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作者：Das, Sanjiv; Kalimipalli, Madhu; Nayak, Subhankar
作者单位：Santa Clara University; Wilfrid Laurier University
摘要：Financial innovation through the creation of new markets and securities impacts related markets as well, changing their efficiency, quality (pricing error), and liquidity. The credit default swap (CDS) market was undoubtedly one of the salient new markets of the past decade. In this paper we examine whether the advent of CDS trading was beneficial to the underlying secondary market for corporate bonds. We employ econometric specifications that account for information across CDS, bond, equity, ...
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作者：Danis, Andras; Rettl, Daniel A.; Whited, Toni M.
作者单位：University System of Georgia; Georgia Institute of Technology; Humboldt University of Berlin; University of Rochester; National Bureau of Economic Research
摘要：We revisit the well-established puzzle that leverage is negatively correlated with measures of profitability. In contrast, we find that at times when firms are at or close to their optimal level of leverage, the cross-sectional correlation between profitability and leverage is positive. At other times, it is negative. These results are consistent with dynamic trade-off models in which infrequent capital structure rebalancing is optimal. The time series of market leverage and profitability in t...
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作者：Ornthanalai, Chayawat
作者单位：University of Toronto
摘要：Using index options and returns from 1996 to 2009, I estimate discrete-time models where asset returns follow a Brownian increment and a Levy jump. Time variations in these models are generated with an affine GARCH, which facilitates the empirical implementation. I find that the risk premium implied by infinite-activity jumps contributes to more than half of the total equity premium and dominates that of the Brownian increments suggesting that it is more representative of the risks present in ...
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作者：Hombert, Johan; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Limits to arbitrage arise because financial intermediaries may face funding constraints when mispricing worsens. Using a model with limits to arbitrage, where we allow arbitrageurs to secure capital even in case of underperformance, we show that arbitrageurs that are more protected from withdrawals have more mean-reverting and volatile returns. Using data on hedge fund performance, we find robust support for these hypotheses: Funds with contractual impediments to withdrawals, and funds with pe...
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作者：Grenadier, Steven R.; Malenko, Andrey; Strebulaev, Ilya A.
作者单位：Stanford University; National Bureau of Economic Research
摘要：We provide a real-options model of an industry in which agents time abandonment of their projects in an effort to protect their reputations. Agents delay abandonment attempting to signal quality. When a public common shock forces abandonment of a small fraction of projects irrespective of agents' quality, many agents abandon their projects strategically even if they are unaffected by the shock. Such blending in with the crowd effect creates an additional incentive to delay abandonment ahead of...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University System of Ohio; Ohio State University; National Bureau of Economic Research; United States Department of the Treasury; Office of the Comptroller of the Currency
摘要：We measure the effect of a 2006 antipredatory pilot program in Chicago on mortgage default rates to test whether predatory lending was a key element in fueling the subprime crisis. Under the program, risky borrowers or risky mortgage contracts or both triggered review sessions by housing counselors who shared their findings with the state regulator. The pilot program cut market activity in half, largely through the exit of lenders specializing in risky loans and through a decline in the share ...
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作者：Lee, Jongsub; Lee, Kwang J.; Nagarajan, Nandu J.
作者单位：State University System of Florida; University of Florida; U.S. Securities & Exchange Commission (SEC); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：For 2,695 US corporations from 1996 to 2009, we find that alignment in political orientation between the chief executive officer (CEO) and independent directors is associated with lower firm valuations, lower operating profitability, and increased internal agency conflicts such as a reduced likelihood of dismissing poorly performing CEOs, a lower CEO pay-performance sensitivity, and a greater likelihood of accounting fraud. Importantly, we show that our results are driven neither by the effect...
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作者：Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：How does the speed by which information diffuses affect its value to a stock market investor? In a structural model solved in closed-form, this speed has two opposing effects on the empirically dominant term of the value of information. Faster-diffusing information means quicker and less noisy profits, but, also increases competing informed trading, impounding more information into prices and eroding profits. Structural empirical analysis of stock market reaction to drug approvals using media ...
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作者：Grullon, Gustavo; Underwood, Shane; Weston, James P.
作者单位：Rice University; University of Alabama System; University of Alabama Tuscaloosa
摘要：We test the hypothesis that investment banking networks affect stock prices and trading behavior. Consistent with the notion that investment banks serve as information hubs for segmented groups of investors, the stock prices of firms that use the same lead underwriter during their equity offerings tend to move together. We also find that when firms switch underwriters between their initial public offering (IPO) and a seasoned equity offering (SEO), they comove less with the stocks associated w...
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作者：Kadan, Ohad; Liu, Fang
作者单位：Washington University (WUSTL)
摘要：Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance indices. We derive the moment properties of these indices and their sensitivity to rare disasters and show that they are consistent with the asset pricing literature. As applications, we show that anomalous investment strategies such as momentum or investment in private ...
