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作者：Bahaj, Saleem; Malherbe, Frederic
作者单位：University of London; University College London
摘要：Government guarantees generate an implicit subsidy for banks. A capital requirement reduces this subsidy, through a simple liability composition effect. However, the guarantees also make a bank undervalue loans that generates surplus in states of the world in which it defaults. Raising the capital requirement makes the bank safer, which alleviates this problem. We refer to this mechanism, which we argue is empirically relevant, as theforced safety effect.
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作者：Cunat, Vicente; Gine, Mireia; Guadalupe, Maria
作者单位：University of Pennsylvania; University of Navarra; IESE Business School; INSEAD Business School
摘要：We study the effects of anti-takeover provisions (ATPs) on the takeover probability, the takeover premium, and target selection. Voting to remove an ATP increases both the takeover probability and the takeover premium, that is, there is no evidence of a trade-off between premiums and takeover probabilities. We provide causal estimates based on shareholder proposals to remove ATPs and address the endogenous selection of targets through bounding techniques. The positive premium effect in less pr...
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作者：Bennedsen, Morten; Perez-Gonzalez, Francisco; Wolfenzon, Daniel
作者单位：University of Copenhagen; INSEAD Business School; Columbia University
摘要：Using variation in firms' exposure to their CEOs resulting from hospitalization, we estimate the effect of chief executive officers (CEOs) on firm policies, holding firm-CEO matches constant. We document three main findings. First, CEOs have a significant effect on profitability and investment. Second, CEO effects are larger for younger CEOs, in growing and family-controlled firms, and in human-capital-intensive industries. Third, CEOs are unique: the hospitalization of other senior executives...
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作者：Chen, Hui; Michaux, Michael; Roussanov, Nikolai
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Southern California; University of Pennsylvania
摘要：Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Ta...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill
摘要：Why do firms choose high debt when they anticipate high valuations, and underperform subsequently? We propose a theory of financing cycles where the importance of creditors' control rights over cash flows (pledgeability) varies with industry liquidity. The market allows firms take on more debt when they anticipate higher future liquidity. However, both high anticipated liquidity and the resulting high debt limit their incentives to enhance pledgeability. This has prolonged adverse effects in a...
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作者：Kuchler, Theresa; Zafar, Basit
作者单位：New York University; Arizona State University; Arizona State University-Tempe
摘要：Using novel survey data, we document that individuals extrapolate from recent personal experiences when forming expectations about aggregate economic outcomes. Recent locally experienced house price movements affect expectations about future U.S. house price changes and higher experienced house price volatility causes respondents to report a wider distribution over expected U.S. house price movements. When we exploit within-individual variation in employment status, we find that individuals wh...
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作者：Piacentino, Giorgia
作者单位：Columbia University; Centre for Economic Policy Research - UK
摘要：I show that venture capitalists' motivation to build reputation can have beneficial effects in the primary market, mitigating information frictions and helping firms go public. Because uninformed reputation-motivated venture capitalists want to appear informed, they are biased against backing firms-by not backing firms, they avoid taking low-value firms to market, which would ultimately reveal their lack of information. In equilibrium, reputation-motivated venture capitalists back relatively f...
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作者：Chinco, Alex; Clark-Joseph, Adam D.; Ye, Mao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling one-minute-ahead return forecasts using the entire cross-section of lagged returns as candidate predictors. The LASSO increases both out-of-sample fit and forecast-implied Sharpe ratios. This out-of-sample success comes from identifying predictors that are unexpected, short-lived, and sparse. Although the LASSO uses a statistical rule rather than economic intuition to identify predictors, the predict...
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作者：Li, Dan; Schurhoff, Norman
作者单位：Federal Reserve System - USA; University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
摘要：Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory data show that this network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow from periphery to core and partially back. Central dealers charge investors up to double the round-trip markups compared to peripheral dealers. In turn, central dealers provide immediacy by matching buyers with sellers more...
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作者：Doshi, Hitesh; Jacobs, Kris; Kumar, Praveen; Rabinovitch, Ramon
作者单位：University of Houston System; University of Houston
摘要：Building on theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross-section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevere...
