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作者：Liberman, Andres
作者单位：New York University
摘要：I exploit a natural experiment to estimate borrowers' willingness to pay for a good credit reputation. A lender in Chile offered lower installments to borrowers who were in default. Those who owed more than a fixed arbitrary cutoff were additionally offered a clean public repayment record. Using the cutoff in a fuzzy regression discontinuity design, I show that borrowers are willing to pay the equivalent of 11% of their monthly income for a good reputation. Borrowers use their reputation to ta...
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作者：Frank, Murray Z.; Shen, Tao
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University
摘要：In a standard q-theory model, corporate investment is negatively related to the cost of capital. Empirically, we find that the weighted average cost of capital matters for corporate investment. The form of the impact depends on how the cost of equity is measured. When the capital asset pricing model (CAPM) is used, firms with a high cost of equity invest more. When the implied cost of capital is used, firms with a high cost of equity invest less. The implied cost of capital can better reflect ...
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作者：Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：This paper studies how financial information frictions can generate sentiment-driven fluctuations in asset prices and self-fulfilling business cycles. In our model economy, exuberant financial market sentiments of high output and high demand for capital increase the price of capital, which signals strong fundamentals of the economy to the real side and consequently leads to an actual boom in real output and employment. The model further derives implications for asymmetric nonlinear asset price...
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作者：Fuchs, William; Green, Brett; Papanikolaou, Dimitris
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：We embed adverse selection into a dynamic, general equilibrium model with heterogeneous capital and study its implications for aggregate dynamics. The friction leads to delays in firms' divestment decisions and thus slow recoveries from shocks, even when these shocks do not affect the economy's potential output. The impediments to reallocation increase with the dispersion in productivity and decrease with the interest rate, the frequency of sectoral shocks, and households' consumption smoothin...
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作者：Hasler, Michael; Marfe, Roberto
作者单位：University of Toronto; Collegio Carlo Alberto
摘要：Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed, recoveries outweigh the upward-sloping effect of time-varying disaster intensity and expected growth, generating downward-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure of inter...
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作者：Gompers, Paul; Kaplan, Steven N.; Mukharlyamov, Vladimir
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago; Georgetown University
摘要：We survey 79 private equity (PE) investors with combined assets under management of more than $750 billion about their practices in firm valuation, capital structure, governance, and value creation. Investors rely primarily on internal rates of return and multiples to evaluate investments. Their limited partners focus more on absolute performance as opposed to risk-adjusted returns. Capital structure choice is based equally on optimal trade-off and market timing considerations. PE investors an...
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作者：Eisenbach, Thomas M.; Schmalz, Martin C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Michigan System; University of Michigan
摘要：We model an anxious agent as one who is more risk averse with respect to imminent risks than with respect to distant risks. Based on a utility function that captures individual subjects' behavior in experiments, we provide a tractable theory relaxing the restriction of constant risk aversion across horizons and show that it generates rich implications. We first apply the model to insurance markets and explain the high premia for short-horizon insurance. Then, we show that costly delegated port...
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作者：Easley, David; de Prado, Marcos Lopez; O'Hara, Maureen
作者单位：Cornell University; Guggenheim Partners, LLC; United States Department of Energy (DOE); Lawrence Berkeley National Laboratory; Cornell University
摘要：How best to discern trading intentions from market data? We examine the accuracy of three methods for classifying trade data: bulk volume classification (BVC), tick rule and aggregated tick rule. We develop a Bayesian model of inferring information from trade executions and show the conditions under which tick rules or bulk volume classification predominates. Empirically, we find that tick rule approaches and BVC are relatively good classifiers of the aggressor side of trading, but bulk volume...
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作者：Lewis, Craig M.; Tan, Yongxian
作者单位：Vanderbilt University; Shanghai University of Finance & Economics
摘要：In this paper, we examine whether managers time their debt-equity choices to exploit market mispricing. Controlling for the level of external financing and corporate investment activities, we find evidence consistent with the market timing hypothesis. We find managers issue more equity relative to debt when analysts are relatively optimistic about firms' long-term growth prospects. Moreover, equity issuers earn lower returns than debt issuers at subsequent earnings announcements. Controlling f...
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作者：Berk, Jonathan B.; van Binsbergen, Jules H.
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania; Tilburg University
摘要：We propose a new method of testing asset pricing models that relies on quantities rather than just prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the risk model that is closest to the model that investors use in making their capital allocation decisions. Using our method, we assess the performance of the most commonly used asset pricing m...
