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作者：Boons, Martijn; Ottonello, Giorgio; Valkanov, Rossen
作者单位：Tilburg University; Universidade Nova de Lisboa; University of California System; University of California San Diego
摘要：The response of corporate bond credit spreads to three exogenous macro shocks-oil supply, investment-specific technology, and government spending-is large, significant, and a mirror image of macroeconomic activity. This countercyclicality is driven largely by credit risk premia and translates into significant return predictability. Equity risk premia exhibit similar responses, providing external validity. Information rigidities and leverage play a key role in the transmission of the shocks. Si...
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作者：Griffin, John M. M.; Priest, Alex
作者单位：University of Texas System; University of Texas Austin; University of Rochester; University of Texas System; University of Texas Austin
摘要：Commercial loan valuations crucially depend on accurate loan income, but underwritten income on commercial mortgage-backed securities (CMBS) loans is commonly overstated relative to actual property income. Consistent with these differences being originator-specific, income overstatement in CMBS 2.0 deals varies widely and persistently across originators, is priced by originators, is related across property types within an originator, is predictable ex ante, and is accompanied by inflation of p...
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作者：Schallheim, Jim
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作者：Axelson, Ulf; Makarov, Igor
作者单位：University of London; London School Economics & Political Science
摘要：We show that information aggregation in primary financial markets fails precisely when investors hold socially useful information for screening projects. Being wary of the Winner's Curse, less optimistic investors refrain from making financing offers, since their offers would be accepted only when a project is unviable. Their information is therefore lost. The Winner's Curse and associated information loss grow with the number of informed market participants, so that larger markets can lead to...
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作者：Demarzo, Peter M.; Kaniel, Ron
作者单位：Stanford University; National Bureau of Economic Research; University of Rochester; Reichman University; University of Rochester
摘要：We consider multiagent multifirm contracting when agents benchmark their wages to those of their peers, using weights that vary within and across firms. When a single principal commits to a public contract, optimal contracts hedge relative wage risk without sacrificing efficiency. But compensation benchmarking undoes performance benchmarking, causing wages to load positively on peer output, and asymmetries in peer effects can be exploited to enhance profits. With multiple principals, a rat rac...
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作者：Skrastins, Janis
作者单位：Washington University (WUSTL)
摘要：A large Brazilian agribusiness lender introduces a new contracting technology: grain warehouses. Using runner-up warehouse locations as a control group, I find that construction of these warehouses permits a new debt contract, namely, barter credit repayable in grain. This contract increases borrowers' debt capacity and reduces borrowing costs. The effects are stronger when grain price risk is higher, for municipalities with weaker courts, and for financially constrained borrowers. These findi...
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作者：Calvet, Laurent E.; Celerier, Claire; Sodini, Paolo; Vallee, Boris
作者单位：Universite Catholique de Lille; EDHEC Business School; University of Toronto; Stockholm School of Economics; Harvard University; Universite Catholique de Lille; EDHEC Business School
摘要：This paper shows that securities with nonlinear payoff designs can foster household risk-taking. We demonstrate this effect by exploiting the introduction of capital guarantee products in Sweden between 2002 and 2007. Their fast and broad adoption is associated with an increase in expected financial portfolio returns. The effect is especially strong for households with low-risk appetite ex ante. These empirical facts are consistent with a life-cycle model in which households have pessimistic b...
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作者：Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo
作者单位：University of Toronto; University of London; London Business School; Centre for Economic Policy Research - UK; Bank of Canada; University of London; London Business School
摘要：This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory depend directly on the conditional nominal term premium, giving rise to an optimal debt-maturity policy that is state-depende...
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作者：Denes, Matthew; Howell, Sabrina T. T.; Mezzanotti, Filippo; Wang, Xinxin; Xu, Ting
作者单位：Carnegie Mellon University; New York University; Northwestern University; University of California System; University of California Los Angeles; University of Toronto
摘要：Angel investor tax credits are used globally to spur high-growth entrepreneurship. Exploiting their staggered implementation in 31 U.S. states, we find that they increase angel investment yet have no significant impact on entrepreneurial activity. Two mechanisms explain these results: crowding out of alternative financing and low sensitivity of professional investors to tax credits. With a large-scale survey and a stylized model, we show that low responsiveness among professional angels may re...
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作者：Schoar, Antoinette
