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作者：Abel, Andrew B.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：I develop a dynamic model of leverage with tax deductible interest and an endogenous cost of default. The interest rate includes a premium to compensate lenders for expected losses in default. A borrowing constraint is generated by lenders' unwillingness to lend an amount that would trigger immediate default. When the borrowing constraint is not binding, the trade-off theory of debt holds: optimal debt equates the marginal interest tax shield and the marginal expected cost of default. Contrary...
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作者：Andonov, Aleksandar; Hochberg, Yael V.; Rauh, Joshua D.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Rice University; National Bureau of Economic Research; Stanford University
摘要：Representation on pension fund boards by state officialsoften determined by statute decades pastis negatively related to the performance of private equity investments made by the pension fund, despite state officials' relatively strong financial education and experience. Their underperformance appears to be partly driven by poor investment decisions consistent with political expediency, and is also positively related to political contributions from the finance industry. Boards dominated by ele...
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作者：Loh, Roger K.; Stulz, Rene M.
作者单位：Singapore Management University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Because uncertainty is high in bad times, investors find it harder to assess firm prospects and hence should value analyst output more. However, higher uncertainty makes analysts' tasks harder, so it is unclear whether analyst output is more valuable in bad times. We find that in bad times, analyst revisions have a larger stock-price impact, earnings forecast errors per unit of uncertainty fall, and analyst reports are more frequent and longer. The increased impact of analysts is also more pro...
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作者：Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei
作者单位：University of Oxford; Bocconi University; Bocconi University; Harvard University
摘要：We present a model of credit cycles arising from diagnostic expectationsa belief formation mechanism based on Kahneman and Tversky's representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework...
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作者：Karolyi, Stephen Adam
作者单位：Carnegie Mellon University
摘要：I identify the effects of personal relationships on loan contracting using executive deaths and retirements at other firms as a source of exogenous variation in executive turnover. After plausibly exogenous turnover, borrowers choose lenders with which their new executives have personal relationships 4.1 times as frequently, and loans from these lenders have 20 basis points lower spreads and 12.5% larger amounts. Personal relationships benefit firms across loan terms, especially during macroec...
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作者：Dugast, Jerome
作者单位：Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS)
摘要：When unscheduled news arrives, investors react with a stochastic delay yet still may exploit new information. In this context, I study the equilibrium dynamics of limit order markets. Continuous idiosyncratic liquidity shocks result in trades on both sides of the order book. News therefore arrives at random times. Following news, order flows become unbalanced and market depth is consumed, leading to positive covariance between price variability, trading volume, and order book unbalances. Holdi...
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作者：Bai, Jennie; Krishnamurthy, Arvind; Weymuller, Charles-Henri
作者单位：Georgetown University; Stanford University; National Bureau of Economic Research
摘要：This paper constructs a liquidity mismatch index (LMI) to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities, for 2,882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from +$4 trillion precrisis to -$6 trillion in 2008. We conduct an LMI stress test revealing the fragility of the banking system in early 2007. Moreover, LMI predicts a bank's stock market crash probability and borrowing decisions from the government during th...
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作者：Kozak, Serhiy; Nagel, Stefan; Santosh, Shrihari
作者单位：University of Michigan System; University of Michigan; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University System of Maryland; University of Maryland College Park
摘要：We argue that tests of reduced-form factor models and horse races between characteristics and covariances cannot discriminate between alternative models of investor beliefs. Since asset returns have substantial commonality, absence of near-arbitrage opportunities implies that the stochastic discount factor can be represented as a function of a few dominant sources of return variation. As long as some arbitrageurs are present, this conclusion applies even in an economy in which all cross-sectio...
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作者：Anderson, Ronald W.; Bustamante, M. Cecilia; Guibaud, Stephane; Zervos, Mihail
作者单位：University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
摘要：We study managerial incentive provision under moral hazard when growth opportunities arrive stochastically and pursuing them requires a change in management. A trade-off arises between the benefit of always having the right manager and the cost of incentive provision. The prospect of growth-induced turnover limits the firm's ability to rely on deferred pay, resulting in more front-loaded compensation. The optimal contract may insulate managers from the risk of growth-induced dismissal after pe...
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作者：Ferreira, Miguel A.; Matos, Pedro; Pires, Pedro
作者单位：Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Virginia
摘要：We study the performance of equity mutual funds run by asset management divisions of commercial banking groups using a worldwide sample. We show that bank-affiliated funds underperform unaffiliated funds by 92 basis points per year. Consistent with conflicts of interest, the underperformance is more pronounced among those affiliated funds that overweight the stock of the bank's lending clients to a great extent. Divestitures of asset management divisions by banking groups support a causal inte...
