the firm. In the presence of financial market imperfections, leverage and investment are generally correlated so that highly levered firms are also ...
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作者：Hsu, Hung-Chia; Reed, Adam V.; Rocholl, Joerg
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee; University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the effect of initial public offerings (IPOs) on industry competitors and provide evidence that companies experience negative stock price reactions to completed IPOs in their industry and positive stock price reactions to their withdrawal. Following a successful IPO in their industry, they show significant deterioration in their operating performance. These results are consistent with the existence of IPO-related competitive advantages through the loosening of financial constraints,...
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作者：Gerardi, Kristopher S.; Rosen, Harvey S.; Willen, Paul S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We develop a technique to assess the impact of changes in mortgage markets on households, exploiting an implication of the permanent income hypothesis: The higher a household's expected future income, the higher its desired consumption, ceteris paribus. With perfect credit markets, desired consumption matches actual consumption and current spending forecasts future income. Because credit market imperfections mute this effect, the extent to which house spending predicts future income measures t...
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作者：Banerjee, Snehal; Kremer, Ilan
作者单位：Northwestern University; Stanford University
摘要：The empirical evidence on investor disagreement and trading volume is difficult to reconcile in standard rational expectations models. We develop a dynamic model in which investors disagree about the interpretation of public information. We obtain a closed-form linear equilibrium that allows us to study which restrictions on the disagreement process yield empirically observed volume and return dynamics. We show that when investors have infrequent but major disagreements, there is positive auto...
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作者：Heston, Steven L.; Korajczyk, Robert A.; Sadka, Ronnie
作者单位：University System of Maryland; University of Maryland College Park; Northwestern University; Boston College
摘要：Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by tempor...
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作者：Routledge, Bryan R.; Zin, Stanley E.
作者单位：Carnegie Mellon University; New York University; National Bureau of Economic Research
摘要：We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This feature comes from endogenous variation in the probability of disappointment in the representative agent's intertemporal consumption-saving problem that underlies the asset pricing model. The variation in eff...
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作者：Busse, Jeffrey A.; Goyal, Amit; Wahal, Sunil
作者单位：Emory University; Arizona State University; Arizona State University-Tempe
摘要：Using new, survivorship bias-free data, we examine the performance and persistence in performance of 4,617 active domestic equity institutional products managed by 1,448 investment management firms between 1991 and 2008. Controlling for the Fama-French (1993) three factors and momentum, aggregate and average estimates of alphas are statistically indistinguishable from zero. Even though there is considerable heterogeneity in performance, there is only modest evidence of persistence in three-fac...
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作者：Chen, Hui
作者单位：Massachusetts Institute of Technology (MIT)
摘要：I build a dynamic capital structure model that demonstrates how business cycle variation in expected growth rates, economic uncertainty, and risk premia influences firms' financing policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise endogenously through firms' responses to macroeconomic conditions. These comovements generate large credit risk premia for investment grade firms, which helps address the credit spread puzzle and the under-leverage...
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作者：van Binsbergen, Jules H.; Graham, John R.; Yang, Jie
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research; Duke University; Georgetown University
摘要：We use exogenous variation in tax benefit functions to estimate firm-specific cost of debt functions that are conditional on company characteristics such as collateral, size, and book-to-market. By integrating the area between the benefit and cost functions, we estimate that the equilibrium net benefit of debt is 3.5% of asset value, resulting from an estimated gross benefit (cost) of debt equal to 10.4% (6.9%) of asset value. We find that the cost of being overlevered is asymmetrically higher...
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作者：Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio
作者单位：Imperial College London; University of St Gallen; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging co...
