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作者：Barillas, Francisco; Shanken, Jay
作者单位：Emory University; National Bureau of Economic Research
摘要：A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a moment...
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作者：Karpoff, Jonathan M.; Wittry, Michael D.
作者单位：University of Washington; University of Washington Seattle
摘要：We argue and demonstrate empirically that a firm's institutional and legal context has first-order effects in tests that use state antitakeover laws for identification. A priori, the size and direction of a law's effect on a firm's takeover protection depends on (i) other state antitakeover laws, (ii) preexisting firm-level takeover defenses, and (iii) the legal regime as reflected by important court decisions. In addition, (iv) state antitakeover laws are not exogenous for many easily identif...
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作者：Ferreira, Daniel; Ferreira, Miguel A.; Mariano, Beatriz
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; Universidade Nova de Lisboa; City St Georges, University of London
摘要：We find that the number of independent directors on corporate boards increases by approximately 24% following financial covenant violations in credit agreements. Most of these new directors have links to creditors. Firms that appoint new directors after violations are more likely to issue new equity, and to decrease payout, operational risk, and CEO cash compensation, than firms without such appointments. We conclude that a firm's board composition, governance, and policies are shaped by curre...
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作者：Jylhae, Petri
作者单位：Aalto University
摘要：Between 1934 and 1974, the Federal Reserve changed the initial margin requirement for the U.S. stock market 22 times. I use this variation to show that investors' leverage constraints affect the pricing of risk. Consistent with earlier theoretical predictions, I find that tighter leverage constraints result in a flatter relation between betas and expected returns. My results provide strong empirical support for the idea that the constraints investors face may help explain the empirical failure...
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作者：Azar, Jose; Schmalz, Martin C.; Tecu, Isabel
作者单位：University of Navarra; IESE Business School; University of Michigan System; University of Michigan; European Corporate Governance Institute; Charles River Associates
摘要：Many natural competitors are jointly held by a small set of large institutional investors. In the U.S. airline industry, taking common ownership into account implies increases in market concentration that are 10 times larger than what is presumed likely to enhance market power by antitrust authorities. Within-route changes in common ownership concentration robustly correlate with route-level changes in ticket prices, even when we only use variation in ownership due to the combination of two la...
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作者：Nathanson, Charles G.; Zwick, Eric
作者单位：Northwestern University; University of Chicago; National Bureau of Economic Research
摘要：This paper studies the role of disagreement in amplifying housing cycles. Speculation is easier in the land market than in the housing market due to frictions that make renting less efficient than owner-occupancy. As a result, undeveloped land facilitates construction and intensifies the speculation that causes booms and busts in house prices. This observation challenges the standard intuition that in cities where construction is easier, house price booms are smaller. It can also explain why t...
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作者：Duffee, Gregory R.
作者单位：Johns Hopkins University
摘要：Shocks to nominal bond yields consist of news about expected future inflation, expected future real short rates, and expected excess returnsall over the bond's life. I estimate the magnitude of the first component for short- and long-maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation account for between 10% to 20% of variances of yield shocks. Standard dynamic models with long-run risk imply variance ratios close to 1. Habit formation models fare some...
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作者：Weber, Matthias; Duffy, John; Schram, Arthur
作者单位：Vilnius University; Bank of Lithuania; Vilnius University; University of St Gallen; University of California System; University of California Irvine; European University Institute; University of Amsterdam
摘要：An important feature of bond markets is the relationship between the initial public offering (IPO) price and the probability that the issuer defaults. On the one hand, the default probability affects the IPO price; on the other hand, the IPO price affects the default probability. It is a priori unclear whether agents can competitively price such assets. Our paper is the first to explore this question. To do so, we use laboratory experiments. We develop two flexible bond market models that are ...
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作者：Schwert, Michael
作者单位：University System of Ohio; Ohio State University
摘要：This paper investigates the mechanisms behind the matching of banks and firms in the loan market and the implications of this matching for lending relationships, bank capital, and credit provision. I find that bank-dependent firms borrow from well-capitalized banks, while firms with access to the bond market borrow from banks with less capital. This matching of bank-dependent firms with stable banks smooths cyclicality in aggregate credit provision and mitigates the effects of bank shocks on t...
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作者：Hombert, Johan; Matray, Adrien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK; Princeton University
摘要：We study whether R&D-intensive firms are more resilient to trade shocks. We correct for the endogeneity of R&D using tax-induced changes to R&D costs. While rising imports from China lead to slower sales growth and lower profitability, these effects are significantly smaller for firms with a larger stock of R&D (about half when moving from the bottom quartile to the top quartile of R&D). We provide evidence that this effect is explained by R&D allowing firms to increase product differentiation...
