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作者：Nagel, Stefan
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作者：Haddad, Valentin; Loualiche, Erik; Plosser, Matthew
作者单位：Princeton University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present value of performance gains and decreases the cost of holding an illiquid investment. A panel of U.S. buyouts confirms this view. The risk premium shapes changes in buyout characteristics over the cycle...
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作者：Chernenko, Sergey
作者单位：University System of Ohio; Ohio State University
摘要：I study the incentives of the collateral managers who selected securities for ABS CDOs-securitizations that figured prominently in the financial crisis. Specialized managers without other businesses that could suffer negative reputational consequences invested in low-quality securities underwritten by the CDO's arranger. These securities performed significantly worse than observationally similar securities. Managers investing in these securities were rewarded with additional collateral managem...
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作者：Schallheim, Jim
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作者：Riedl, Arno; Smeets, Paul
作者单位：Tilburg University; Maastricht University; Maastricht University; Maastricht University
摘要：To understand why investors hold socially responsible mutual funds, we link administrative data to survey responses and behavior in incentivized experiments. We find that both social preferences and social signaling explain socially responsible investment (SRI) decisions. Financial motives play less of a role. Socially responsible investors in our sample expect to earn lower returns on SRI funds than on conventional funds and pay higher management fees. This suggests that investors are willing...
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作者：Schallheim, Jim
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作者：Garmaise, Mark J.; Natividad, Gabriel
作者单位：Universidad de Piura
摘要：Why do negative credit events lead to long-term borrowing constraints? Exploiting banking regulations in Peru and utilizing currency movements, we show that consumers who face a credit rating downgrade due to bad luck experience a three-year reduction in financing. Consumers respond to the shock by paying down their most troubled loans, but nonetheless end up more likely to exit the credit market. For a set of borrowers who experience severe delinquency, we find that the associated credit repo...
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作者：Almeida, Heitor; Cunha, Igor; Ferreira, Miguel A.; Restrepo, Felipe
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Universidade Nova de Lisboa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Western University (University of Western Ontario)
摘要：We show that sovereign debt impairments can have a significant effect on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation in corporate ratings due to rating agencies' sovereign ceiling policies, which require that firms' ratings remain at or below the...
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作者：Cujean, Julien; Hasler, Michael
作者单位：University System of Maryland; University of Maryland College Park; University of Toronto
摘要：We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions polarize. Disagreement thus spikes in bad times, causing returns to react to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time-series momentu...
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作者：Filipovic, Damir; Larsson, Martin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures non-negative interest rates, (ii) easily accommodates unspanned factors affecting volatility and risk premiums, and (iii) admits semi-analytical solutions to swaptions. A parsimonious model specification within the linear-rational class has a...
