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作者：Livdan, Dmitry; Sapriza, Horacio; Zhang, Lu
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We study the effect of financial constraints on risk and expected returns by extending the investment-based asset pricing framework to incorporate retained earnings, debt, costly equity, and collateral constraints on debt capacity. Quantitative results show that more financially constrained firms are riskier and earn higher expected stock returns than less financially constrained firms. Intuitively, by preventing firms from financing all desired investments, collateral constraints restrict the...
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作者：Morrison, Alan D.; White, Lucy
作者单位：University of Oxford
摘要：We analyze the desirability of level playing fields in international financial regulation. In general, level playing fields impose the standards of the weakest regulator upon the best-regulated economies. However, they may be desirable when capital is mobile because they counter a cherry-picking effect that lowers the size and efficiency of banks in weaker economies. Hence, while a laissez faire policy favors the better-regulated economy, level playing fields are good for weaker regulators. We...
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作者：Hahn, Jaehoon; Lee, Hangyong
作者单位：Yonsei University; Hanyang University
摘要：Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sec...
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作者：Bates, Thomas W.; Kahle, Kathleen M.; Stulz, Rene M.
作者单位：Arizona State University; Arizona State University-Tempe; University System of Georgia; University of Georgia; University System of Ohio; Ohio State University
摘要：The average cash-to-assets ratio for U.S. industrial firms more than doubles from 1980 to 2006. A measure of the economic importance of this increase is that at the end of the sample period, the average firm can retire all debt obligations with its cash holdings. Cash ratios increase because firms' cash flows become riskier. In addition, firms change: They hold fewer inventories and receivables and are increasingly R&D intensive. While the precautionary motive for cash holdings plays an import...
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作者：Fang, Lily; Peress, Joel
摘要：By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news. We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and sto...
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作者：Brown, James R.; Fazzari, Steven M.; Petersen, Bruce C.
作者单位：Washington University (WUSTL); Montana State University System; Montana State University Bozeman
摘要：The financing of R&D provides a potentially important channel to link finance and economic growth, but there is no direct evidence that financial effects are large enough to impact aggregate R&D. U.S. firms finance R&D from volatile sources: cash flow and stock issues. We estimate dynamic R&D models for high-tech firms and find significant effects of cash flow and external equity for young, but not mature, firms. The financial coefficients for young firms are large enough that finance supply s...
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作者：Van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：New York University; National Bureau of Economic Research; New York University
摘要：Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why does global information access not eliminate this asymmetry ? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies i...
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作者：Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; Saita, Leandro
作者单位：Stanford University
摘要：The probability of extreme default losses on portfolios of U. S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and collateralized debt obligation (CDO) default losses are typically measured for economic capital and rating purposes, conventionally based loss estimates are downward biased by a full order of magnitude on t...
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作者：Driessen, Joost; Maenhout, Pascal J.; Vilkov, Grigory
作者单位：University of Amsterdam
摘要：We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross-section of index and individual option returns ...
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作者：Hasbrouck, Joel
作者单位：New York University
摘要：The effective cost of trading is usually estimated from transaction-level data. This study proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the daily Gibbs estimate achieves a correlation of 0.965 with the transaction-level estimate. When the Gibbs estimates are incorporated into asset pricing specifications over a long historical sample (1926 to 2006), the results suggest that effective cost (as a characteristic) is positively related to stock returns. ...
