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作者：Rajan, Raghuram G.
作者单位：University of Chicago; University of Chicago; National Bureau of Economic Research
摘要：To produce significant net present value, an entrepreneur has to differentiate her enterprise from the ordinary. To take collaborators with her, she needs to have substantial ownership, and thus financing. But it is hard to raise finance against differentiated assets. So an entrepreneur has to commit to undertake a second transformation, standardization, that will make the human capital in the firm, including her own, replaceable, so that outside financiers obtain control rights that will allo...
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作者：Cohen, Lauren; Malloy, Christopher; Pomorski, Lukasz
作者单位：Harvard University; National Bureau of Economic Research; University of Toronto
摘要：Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable routine insider trading that is not informative about firms futures. A portfolio strategy that focuses solely on the remaining opportunistic traders yields value-weighted abnormal returns of 82 basis points per month, while abnormal returns associated with routine traders are essentially zero. The most informed opportunistic traders are local, nonexecutive insiders from geographica...
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作者：He, Zhiguo; Xiong, Wei
作者单位：University of Chicago; Princeton University; National Bureau of Economic Research
摘要：Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate inte...
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作者：Bongaerts, Dion; Cremers, K. J. Martijn; Goetzmann, William N.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Yale University
摘要：This paper explores the economic role credit rating agencies play in the corporate bond market. We consider three existing theories about multiple ratings: information production, rating shopping, and regulatory certification. Using differences in rating composition, default prediction, and credit spread changes, our evidence only supports regulatory certification. Marginal, additional credit ratings are more likely to occur because of, and seem to matter primarily for, regulatory purposes. Th...
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作者：Murfin, Justin
作者单位：Yale University
摘要：Using a measure of contract strictness based on the probability of a covenant violation, I investigate how lender-specific shocks impact the strictness of the loan contract that a borrower receives. Banks write tighter contracts than their peers after suffering payment defaults to their own loan portfolios, even when defaulting borrowers are in different industries and geographic regions from the current borrower. The effects persist after controlling for bank capitalization, although bank equ...
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作者：Thanassoulis, John
作者单位：University of Oxford
摘要：This paper studies the default risk of banks generated by investment and remuneration pressures. Competing banks prefer to pay their banking staff in bonuses and not in fixed wages as risk sharing on the remuneration bill is valuable. Competition for bankers generates a negative externality, driving up market levels of banker remuneration and hence rival banks default risk. Optimal financial regulation involves an appropriately structured limit on the proportion of the balance sheet used for b...
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作者：Pastor, Lubos; Stambaugh, Robert F.
作者单位：National Bureau of Economic Research; University of Chicago; University of Pennsylvania
摘要：According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investors perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contribut...
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作者：DeMarzo, Peter M.; Fishman, Michael J.; He, Zhiguo; Wang, Neng
作者单位：Stanford University; Northwestern University; University of Chicago; Columbia University
摘要：We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the appropriate proxy for financing constraints. Investment decreases with idiosyncratic risk, and is positively...
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作者：Greenwood, Robin; Hanson, Samuel G.
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book-to-market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related factor returns. For example, we show that large firms underperform after years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based ...
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作者：Golubov, Andrey; Petmezas, Dimitris; Travlos, Nickolaos G.
作者单位：City St Georges, University of London; University of Surrey
摘要：We provide new evidence on the role of financial advisors in M&As. Contrary to prior studies, top-tier advisors deliver higher bidder returns than their non-top-tier counterparts but in public acquisitions only, where the advisor reputational exposure and required skills set are relatively larger. This translates into a $65.83 million shareholder gain for an average bidder. The improvement comes from top-tier advisors ability to identify more synergistic combinations and to get a larger share ...
