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作者：Bao, Jack; O'Hara, Maureen; Zhou, Xing (Alex)
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Cornell University; University of Technology Sydney; University of Delaware
摘要：Focusing on downgrades as stress events that drive the selling of corporate bonds, we show that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the rule have curtailed their market-making activities and non-Volcker-affected dealers have not offset the decreased activities of Volcker-affected dealers. Furthermore, even Volcker-affected dealers that are not constrained by Basel Ill and Comprehensive Capital Analysis and Review regulations change their...
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作者：Barinov, Alexander
作者单位：University of California System; University of California Riverside
摘要：The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains the majority of low abnormal returns to stocks with high maximum returns in the past month (Bali et al., 2011) and high expected skewness (Boyer et al., 2010). Aggregate volatility risk also explains the new evidence that the maximum effect and the skewness effect are stronger for firms with high market to book or high expected prob...
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作者：Azizpour, S.; Giesecke, K.; Schwenkler, G.
作者单位：Stanford University; Boston University
摘要：We study the sources of corporate default clustering in the United States. We reject the hypothesis that firms' default times are correlated only because their conditional default rates depend on observable and latent systematic factors. By contrast, we find strong evidence that contagion, through which the default by one firm has a direct impact on the health of other firms, is a significant clustering source. The amount of clustering that cannot be explained by contagion and firms' exposure ...
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作者：Hauser, Roie
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Ono Academic College
摘要：This paper studies whether director appointments to multiple boards impact firm outcomes. To overcome endogeneity of board appointments, I exploit variation generated by mergers that terminate entire boards and thus shock the appointments of those terminated directors. Reductions of board appointments are associated with higher profitability, market-to-book, and likelihood of directors joining board committees. The performance gains are particularly stark when directors are geographically far ...
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作者：Donaldson, Jason Roderick; Micheler, Eva
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：Many debt claims, such as bonds, are resaleable; others, such as repos, are not. There was a fivefold increase in repo borrowing before the 2008-2009 financial crisis. Why? Did banks' dependence on non-resaleable debt precipitate the crisis? In this paper, we develop a model of bank lending with credit frictions. The key feature of the model is that debt claims are heterogenous in their resaleability. We find that decreasing credit market frictions leads to an increase in borrowing via non-res...
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作者：Moreno, David; Rodriguez, Rosa; Zambrana, Rafael
作者单位：Universidad Carlos III de Madrid; Universidade Nova de Lisboa
摘要：This is a study of how contractual mechanisms can mitigate agency conflicts in sub advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such as co-branding, multi-advising, and performance based compensation, can mitigate agency conflicts in outsourcing and protect investors from potential underperformance. Fund families will find it cost-e...
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作者：Akbas, Ferhat; Markov, Stanimir; Subasi, Musa; Weisbrod, Eric
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Southern Methodist University; University System of Maryland; University of Maryland College Park; University of Miami
摘要：We present new evidence that highlights the role of information intermediaries in the distribution and processing of earnings estimates in capital markets. We find that the time taken to activate an analyst's earnings forecast in the Thomson Reuters institutional Brokers' Estimate System is related to measures of investor demand for timely information processing, processing difficulty, and limited attention. Furthermore, we find that forecast announcement returns are muted and post-announcemen...
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作者：Danis, Andras; Gamba, Andrea
作者单位：University System of Georgia; Georgia Institute of Technology; University of Warwick
摘要：We examine the effect of introducing credit default swaps (CDSs) on firm value. Our model allows for dynamic investment and financing, and bondholders can trade in the CDS market. The model incorporates both negative and positive effects of CDSs. CDS markets lead to more liquidations, but they also reduce the probability of costly debt renegotiation and reduce costly equity financing. After calibrating the model, we find that firm value increases by 2.9% on average with the introduction of a C...
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作者：Malamud, Semyon; Vilkov, Grigory
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of Geneva; Frankfurt School Finance & Management
摘要：An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding const...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability ...
