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作者：Hanlon, Michelle; Hoopes, Jeffrey L.
作者单位：Massachusetts Institute of Technology (MIT); University System of Ohio; Ohio State University
摘要：This paper investigates whether investor-level taxes affect corporate payout policy decisions. We predict and find a surge of special dividends in the final months of 2010 and 2012, immediately before individual-level dividend tax rates were expected to increase. We also find evidence that immediately before the expected tax increases, firms altered the timing of their regular dividend payments by shifting what would normally be January regular dividend payments into the preceding December. To...
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作者：Hanson, Samuel G.
作者单位：Harvard University
摘要：Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS duration function as large-scale shocks to the quantity of interest rate risk that must be borne by professional bond investors. I develop a simple model in which the risk tolerance of bond investors is limited in the short run,...
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作者：Anantharaman, Divya; Lee, Yong Gyu
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Sungkyunkwan University (SKKU)
摘要：We examine whether the compensation incentives of top management affect the extent of risk shifting versus risk management behavior in pension plans. We find that risk shifting through pension underfunding (and, to a lesser extent, through pension asset allocation to risky securities) is stronger with compensation structures that create high wealth-risk sensitivity (vega) and weaker with high wealth-price sensitivity (delta). These findings are stronger for chief financial officers (CFOs) than...
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作者：Brochet, Francois; Srinivasan, Suraj
作者单位：Harvard University
摘要：We examine which independent directors are held accountable when investors sue firms for financial and disclosure-related fraud. Investors can name independent directors as defendants in lawsuits, and they can vote against their reelection to express displeasure over the directors' ineffectiveness at monitoring managers. In a sample of securities class action lawsuits from 1996 to 2010, about 11% of independent directors are named as defendants. The likelihood of being named is greater for aud...
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作者：Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; Strebulaev, Ilya A.
作者单位：Stanford University; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School; Stanford University
摘要：Using an extensive data set on corporate bond defaults in the US from 1866 to 2010, we study the macroeconomic effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the US has experienced many severe corporate default crises in which 20-50% of all corporate bonds defaulted. Although the total par amount of corporate bonds has at times rivaled the amount of bank loans outstanding, we find that corporate default crises have far fewer...
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作者：So, Eric C.; Wang, Sean
作者单位：Massachusetts Institute of Technology (MIT); University of North Carolina; University of North Carolina Chapel Hill
摘要：This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest that market makers demand higher expected returns prior to earnings announcements because of increased inventory risks t...
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作者：Aiyar, Shekhar; Calomiris, Charles W.; Hooley, John; Korniyenko, Yevgeniya; Wieladek, Tomasz
作者单位：Columbia University; Bank of England
摘要：We use data on UK banks' minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999Q1 to 2006Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are able to control for demand effects. We find a negative and statistically significant effect of changes to banks' capital requirements on cross-border lending: a 100 basis point increase in the requirement is...
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作者：Falato, Antonio; Kadyrzhanova, Dalida; Lel, Ugur
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park; Virginia Polytechnic Institute & State University
摘要：We use the deaths of directors and chief executive officers as a natural experiment to generate exogenous variation in the time and resources available to independent directors at interlocked firms. The loss of such key co-employees is an attention shock because it increases the board committee workload only for some interlocked directors the 'treatment group'. There is a negative stock market reaction to attention shocks only for treated director-interlocked firms. Interlocking directors' bus...
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作者：Liu, Wai-Man; Ngo, Phong T. H.
作者单位：Australian National University
摘要：We exploit exogenous variation in the scheduling of gubernatorial elections to study the timing of bank failure in the US. Using hazard analysis, we show that bank failure is about 45% less likely in the year leading up to an election. Political control (i.e., lack of competition) can explain all of this average election year fall in the hazard rate. In particular, we show that the reduction in hazard rate doubles in magnitude for banks operating in states where the governor has simultaneous c...
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作者：Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward disco...
