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作者：Dagher, Jihad; Kazimov, Kazim
作者单位：International Monetary Fund
摘要：We examine the impact of banks exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis using loan level data that best allow us to isolate supply-side effects. We find that banks that were more reliant on wholesale funding curtailed their credit significantly more than retail-funded banks. We also exploit the discrete fall in the liquidity of loans above the jumbo cutoff and show that this effect is significantly more pronounced for l...
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作者：Roberts, Michael R.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Using data from Securities and Exchange Commission filings, I show that the typical bank loan is renegotiated five times, or every nine months. The pricing, maturity, amount, and covenants are all significantly modified during each renegotiation, whose timing is governed by the financial health of the contracting parties and uncertainty regarding the borrowers' credit quality. The relative importance of these factors depends on the duration of the lending relationship. I interpret these result...
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作者：Chen, Tao; Harford, Jarrad; Lin, Chen
作者单位：Nanyang Technological University; University of Washington; University of Washington Seattle; University of Hong Kong
摘要：Building on two sources of exogenous shocks to analyst coverage (broker closures and mergers), we explore the causal effects of analyst coverage on mitigating managerial expropriation of outside shareholders. We find that as a firm experiences an exogenous decrease in analyst coverage, shareholders value internal cash holdings less, its CEO receives higher excess compensation, its management is more likely to make value-destroying acquisitions, and its managers are more likely to engage in ear...
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作者：Chang, Xin; Fu, Kangkang; Low, Angie; Zhang, Wenrui
作者单位：Nanyang Technological University; INSEAD Business School; Chinese University of Hong Kong
摘要：We provide empirical evidence on the positive effect of non-executive employee stock options on corporate innovation. The positive effect is more pronounced when employees are more important for innovation, when free-riding among employees is weaker, when options are granted broadly to most employees, when the average expiration period of options is longer, and when employee stock ownership is lower. Further analysis reveals that employee stock options foster innovation mainly through the risk...
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作者：Otto, Clemens A.
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：I study the effect of chief executive officer (CEO) optimism on CEO compensation. Using data on compensation in US firms, I provide evidence that CEOs whose option exercise behavior and earnings forecasts are indicative of optimistic beliefs receive smaller stock option grants, fewer bonus payments, and less total compensation than their peers. These findings add to our understanding of the interplay between managerial biases and remuneration and show how sophisticated principals can take adva...
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作者：Hunter, David; Kandel, Eugene; Kandel, Shmuel; Wermers, Russ
作者单位：University of Hawaii System; Hebrew University of Jerusalem; Center for Economic & Policy Research (CEPR); Tel Aviv University; University System of Maryland; University of Maryland College Park
摘要：We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category funds, which we call an active peer benchmark (APB). We find that APBs substantially reduce the average time series correlation of residuals between individual funds within a group when added to a four...
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作者：Frazzini, Andrea; Pedersen, Lasse Heje
作者单位：New York University; Copenhagen Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (I) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets,...
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作者：Hvide, Hans K.; Panos, Georgios A.
作者单位：University of Bergen; University of Stirling; University of Aberdeen
摘要：A theoretical tradition argues that more risk tolerant individuals are more likely to become entrepreneurs but perform worse. We test and confirm these predictions with several risk tolerance proxies. Using investment data for 400,000 individuals, we find that common stock investors are around 50% more likely to subsequently start up a firm. Firms started up by common stock investors have about 25% lower sales and 15% lower return on assets. The results are similar using personal leverage and ...
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作者：Piotroski, Joseph D.; Zhang, Tianyu
作者单位：Stanford University; Chinese University of Hong Kong
摘要：This paper shows that incentives created by the impending turnover of local politicians can accelerate the pace of initial public offering (IPO) activity in certain politicized environments. Focusing on China, we exploit a research setting where politicians are rewarded for capital market development, firms rely on political connections for access to capital, rent-seeking behavior is rampant, and the objectives of the state might not be to maximize capital market efficiency. We find that the r...
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作者：Christensen, Kim; Oomen, Roel C. A.; Podolskij, Mark
作者单位：CREATES; Aarhus University; Deutsche Bank; University of Amsterdam; Aarhus University
摘要：This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive set of ultra high-frequency equity and foreign exchange tick data recorded at millisecond precision, allowing us to examine the price evolution at the individual order level. We show that in both theory and practice, traditional measures of jump variation b...
