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作者：Nanda, Ramana; Nicholas, Tom
作者单位：Harvard University
摘要：We find a negative relationship between bank distress and the level, quality and trajectory of firm-level innovation during the Great Depression, particularly for R&D firms operating in capital intensive industries. However, we also show that because a sufficient number of R&D intensive firms were located in counties with lower levels of bank distress, or were operating in less capital intensive industries, the negative effects were mitigated in aggregate. Although Depression era bank distress...
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作者：Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; Loyola Marymount University; Stanford University; National Bureau of Economic Research
摘要：Since World War II, direct stock ownership by households across the globe has largely been replaced by indirect stock ownership by financial institutions. We argue that tax and retirement policies are among the factors behind these changes. We develop empirical measures of two tax incentives of holding stocks inside tax-deferred plans, tax-free investment income and the smoothing benefit. Using long time-series from eight countries, we show that the fraction of household ownership decreases wi...
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作者：Buchuk, David; Larrain, Borja; Munoz, Francisco; Urzua, Francisco, I
作者单位：University of Houston System; University of Houston; Pontificia Universidad Catolica de Chile; Stanford University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study business groups' internal capital markets using a unique data set on intra-group lending in Chile (1990-2009). In line with groups financing advantage, firms that borrow internally have higher investment, leverage, and return on equity (ROE) than other firms. At the margin, controlling shareholders have higher cash-flow rights in borrowing firms than in lending firms. However, there is no robust evidence of minority shareholders losing out from intra-group loans as tunneling predicts....
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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Carnegie Mellon University
摘要：We evaluate empirically two sources of large takeover premiums: preemptive bidding and target resistance. We develop an auction model that features costly sequential entry of bidders in takeover contests and encompasses both explanations. We estimate the model parameters by simulated method of moments for a sample of US takeovers. Our estimates imply that target resistance explains the entire magnitude of the premium in 74% of successful single-bidder contests. Simulation experiments show that...
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作者：Lettau, Martin; Maggiori, Matteo; Weber, Michael
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Harvard University; University of Chicago
摘要：The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, ...
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作者：Nyborg, Kjell G.; Oestberg, Per
作者单位：University of Zurich; University of Geneva; Center for Economic & Policy Research (CEPR)
摘要：We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the market for liquidity leads banks to engage in what we term liquidity pull-back, which involves selling financial assets either by banks directly or by levered investors. Empirical tests on the stock market are supportive. Tighter interbank markets are associated with relatively more volume in more liquid stocks;...
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作者：Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen
作者单位：Brandeis University; University of California System; University of California San Diego; Centre for Economic Policy Research - UK; CREATES
摘要：We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two types of constraints: non-negative equity premia and bounds on the conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework. Em...
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作者：Johnson, Timothy C.; Lee, Jaehoon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of New South Wales Sydney
摘要：Some important puzzles in macro finance can be resolved in a model featuring systematically varying volatility of unpriced shocks to firms' earnings. In the data, the correlation between corporate debt and stock market valuations is low. The model accounts for this via the opposing effect of unpriced earnings risk on levered debt and equity prices. The model also explains the low (or nonexistent) risk-reward relation for the market portfolio of levered equity via the opposing effects of unpric...
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作者：Yermack, David
作者单位：New York University; National Bureau of Economic Research
摘要：This paper shows connections between chief executive officers' (CEOs') absences from headquarters and corporate news disclosures. I identify CEO absences by merging records of corporate jet flights and CEOs' property ownership near leisure destinations. CEOs travel to their vacation homes just after companies report favorable news, and CEOs return to headquarters right before subsequent news releases. When CEOs are away, companies announce less news, mandatory disclosures occur later, and stoc...
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作者：Hasan, Iftekhar; Hoi, Chun Keung (Stan); Wu, Qiang; Zhang, Hao
作者单位：Fordham University; Bank of Finland; Rochester Institute of Technology; Rensselaer Polytechnic Institute
摘要：We find that firms with greater tax avoidance incur higher spreads when obtaining bank loans. This finding is robust in a battery of sensitivity analyses and in two quasi-experimental settings including the implementation of Financial Accounting Standards Board Interpretation No. 48 and the revelation of past tax sheltering activity. Firms with greater tax avoidance also incur more stringent nonprice loan terms, incur higher at-issue bond spreads, and prefer bank loans over public bonds when o...
