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作者：Ang, Andrew; Green, Richard C.; Longstaff, Francis A.; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Carnegie Mellon University; University of California System; University of California Los Angeles; Rice University
摘要：The advance refunding of debt is a widespread practice in municipal finance. In an advance refunding, municipalities retire callable bonds early and refund them with bonds with lower coupon rates. We find that 85% of all advance refundings occur at a net present value loss, and that the aggregate losses over the past 20 years exceed $15 billion. We explore why municipalities advance refund their debt at loss. Financially constrained municipalities may face pressure to advance refund since it a...
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作者：Foerster, Stephen; Linnainmaa, Juhani T.; Melzer, Brian T.; Previtero, Alessandro
作者单位：Western University (University of Western Ontario); University of Southern California; National Bureau of Economic Research; Northwestern University; Indiana University System; Indiana University Bloomington
摘要：Using unique data on Canadian households, we show that financial advisors exert substantial influence over their clients' asset allocation, but provide limited customization. Advisor fixed effects explain considerably more variation in portfolio risk and home bias than a broad set of investor attributes that includes risk tolerance, age, investment horizon, and financial sophistication. Advisor effects remain important even when controlling flexibly for unobserved heterogeneity through investo...
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作者：Moreira, Alan; Muir, Tyler
作者单位：University of Rochester; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting-against-beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to co...
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作者：Gao, Pengjie; Schultz, Paul; Song, Zhaogang
作者单位：University of Notre Dame; Johns Hopkins University
摘要：Agency mortgage-backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to-be-announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA-eligible SPs, lowers trading costs. We show that dealers he...
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作者：Phelan, Gregory
作者单位：Williams College
摘要：Financial intermediation naturally arises when knowing how loan payoffs are correlated is valuable for managing investments but lenders cannot easily observe that relationship. I show this result using a costly enforcement model in which lenders need ex post incentives to enforce payments from defaulted loans and borrowers' payoffs are correlated. When projects have correlated outcomes, learning the state of one project (via enforcement) provides information about the states of other projects....
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作者：Granja, Joao; Matvos, Gregor; Seru, Amit
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：The average FDIC loss from selling a failed bank is 28% of assets. We document that failed banks are predominantly sold to bidders within the same county, with similar assets business lines, when these bidders are well capitalized. Otherwise, they are acquired by less similar banks located further away. We interpret these facts within a model of auctions with budget constraints, in which poor capitalization of some potential acquirers drives a wedge between their willingness and ability to pay...
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作者：Henry, Tyler R.; Koski, Jennifer L.
作者单位：University System of Ohio; Miami University; University of Washington; University of Washington Seattle
摘要：We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex-day profitability is also strongly cross-sectionally related to trad...
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作者：Duchin, Ran; Gilbert, Thomas; Harford, Jarrad; Hrdlicka, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：U.S. industrial firms invest heavily in noncash, risky financial assets such as corporate debt, equity, and mortgage-backed securities. Risky assets represent 40% of firms' financial portfolios, or 6% of total book assets. We present a formal model to assess the optimality of this behavior. Consistent with the model, risky assets are concentrated in financially unconstrained firms holding large financial portfolios, are held by poorly governed firms, and are discounted by 13% to 22% compared t...
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作者：Melzer, Brian T.
作者单位：Northwestern University
摘要：Homeowners at risk of default face a debt overhang that reduces their incentive to invest in their property: in expectation, some value created by investments in the property will go to the lender. This agency conflict affects housing investments. Homeowners at risk of default cut back substantially on home improvements and mortgage principal payments, even when they appear financially unconstrained. Meanwhile, they do not reduce spending on assets that they may retain in default, including ho...
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作者：Bernstein, Shai; Korteweg, Arthur; Laws, Kevin
作者单位：Stanford University; National Bureau of Economic Research; University of Southern California
摘要：This paper uses a randomized field experiment to identify which start-up characteristics are most important to investors in early-stage firms. The experiment randomizes investors' information sets of fund-raising start-ups. The average investor responds strongly to information about the founding team, but not to firm traction or existing lead investors. We provide evidence that the team is not merely a signal of quality, and that investing based on team information is a rational strategy. Toge...
