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作者：Ross, Steve
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion-the pricing kernel-and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to c...
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作者：Sundaresan, Suresh; Wang, Zhenyu
作者单位：Columbia University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Contingent capital (CC), which aims to internalize the costs of too-big-to-fail in the capital structure of large banks, has been under intense debate by policy makers and academics. We show that CC with a market trigger, in which direct stakeholders are unable to choose optimal conversion policies, does not lead to a unique competitive equilibrium unless value transfer at conversion is not expected ex ante. The no value transfer restriction precludes penalizing bank managers for taking excess...
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作者：Bouvard, Matthieu; Chaigneau, Pierre; de Motta, Adolfo
作者单位：McGill University; Universite de Montreal; HEC Montreal
摘要：We present a theory of optimal transparency when banks are exposed to rollover risk. Disclosing bank-specific information enhances the stability of the financial system during crises, but has a destabilizing effect in normal economic times. Thus, the regulator optimally increases transparency during crises. Under this policy, however, information disclosure signals a deterioration of economic fundamentals, which gives the regulator ex post incentives to withhold information. This commitment pr...
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作者：Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.; Milkman, Katherine L.
作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of Pennsylvania
摘要：Using a field experiment in a 401(k) plan, we measure the effect of disseminating information about peer behavior on savings. Low-saving employees received simplified plan enrollment or contribution increase forms. A randomized subset of forms stated the fraction of age-matched coworkers participating in the plan or age-matched participants contributing at least 6% of pay to the plan. We document an oppositional reaction: the presence of peer information decreased the savings of nonparticipant...
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作者：Garmaise, Mark J.
摘要：Borrower misreporting is associated with seriously adverse loan outcomes. Significantly more residential mortgage borrowers reported personal assets just above round number thresholds than just below. Borrowers who reported above-threshold assets were almost 25 percentage points more likely to become delinquent (mean delinquency was 20%). For applicants with unverified assets, the increase in delinquency was greater than 40 percentage points. Misreporting was most frequent in areas with low fi...
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作者：Aggarwal, Reena; Saffi, Pedro A. C.; Sturgess, Jason
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作者：Albuquerque, Rui; Schroth, Enrique
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作者：Adelino, Manuel; Lewellen, Katharina; Sundaram, Anant
作者单位：Duke University
摘要：This paper examines investment choices of nonprofit hospitals. It tests how shocks to cash flows caused by the performance of the hospitals' financial assets affect hospital expenditures. Capital expenditures increase, on average, by 10 to 28 cents for every dollar received from financial assets. The sensitivity is similar to that found earlier for shareholder-owned corporations. Executive compensation, other salaries, and perks do not respond significantly to cash flow shocks. Hospitals with ...
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作者：Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Academics' view of the benefits of finance vastly exceeds societal perception. This dissonance is at least partly explained by an underappreciation by academia of how, without proper rules, finance can easily degenerate into a rent-seeking activity. I outline what finance academics can do, from a research point of view and from an educational point of view, to promote good finance and minimize the bad.
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作者：Erel, Isil; Jang, Yeejin; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; Purdue University System; Purdue University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Managers often claim that target firms are financially constrained prior to being acquired and that these constraints are eased following the acquisition. Using a large sample of European acquisitions, we document that the level of cash that target firms hold, the sensitivity of cash to cash flow, and the sensitivity of investment to cash flow all decline, while investment increases following the acquisition. These effects are stronger in deals that are more likely to be associated with financ...
