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作者：Banerjee, Snehal; Szydlowski, Martin
作者单位：University of California System; University of California San Diego; University of Minnesota System; University of Minnesota Twin Cities
摘要：In a SPAC transaction, a sponsor raises financing from investors using redeemable shares and rights. When investors are sophisticated, these features dilute the sponsor's stake and can lead to underinvestment in profitable targets. However, when investors are overconfident about their ability to respond to interim news, the optionality in such features is overpriced, and SPACs can lead to over-investment in unprofitable targets. Consistent with empirical evidence, the model predicts different ...
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作者：Hu, Weiping; Li, Kai; Zhang, Xiao
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; Central University of Finance & Economics
摘要：We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when ...
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作者：Darmouni, Olivier; Sutherland, Andrew
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We examine how a fixed capital supply shortage affects firm investment. Using equipment transaction-level data, we find pandemic-driven production disruptions significantly altered capital reallocation patterns across firms. A surge in used capital trading activity softened the investment decline, as firms acquired used capital from distant and dissimilar counterparts. Younger firms were disproportionately affected even though they rarely purchase new capital: while in normal times older firms...
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作者：Ardia, David; Guidotti, Emanuele; Kroencke, Tim A.
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Universita della Svizzera Italiana
摘要：Popular bid-ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid-ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analys...
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作者：Agarwal, Isha; Baron, Matthew
作者单位：University of British Columbia; Cornell University
摘要：We test a bank credit channel through which unexpected increases in inflation lead to short-run macroeconomic fluctuations. For identification, we study an unexpected U.S. inflation increase in early 1977 and exploit differences in state-level reserve requirements for Federal Reserve nonmember banks, which create differences in banks' inflation exposures. More exposed banks reduce lending, lowering local house prices and construction employment. We provide evidence for potential mechanisms, in...
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作者：Dow, James; Han, Jungsuk; Sangiorgi, Francesco
作者单位：University of London; London Business School; Seoul National University (SNU); Frankfurt School Finance & Management
摘要：Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We show that limited investor horizons indeed have those consequences, as follows. First, informative stock prices increase firm value; in our model, they reduce the agency cost of incentivizing managers. Second, short project maturity improves stock price informativeness by catering to informed investors with short horizons. Third, since informed trading capital is a scarce r...
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作者：Costello, Anna M.; Minnis, Michael; Rabinovich, Irina
作者单位：University of Chicago
摘要：We examine whether discrimination affects customers' willingness to pay their suppliers. Using a dataset of detailed trade credit networks, we find that when facing a macroeconomic shock, customers delay payments to their suppliers with female or black trade credit officers at a 10%-20% higher rate relative to their payments to non -minorities. These results hold after controlling for a host of economic differences between minority groups and non -minority groups. In particular, we exploit the...
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作者：Li, Kai; Xu, Chenjie
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Shanghai University of Finance & Economics
摘要：We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model's key mechanism is that the time-varying tightness of intermediaries' leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from ...
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作者：Gantchev, Nickolay; Giannetti, Mariassunta; Li, Rachel
作者单位：Stockholm School of Economics
摘要：We explore how mutual fund managers and investors react when the tradeoff between a fund's sustainability and performance becomes salient. Following the introduction of Morningstar's sustainability ratings (the globe ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds' overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilib...
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作者：Sundaresan, Suresh; Xiao, Kairong
作者单位：Columbia University
摘要：This paper theoretically and empirically investigates the effects of liquidity regulation on the banking system. We document that the current quantity-based liquidity rule has reduced banks' liquidity risks. However, the mandated liquidity buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to liquidity regulation. These findings motivate a model of liquidity regulation with endogenous liquidity premiums and heterogeneous banks. The...
