-
作者：Routledge, BR; Seppi, DJ; Spatt, CS
作者单位：Carnegie Mellon University
摘要：We develop an equilibrium model of the term structure of forward prices for storable commodities. As a consequence of a nonnegativity constraint on inventory, the spot commodity has an embedded timing option that is absent in forward contracts. This option's value changes over time due to both endogenous inventory and exogenous transitory shocks to supply and demand. Our model makes predictions about Volatilities of forward prices at different horizons and shows how conditional violations of t...
-
作者：Cvitanic, J
作者单位：University of Southern California
-
作者：Kaul, A; Mehrotra, V; Morck, R
作者单位：University of Alberta
摘要：Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event wee...
-
作者：Scharfstein, DS; Stein, JC
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; National Bureau of Economic Research
摘要：We develop a two-tiered agency model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. By rent-seeking, division managers can raise their bargaining power and extract greater overall compensation from the CEO. And because the CEO is herself an agent of outside investors, this extra compensation may take the form not of cash wages, but rather of preferential capital budgeting allocations. One interesting feature of our ...
-
作者：Graham, JR
作者单位：Duke University
摘要：I integrate under firm-specific benefit functions to estimate that the capitalized tax benefit of debt equals 9.7 percent of firm value (or as low as 4.3 percent, net of personal taxes). The typical firm could double tax benefits by issuing debt until the marginal tax benefit begins to decline. I infer how aggressively a firm uses debt by observing the shape of its tax benefit Function. Paradoxically, large, liquid, profitable Firms with low expected distress costs use debt conservatively. Pro...
-
作者：Kahn, C; Pennacchi, G; Sopranzetti, B
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Rutgers University System; Rutgers University New Brunswick
摘要：Like security prices, retail deposit interest rates cluster around integers and even fractions. However, explanations for security price clustering are incompatible with deposit rate clustering. A theory based on the limited recall of retail depositors is proposed. It predicts that banks tend to set rates at integers and that rates are sticky at these levels. The propensity for integer rates increases with the level of wholesale interest rates and deposit market concentration. When banks set n...
-
作者：Biais, B; Casamatta, C
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole
摘要：We analyze the optimal financing of investment projects when managers must exert unobservable effort and can also switch to less profitable riskier ventures. Optimal financial contracts can be implemented by a combination of debt and equity when the risk-shifting problem is the most severe while stock options are also needed when the effort problem is the most severe. Worsening of the moral hazard problems leads to decreases in investment and output at the macroeconomic level. Moreover, aggreg...
-
作者：Garvey, GT; Hanka, G
作者单位：University of British Columbia; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We find that firms protected by second generation state antitakeover laws substantially reduce their use of debt, and that unprotected firms do the reverse. This result supports recent models in which the threat of hostile takeover motivates managers to take on debt they would otherwise avoid. An implication is that legal barriers to takeovers may increase corporate slack.
-
作者：Habib, MA; Johnsen, DB
作者单位：University of London; London Business School; George Mason University
摘要：We model the role various forms of nonrecourse secured debt play in efficiently redeploying assets whose value is state-specific. Ex ante, an entrepreneur and an asset redeployer make noncontractible state-specific investments in the primary and next-best uses of an asset, respectively. The redeployer provides a secured nonrecourse loan equal to the value of the asset in the critical state that separates the good and bad states. In the event of a bad state, this contract averts ex post bargain...
-
作者：Kan, R; Zhang, C
作者单位：University of Toronto; Hong Kong University of Science & Technology; University of Alberta
摘要：In this paper we investigate the properties of the standard two-pass methodology of testing beta pricing models with misspecified factors. In a setting where a factor is useless, defined as being independent of all the asset returns, we provide theoretical results and simulation evidence that the second-pass cross-sectional regression tends to find the beta risk of the useless factor priced more often than it should. More surprisingly, this misspecification bias exacerbates when the number of ...
