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作者：Cao, Charles; Farnsworth, Grant; Zhang, Hong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Texas Christian University; Tsinghua University
摘要：This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated new funds. Empirically, based on a TASS-HFR-BarclayHedge merged database, we find that ...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints, reducing the aggregate consumption correlation and the correlation between aggregate cons...
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作者：Guest, Paul M.
作者单位：University of London; King's College London
摘要：Rampini, Viswanathan, and Vuillemey (RVV) show empirically that net worth drives hedging. I identify discrepancies to which RVV's key findings are not robust: the positive correlation between net worth and hedging is not independent of institution size, house price decline shocks to net worth (which RVV use for identification) have mixed effects on hedging that are not robust across alternative specifications, and the treatment effects on net worth and hedging are not increasing in real estate...
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作者：Chen, Huaizhi; Cohen, Lauren; Gurun, Umit G.
作者单位：University of Notre Dame; Harvard University; University of Texas System; University of Texas Dallas
摘要：We provide evidence that bond fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. The problem is widespread, resulting in up to 31.4% of funds being misclassified with safer profiles, compared to their true, publicly reported holdings. Misclassified funds-those that hold risky bonds but claim to hold safer bonds-appear to on-average outperform lower risk funds in their peer groups. Within category groups, mis...
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作者：Bachas, Pierre; Gertler, Paul; Higgins, Sean; Seira, Enrique
作者单位：The World Bank; University of California System; University of California Berkeley; Northwestern University; Instituto Tecnologico Autonomo de Mexico
摘要：We study an at-scale natural experiment in which debit cards were given to cash transfer recipients who already had a bank account. Using administrative account data and household surveys, we find that beneficiaries accumulated a savings stock equal to 2% of annual income after two years with the card. The increase in formal savings represents an increase in overall savings, financed by a reduction in current consumption. There are two mechanisms. First, debit cards reduce transaction costs of...
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作者：Gormsen, Niels Joachim
作者单位：University of Chicago
摘要：I study the term structure of one-period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. More generally, the average and cyclicality of the slope ar...
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作者：Jiang, Wei; Ou, Jitao; Zhu, Zhongyan
作者单位：Columbia University; Hong Kong Baptist University
摘要：This study analyzes the motivations for and consequences of funds' credit default swap (CDS) investments using mutual funds' quarterly holdings from pre- to postfinancial crisis. Funds invest in CDS when facing unpredictable liquidity needs. Funds sell more in reference entities when the CDS is liquid relative to the underlying bonds and buy more when the CDS-bond basis is more negative. To enhance yield, funds engage in negative basis trading and sell CDS with the highest spreads within ratin...
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作者：Ruiz-Verdu, Pablo; Singh, Ravi
作者单位：Universidad Carlos III de Madrid
摘要：We analyze how boards' reputational concerns influence executive compensation and the use of hidden pay. Independent boards reduce disclosed pay to signal their independence, but are more likely than manager-friendly boards to use hidden pay or to distort incentive contracts. Stronger reputational pressures lead to lower disclosed pay, weaker managerial incentives, and higher hidden pay, whereas greater transparency of executive compensation has the opposite effects. Although reputational conc...
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作者：Gomes, Joao F.; Schmid, Lukas
作者单位：University of Pennsylvania; University of Southern California; Center for Economic & Policy Research (CEPR)
摘要：We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage produce realistic asset return dynamics. Countercyclical leverage drives predictable vari...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; National Bureau of Economic Research; European Corporate Governance Institute
摘要：We explain why banks and nonbank intermediaries coexist in a model based only on differences in their funding costs. Banks enjoy a low cost of capital due to safety nets and money-like liabilities. We show that this can actually be a disadvantage: it generates a soft-budget-constraint problem that makes it difficult for banks to credibly threaten to withhold additional funding to failed projects. Nonbanks emerge to solve this problem. Their high cost of capital is an advantage: it allows them ...
