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作者：Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram
作者单位：Northwestern University; National Bureau of Economic Research; State University System of Florida; University of Florida; University of Chicago; Northwestern University
摘要：The share of secured debt issued (as a fraction of total corporate debt) declined steadily in the United States over the twentieth century. This stems partly from financial development giving creditors greater confidence that high-quality borrowers will respect their claims even if creditors do not obtain security upfront. Consequently, such borrowers prefer retaining financial flexibility by not giving security up front. Instead, security is given contingently-when a firm approaches distress....
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作者：Geng, Zhe; Pan, Jun
作者单位：Fudan University; Shanghai Jiao Tong University
摘要：Studying China's credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and a deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive...
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作者：Bisetti, Emilio; Karolyi, Stephen a.
作者单位：Hong Kong University of Science & Technology; United States Department of the Treasury; Office of the Comptroller of the Currency
摘要：We show that public banks face negative stock return jumps after missing their earnings per share (EPS) targets, and theoretically and quantitatively link these jumps to bunching behavior in the EPS surprise distribution. Bunching banks cut deposit rates to meet their targets, but do so at the expense of deposit outflows and franchise value losses. Local competitors, including private banks unexposed to capital market pressure, increase deposit rates, compensating depositors for switching. Our...
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作者：Maio, Paulo
作者单位：Hanken School of Economics; Getulio Vargas Foundation
摘要：The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a com...
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作者：Almeida, Heitor; Carvalho, Daniel; Kim, Taehyun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Indiana University System; Indiana University Bloomington; Chung Ang University
摘要：We provide novel evidence that funding frictions can limit firms' short-term investments in receivables and inventories, reducing their production capacity. We propose a credit multiplier driven by these considerations and empirically isolate its importance by comparing how a similar firm responds to shocks differently when these shocks are initiated in their most profitable quarter (main quarter). We implement this test using recurring and unpredictable shocks (e.g., oil shocks) and provide e...
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作者：Hassan, Tarek A.; Hollander, Stephan; Van Lent, Laurence; Tahoun, Ahmed
作者单位：Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Tilburg University; Frankfurt School Finance & Management; University of London; London Business School; Boston University
摘要：We propose a text-based method for measuring the cross-border propagation of large shocks at the firm level. We apply this method to estimate the expected costs, benefits, and risks of Brexit and find widespread reverberations in listed firms in 81 countries. International (i.e., non-U.K.) firms most exposed to Brexit uncertainty (the second moment) lost significant market value and reduced hiring and investment. International firms also overwhelmingly expected negative first-moment impacts fr...
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作者：Demiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman
作者单位：University of London; London Business School; Iowa State University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
摘要：Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk ...
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作者：Giglio, Stefano; Kelly, Bryan; Kozak, Serhiy
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University System of Maryland; University of Maryland College Park
摘要：We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross sectio...
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作者：Cho, Thummim; Polk, Christopher
作者单位：Korea University; University of London; London School Economics & Political Science
摘要：We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing mode...
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作者：Howell, Sabrina T.; Kuchler, Theresa; Snitkof, David; Stroebel, Johannes; Wong, Jun
作者单位：National Bureau of Economic Research; University of Chicago; New York University
摘要：Process automation reduces racial disparities in credit access by enabling smaller loans, broadening banks' geographic reach, and removing human biases from decision making. We document these findings in the context of the Paycheck Protection Program (PPP), where private lenders faced no credit risk but decided which firms to serve. Black-owned firms obtained PPP loans primarily from automated fintech lenders, especially in areas with high racial animus. After traditional banks automated their...
