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作者：Rytchkov, Oleg
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：This paper provides a novel theoretical analysis of how endogenous time-varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the risk-free rate, but increase the market price of risk, the risk premium, and the price of risky assets. Furthermore, margin requirements generate a strong cross-sectional dispersion of stock return volatilities. The results ...
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作者：Acharya, Viral; Drechsler, Itamar; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research
摘要：We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost increases sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government guarantees and bond holdings. Using credit default swap (CDS) rates on European sovereigns and banks, we show that bailouts triggered the rise of sovereign credit risk in 2008. We document that post-bailout changes in sovereign CDS...
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作者：Balakrishnan, Karthik; Billings, Mary Brooke; Kelly, Bryan; Ljungqvist, Alexander
作者单位：University of London; London Business School; New York University; University of Chicago; National Bureau of Economic Research
摘要：Can managers influence the liquidity of their firms' shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and informative earnings guidance. Responses appear motivated by a desire to reduce information asymmetries ...
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作者：Boyer, Brian H.; Vorkink, Keith
作者单位：Brigham Young University
摘要：We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only coskewness is priced. We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness ...
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作者：Lemmon, Michael; Liu, Laura Xiaolei; Mao, Mike Qinghao; Nini, Greg
作者单位：Hong Kong University of Science & Technology; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Drexel University
摘要：Contrary to recent accounts of off-balance-sheet securitization by financial firms, we show that asset securitization by nonfinancial firms provides a valuable form of financing for shareholders without harming debtholders. Using data from firms' SEC filings, we find that securitization is attractive to firms in the middle of the credit quality distribution, which are the firms with the most to gain. Upon initiation, firms experience positive abnormal stock returns and zero abnormal bond retur...
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作者：Basak, Suleyman; Makarov, Dmitry
作者单位：University of London; London Business School; New Economic School
摘要：This paper analyzes the dynamic portfolio choice implications of strategic interaction among money managers who compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performance is close. We also examine multiple and mixed-strategy equilibria. Equilibrium policy of ...
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作者：Buraschi, Andrea; Kosowski, Robert; Sritrakul, Worrawat
作者单位：University of Chicago; Imperial College London; University of Oxford
摘要：Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incentives affects optimal leverage ex ante, depending on the distance of fund-value from the high-water mark. We study how these endogenous effects influence performance measures used in the literature. We show that reduced-form measures that do not acco...
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作者：Fang, Vivian W.; Tian, Xuan; Tice, Sheri
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Tsinghua University; Tulane University
摘要：We aim to tackle the longstanding debate on whether stock liquidity enhances or impedes firm innovation. This topic is of interest because innovation is crucial for firm- and national-level competitiveness and stock liquidity can be altered by financial market regulations. Using a difference-in-differences approach that relies on the exogenous variation in liquidity generated by regulatory changes, we find that an increase in liquidity causes a reduction in future innovation. We identify two p...
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作者：Bruhn, Miriam; Love, Inessa
作者单位：The World Bank; University of Hawaii System; University of Hawaii Manoa; The World Bank
摘要：This paper provides new evidence on the impact of access to finance on poverty. It highlights an important channel through which access affects povertythe labor market. The paper exploits the opening of Banco Azteca in Mexico, a unique natural experiment in which over 800 bank branches opened almost simultaneously in preexisting Elektra stores. Importantly, the bank has focused on previously underserved low-income clients. Our key finding is a sizeable effect of access to finance on labor mark...
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作者：Ahern, Kenneth R.; Harford, Jarrad
作者单位：University of Southern California; University of Washington; University of Washington Seattle
摘要：We represent the economy as a network of industries connected through customer and supplier trade flows. Using this network topology, we find that stronger product market connections lead to a greater incidence of cross-industry mergers. Furthermore, mergers propagate in waves across the network through customer-supplier links. Merger activity transmits to close industries quickly and to distant industries with a delay. Finally, economy-wide merger waves are driven by merger activity in indust...
