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作者：Harris, Lawrence E.; Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Southern California; University of Chicago
摘要：Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call juicing. Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common among funds with unsophisticated investors. This behavior is consistent with an underlying investor demand for dividends, but is hard to explain by taxes or need for income, as funds can generate equivalent tax-fr...
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作者：Schneider, Paul
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order moment risk. Variance risk and the equity premium approximate it to first order and it nests cross-sectional asset pricing models such as the linear Capital Asset Pricing Model (CAPM). An empirical study in ...
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作者：Efing, Matthias; Hau, Harald
作者单位：University of Geneva
摘要：We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business. Such rating favors are larger for very complex structured debt deals and for deals issued during the credit boom period. Our analysis is b...
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作者：Kung, Howard
作者单位：University of London; London Business School
摘要：This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond marke...
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作者：Sloan, Richard G.; You, Haifeng
作者单位：University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：Previous research indicates that firms issue shares when their stock is overpriced and repurchase shares when their stock is underpriced. Such transactions transfer wealth from transacting stockholders to ongoing stockholders. We quantify the magnitude of these wealth transfers and analyze their implications. Strikingly, we find that for the average firm-year, these wealth transfers approximate 40% of net income. We also find that these wealth transfers can be predicted using a variety of firm...
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作者：Dow, James; Han, Jungsuk
作者单位：University of London; London Business School; Stockholm School of Economics
摘要：When should we expect bubbles? Can levered intermediaries bid up risky asset prices through asset substitution? We study an economy with Financial intermediaries that issue debt and equity to buy risky assets. Asset substitution alone cannot cause bubbles because it is priced into the intermediaries' securities. But incomplete contracts and managerial agency problems can make intermediaries take excessive risk to exploit limited liability, bidding up risky asset prices. This destroys welfare t...
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作者：Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume
作者单位：Stanford University; National Bureau of Economic Research; European Central Bank
摘要：We use an extensive data set of bilateral credit default swap (CDS) positions to estimate the impact on collateral demand of new clearing and margin regulations. The estimated collateral demands include initial margin and the frictional demands associated with the movement of variation margin through the network of market participants. We estimate the impact on total collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing parties (CCPs), ...
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作者：Heider, Florian; Ljungqvist, Alexander
作者单位：European Central Bank; New York University; National Bureau of Economic Research
摘要：Using staggered corporate income tax changes across U.S. states, we show that taxes have a first-order effect on capital structure. Firms increase leverage by around 40 basis points for every percentage-point tax increase. Consistent with dynamic tradeoff theory, the effect is asymmetric: leverage does not respond to tax cuts. This is true even within-firm: tax increases that are later reversed nonetheless lead to permanent leverage increases. The treatment effects are heterogeneous and confir...
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作者：Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; Shrader, Jeffrey
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：We provide empirical evidence for the existence, magnitude, and economic cost of stigma associated with banks borrowing from the Federal Reserve's Discount Window (DW) during the 2007-2008 financial crisis. We find that banks were willing to pay a premium of around 44 basis points (bps) across funding sources (126 bps after the bankruptcy of Lehman Brothers) to avoid borrowing from the DW. DW stigma is economically relevant as it increased some banks' borrowing cost by 32 bps of their pre-tax ...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：Northwestern University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We study which dimensions of corporate culture are related to a firm's performance and why. We find that proclaimed values appear irrelevant. Yet, when employees perceive top managers as trustworthy and ethical, a firm's performance is stronger. We then study how different governance structures impact the ability to sustain integrity as a corporate value. We find that publicly traded firms are less able to sustain it. Traditional measures of corporate governance do not seem to have much of an ...
