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作者：Acharya, Viral; Almeida, Heitor; Ippolito, Filippo; Perez, Ander
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; Pompeu Fabra University
摘要：We propose a theory of credit lines provided by banks to firms as a form of monitored liquidity insurance. Bank monitoring and resulting revocations help control illiquidity-seeking behavior of firms insured by credit lines. The cost of credit lines is thus greater for firms with high liquidity risk, which in turn are likely to use cash instead of credit lines. We test this implication for corporate liquidity management by identifying exogenous shocks to liquidity risk of firms in corporate bo...
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作者：Harford, Jarrad; Uysal, Vahap B.
作者单位：University of Washington; University of Washington Seattle; University of Oklahoma System; University of Oklahoma - Norman
摘要：Prior research has shown that differential access to debt markets significantly affects capital structure. In this paper, we examine the effect of access to debt markets on investment decisions by using debt ratings to indicate bond market access. We find that rated firms are more likely to undertake acquisitions than nonrated firms. This finding remains even after accounting for firm characteristics, for the probability of being rated, and in matched sample analysis as well as in subsamples b...
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作者：Previtero, Alessandro
作者单位：Western University (University of Western Ontario)
摘要：I investigate the strong negative relation between recent stock returns and the annuitization of retirement savings using a novel data set with over 100,000 actual payout decisions. After controlling for several standard explanations (e.g., wealth effects), I present evidence supporting naive beliefs and extrapolation from past returns. The effect of recent returns on annuitization dramatically increases with age, confirming that the elderly rely most heavily on recent information. My results ...
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作者：Cohn, Jonathan B.; Mills, Lillian F.; Towery, Erin M.
作者单位：University of Texas System; University of Texas Austin
摘要：This study uses corporate tax return data to examine the evolution of firms' financial structure and performance after leveraged buyouts (LBOs) for a comprehensive sample of 317 LBOs taking place between 1995 and 2007. We find little evidence of operating improvements subsequent to an LBO, although consistent with prior studies, we do observe operating improvements in the set of LBO firms that have public financial statements. We also find that firms do not reduce leverage after LBOs, even if ...
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作者：Seru, Amit
作者单位：University of Chicago
摘要：This paper examines the impact of the conglomerate form on the scale and novelty of corporate Research and Development (R&D) activity. I exploit a quasi-experiment involving failed mergers to generate exogenous variation in acquisition outcomes of target firms. A difference-in-differences estimation reveals that, relative to failed targets, firms acquired in diversifying mergers produce both a smaller number of innovations and also less-novel innovations, where innovations are measured using p...
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作者：Lim, Jongha; Minton, Bernadette A.; Weisbach, Michael S.
作者单位：University of Missouri System; University of Missouri Columbia; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：During the past decade, non-bank institutional investors are increasingly taking larger roles in the corporate lending than they historically have played. These non-bank institutional lenders typically have higher required rates of return than banks, but invest in the same loan facilities. In a sample of 20,031 leveraged loan facilities originated between 1997 and 2007, facilities including a non-bank institution in their syndicates have higher spreads than otherwise identical bank-only facili...
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作者：Hoffmann, Peter
作者单位：European Central Bank
摘要：This paper considers the role of high-frequency trading in a dynamic limit order market. Fast traders' ability to revise their quotes quickly after news arrivals helps to reduce the inefficiency that is rooted in the risk of being picked off, which increases trade. However, their presence induces slow traders to strategically submit limit orders with a lower execution probability, thereby reducing trade. Because speed is a source of market power, it enables fast traders to extract rents from o...
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作者：Schroth, Enrique; Suarez, Gustavo A.; Taylor, Lucian A.
作者单位：City St Georges, University of London; University of Pennsylvania
摘要：We use the 2007 asset-backed commercial paper (ABCP) crisis as a laboratory to study the determinants of debt runs. Our model features dilution risk: maturing short-term lenders demand higher yields in compensation for being diluted by future lenders, making runs more likely. The model explains the observed tenfold increase in yield spreads leading to runs and the positive relation between yield spreads and future runs. Results from structural estimation show that runs are very sensitive to le...
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作者：Roussanov, Nikolai
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset pricing model can be rejected without making any arbitrary assumptions on the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a consumption-based ...
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作者：Chen, Ding; Haerkoenen, Hannu J.; Newton, David P.
作者单位：University of Nottingham
摘要：Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is incomplete, leaving many modelling processes outside the Black-Scholes-Merton framework unattainable. We show how to remove the remaining major block to universal application. Although this had appeared high...
