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作者：Akins, Brian; De Angelis, David; Gaulin, Maclean
作者单位：Rice University; Utah System of Higher Education; University of Utah
摘要：Change of management restrictions (CMRs) in loan contracts give lenders explicit ex ante control rights over managerial retention and selection. This paper shows that lenders use CMRs to mitigate risks arising from CEO turnover, especially those related to the loss of human capital and replacement uncertainty, thereby providing evidence that human capital risk affects debt contracting. With a CMR in place, the likelihood of CEO turnover decreases by more than half, and future firm performance ...
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作者：Goldstein, Itay; Huang, Chong
作者单位：University of Pennsylvania; University of California System; University of California Irvine
摘要：We analyze credit rating effects on firm investments in a rational bond financing game that features a feedback loop. The credit rating agency (CRA) inflates the rating, providing a biased but informative signal to creditors. Creditors' response to the rating affects the firm's investment decision and thus its credit quality, which is reflected in the rating. The CRA might reduce ex ante economic efficiency, which results solely from its strategic effect: the CRA assigns more firms high rating...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：I discuss a new intellectual paradigm, social economics and finance-the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is social transmission bias: systematic directional shift in signals or ideas induced by social transactions. I use five fables (models) to illustrate the novelty and scope of the transmission bias approach, a...
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作者：Chib, Siddhartha; Zeng, Xiaming; Zhao, Lingxiao
作者单位：Washington University (WUSTL); Washington University (WUSTL)
摘要：Revisiting the framework of (Barillas, Francisco, and Jay Shanken, 2018, Comparing asset pricing models, The Journal of Finance 73, 715-754). BS henceforth, we show that the Bayesian marginal likelihood-based model comparison method in that paper is unsound : the priors on the nuisance parameters across models must satisfy a change of variable property for densities that is violated by the Jeffreys priors used in the BS method. Extensive simulation exercises confirm that the BS method performs...
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作者：Schneider, Paul; Wagner, Christian; Zechner, Josef
作者单位：Universita della Svizzera Italiana
摘要：This paper shows that low-risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor-mimicking portfolios. Controlling for skewness renders the alphas of betting-against-beta and betting-against-volatility insignificant. We also show that the returns of ...
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作者：Chang, Briana; Szydlowski, Martin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Minnesota System; University of Minnesota Twin Cities
摘要：We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium features information dispersion and partial disclosure. Although conflicted fees lead to distorted information, they are irrelevant for customers' welfare: banning conflicted fees improves only the information quality, not customers' welfare. Instead, financial literacy education for the least informed custom...
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作者：Huang, Yi; Pagano, Marco; Panizza, Ugo
作者单位：Centre for Economic Policy Research - UK; University of Naples Federico II
摘要：In China, between 2006 and 2013, local public debt crowded out the investment of private firms by tightening their funding constraints while leaving state-owned firms' investment unaffected. We establish this result using a purpose-built data set for Chinese local public debt. Private firms invest less in cities with more public debt, with the reduction in investment larger for firms located farther from banks in other cities or more dependent on external funding. Moreover, in cities where pub...
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作者：Cohen, Lauren; Malloy, Christopher; Quoc Nguyen
作者单位：Harvard University; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications for firms' future returns and operations. A portfolio that shorts changers and buys nonchangers earns up to 188 basis points per month in alpha (over 22% per year) in the future. Moreover, changes to 10-Ks predict future earnings, profitability, future news announcements, and even future firm-level bankruptc...
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作者：Aretz, Kevin; Campello, Murillo; Marchica, Maria-Teresa
作者单位：University of Manchester; Alliance Manchester Business School; Cornell University; National Bureau of Economic Research
摘要：France's Ordonnance 2006-346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A differences-test strategy shows that firms operating newly pledgeable assets significantly increased their borrowing following the reform. Small, young, and financially constrained businesses benefitted the most, observing improved credit access and real-side outcomes. Start-ups emerged with higher at-incept...
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作者：Kleibergen, Frank; Zhan, Zhaoguo
作者单位：University of Amsterdam; University System of Georgia; Kennesaw State University
摘要：The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons-Ross-Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded when T and N are close, but show...
