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作者：Wang, Tracy Yue; Winton, Andrew; Yu, Xiaoyun
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Shanghai Jiao Tong University
摘要：We examine how a firm's incentive to commit fraud when going public varies with investor beliefs about industry business conditions. Fraud propensity increases with the level of investor beliefs about industry prospects but decreases when beliefs are extremely high. We find that two mechanisms are at work: monitoring by investors and short-term executive compensation, both of which vary with investor beliefs about industry prospects. We also find that monitoring incentives of investors and und...
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作者：Carlson, Murray; Lazrak, Ali
作者单位：University of British Columbia; Hautes Etudes Commerciales (HEC) Paris
摘要：We model the debt and asset risk choice of a manager with performance-insensitive pay (cash) and performance-sensitive pay (stock) to theoretically link compensation structure, leverage, and credit spreads. The model predicts that optimal leverage trades off the tax benefit of debt against the utility cost of ex-post asset substitution and that credit spreads are increasing in the ratio of cash-to-stock. Using a large cross-section of U.S.-based corporate credit default swaps (CDS) covering 20...
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作者：Berk, Jonathan B.; Stanton, Richard; Zechner, Josef
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California Berkeley; Vienna University of Economics & Business
摘要：We derive the optimal labor contract for a levered firm in an economy with perfectly competitive capital and labor markets. Employees become entrenched under this contract and so face large human costs of bankruptcy. The firm's optimal capital structure therefore depends on the trade-off between these human costs and the tax benefits of debt. Optimal debt levels consistent with those observed in practice emerge without relying on frictions such as moral hazard or asymmetric information. Consis...
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作者：Povel, Paul; Singh, Rajdeep
作者单位：University of Houston System; University of Houston; University of Minnesota System; University of Minnesota Twin Cities
摘要：Stapled finance is a loan commitment arranged by a seller in an M&A setting. Whoever wins the bidding contest has the option (not the obligation) to accept this loan commitment. We show that stapled finance increases bidding competition by subsidizing weak bidders, who raise their bids and thereby the price that strong bidders (who are more likely to win) must pay. The lender expects not to break even and must be compensated for offering the loan. This reduces but does not eliminate the seller...
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作者：Campbell, John Y.; Serfaty-De Medeiros, Karine; Viceira, Luis M.
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little e...
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作者：Korteweg, Arthur
作者单位：Stanford University
摘要：I estimate the market's valuation of the net benefits to leverage using panel data from 1994 to 2004, identified from market values and betas of a company's debt and equity. The median firm captures net benefits of up to 5.5% of firm value. Small and profitable firms have high optimal leverage ratios, as predicted by theory, but in contrast to existing empirical evidence. Companies are on average slightly underlevered relative to the optimal leverage ratio at refinancing. This result is mainly...
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作者：Grenadier, Steven R.; Malenko, Andrey
作者单位：Stanford University
摘要：Traditional real options models demonstrate the importance of the option to wait due to uncertainty over future shocks to project cash flows. However, there is often another important source of uncertainty: uncertainty over the permanence of past shocks. Adding Bayesian uncertainty over the permanence of past shocks augments the traditional option to wait with an additional option to learn. The implied investment behavior differs significantly from that in standard models. For example, investm...
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作者：Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M.
作者单位：Northeastern University; George Mason University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion. Specifically, large adverse shocks to credit spreads, the TED spread, prime broker and bank stock prices, stock market liquidity, and hedge fund flows are associated with a significant increase in the probabilit...
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作者：Green, Richard C.; Li, Dan; Schuerhoff, Norman
作者单位：Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
摘要：We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices rise faster than they fall. Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is a...
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作者：Ai, Hengjie
作者单位：Duke University
摘要：I study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps-Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk-free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal...
