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作者：Han, Bing; Longstaff, Francis A.; Merrill, Craig
作者单位：University of Texas System; University of Texas Austin; University of California System; University of California Los Angeles; National Bureau of Economic Research; Brigham Young University
摘要：We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of these bonds. Although the Treasury had the option to cherry pick from among the bonds offered, we find t...
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作者：Edwards, Amy K.; Harris, Lawrence E.; Piwowar, Michael S.
作者单位：U.S. Securities & Exchange Commission (SEC); University of Southern California
摘要：Using a complete record of U.S. over-the-counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and t...
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作者：Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.
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作者：Covitz, Dan; Downing, Chris
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作者：di Patti, Emilia Bonaccorsi; Gobbi, Giorgio
摘要：We estimate the impact of bank mergers and acquisitions (M&As) on outstanding credit, credit lines, and the sensitivity of investment to cash flow using a large sample of Italian corporate borrowers. We distinguish between firms that experienced relationship termination as a consequence of bank M&As and those that did not. Our findings are consistent with bank M&As having an adverse effect on credit, particularly when the M&A is followed by relationship termination. The effect persists 3 years...
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作者：Jarrow, Robert; Li, Haitao; Zhao, Feng
作者单位：Cornell University; University of Michigan System; University of Michigan; Rutgers University System; Rutgers University New Brunswick
摘要：Using 3 years of interest rate caps price data, we provide a comprehensive documentation of volatility smiles in the caps market. To capture the volatility smiles, we develop a multifactor term structure model with stochastic volatility and jumps that yields a closed-form formula for cap prices. We show that although a three-factor stochastic volatility model can price at-the-money caps well, significant negative jumps in interest rates are needed to capture the smile. The volatility smile con...
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作者：Brusco, Sandro; Castiglionesi, Fabio
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作者：Green, Richard C.
作者单位：Carnegie Mellon University
摘要：I model strategic interaction among issuers, underwriters, retail investors, and institutional investors when the secondary market has limited price transparency. Search costs for retail investors lead to price dispersion in the secondary market, while the price for institutional investors is infinitely elastic. Because retail distribution capacity is assumed to be limited for each underwriter-dealer, Bertrand competition breaks down in the primary market and new issues are underpriced in equi...
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作者：Franzen, Laurel A.; Rodgers, Kimberly J.; Simin, Timothy T.
作者单位：University of Texas System; University of Texas Dallas; New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Because of upward trends in research and development activity, accounting measures of financial distress have become less accurate. We document that (1) higher research and development spending increases the likelihood of misclassifying solvent firms, (2) adjusting for conservative accounting of research and development increases the number of correctly identified distressed firms, and (3) adjusted measures of distress alleviate previously documented anomalously low returns of large, high dist...
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作者：Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; Saita, Leandro
作者单位：Santa Clara University; Stanford University; University of Massachusetts System; University of Massachusetts Amherst
摘要：We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or frailty (unobservable explanatory variables that are correlated across firms). Our tests do not depend on the time-series properties of default intensities. The data do not support the joint hypothesis of well-spe...
