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作者：Friewald, Nils; Nagler, Florian; Wagner, Christian
作者单位：Norwegian School of Economics (NHH); Center for Economic & Policy Research (CEPR); Bocconi University; Bocconi University; Vienna University of Economics & Business
摘要：This paper presents empirical evidence that the maturity structure of financial leverage affects the cross-section of equity returns. We find that short-term leverage is associated with a positive premium, whereas long-term leverage is not. The premium for short-term compared to long-term leverage reflects higher exposure of equity to systematic risk. To rationalize our findings, we show that the same patterns emerge in a model of debt rollover risk with endogenous leverage and debt maturity c...
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作者：Fracassi, Cesare; Previtero, Alessandro; Sheen, Albert
作者单位：University of Texas System; University of Texas Austin; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; National Bureau of Economic Research; U.S. Securities & Exchange Commission (SEC)
摘要：We investigate the effects of private equity firms on product markets using price and sales data for an extensive number of consumer products. Following a private equity deal, target firms increase retail sales of their products 50% more than matched control firms. Price increases-roughly 1% on existing products-do not drive this growth; the launch of new products and geographic expansion do. Competitors reduce their product offerings and marginally raise prices. Cross-sectional results on tar...
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作者：Demiroglu, Cem; Franks, Julian; Lewis, Ryan
作者单位：Koc University; University of London; London Business School; University of Colorado System; University of Colorado Boulder
摘要：The average difference between the court value and postemergence market value of newly issued stocks in Chapter 11 reorganizations exceeds 50%. We show that public dissemination of transactions in defaulted bonds reduces this difference by 23% and largely eliminates interclaimant wealth transfers. The effects of dissemination are only significant when the bonds are sufficiently traded around the court valuation date and when they receive significant amounts of postemergence equity, indicating ...
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作者：Koijen, Ralph S. J.; Yogo, Motohiro
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Princeton University
摘要：Variable annuities, which package mutual funds with minimum return guarantees over long horizons, accounted for $1.5 trillion or 35% of U.S. life insurer liabilities in 2015. Sales decreased and fees increased during the global financial crisis, and insurers made guarantees less generous or stopped offering guarantees to reduce risk exposure. These effects persist in the low-interest rate environment after the global financial crisis, and variable annuity insurers suffered large equity drawdow...
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作者：Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang
作者单位：Johns Hopkins University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positiv...
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作者：Chinco, Alex; Hartzmark, Samuel M.; Sussman, Abigail B.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of Chicago; National Bureau of Economic Research
摘要：Textbook models assume that investors try to insure against bad states of the world associated with specific risk factors when investing. This is a testable assumption and we develop a survey framework for doing so. Our framework can be applied to any risk factor. We demonstrate the approach using consumption growth, which makes our results applicable to most modern asset-pricing models. Participants respond to changes in the mean and volatility of stock returns consistent with textbook models...
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作者：Di Giovanni, Julian; Hale, Galina
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; National Bureau of Economic Research
摘要：We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country-sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empir...
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作者：MARTEL, J. O. R. D. A. N.; MIRKIN, K. E. N. N. E. T. H.; WATERS, B. R. I. A. N.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Colorado System; University of Colorado Boulder
摘要：We study market dynamics when an owner learns about the quality of her asset over time. Since this information is private, the owner sells strategically to a less informed buyer following sufficient negative information. In response, market prices feature a U-shape and trading probabilities a hump-shape with respect to the time to sale. As the owner initially acquires greater information, buyers suffer greater adverse selection, and prices fall accordingly. Eventually, the probability of an in...
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作者：Parlour, Christine A.; Rajan, Uday; Walden, Johan
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We examine how the payment processing role of banks affects their lending activity. In our model, banks operate in separate zones, and issue claims to entrepreneurs who purchase some inputs outside their own zone. Settling bank claims across zones incurs a cost. In equilibrium, a liquidity externality arises when zones are sufficiently different in their outsourcing propensities-a bank may restrict its own lending because it needs to hold liquidity against claims issued by another bank. Our wo...
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作者：Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
作者单位：University of Luxembourg; Universita della Svizzera Italiana; University of Geneva
摘要：We develop a flexible and bias-adjusted approach to jointly examine skill, scalability, and value-added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related, as great investment ideas are difficult to scale up. The combination of skill and scalability produces a value-added that (i) is positive for the majority of funds, and (ii) approaches its optimal level after an adjustment period (possibly due to investor learning)....
