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作者：Huang, Qianqian; Jiang, Feng; Lie, Erik; Yang, Ke
作者单位：City University of Hong Kong; State University of New York (SUNY) System; University at Buffalo, SUNY; University of Iowa; Lehigh University
摘要：We examine how directors with investment banking experience affect firms' acquisition behavior. We find that firms with investment bankers on the board have a higher probability of making acquisitions. Furthermore, acquirers with investment banker directors experience higher announcement returns, pay lower takeover premiums and advisory fees, and exhibit superior long-run performance. Overall, our results suggest that directors with investment banking experience help firms make better acquisit...
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作者：Savoy, Alexi
作者单位：New York University
摘要：Skilled investors make money off uninformed investors. By acting as intermediaries, they provide a hedge to the uninformed investors themselves. I present a model in which households have imperfect information about expected returns. Non-traded income shocks lead them to rebalance, sometimes at the wrong time. Active funds hedge this risk by trading on superior information. In equilibrium, they pay off when non-traded income disappoints, earning a premium that makes them appear to underperform...
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作者：Leippold, Markus; Stromberg, Jacob
作者单位：University of Zurich
摘要：We propose a novel time-changed Levy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spa...
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作者：Kedia, Simi; Rajgopal, Shivaram; Zhou, Xing
作者单位：Rutgers University System; Rutgers University New Brunswick; Emory University
摘要：We investigate a prominent allegation in congressional hearings that Moody's loosened its rating standards to chase revenue after it went public in 2000. Consistent with this allegation, Moody's ratings for both corporate bonds and structured finance products are significantly more favorable to issuers, relative to S&P's, after Moody's IPO. Moreover, Moody's ratings are more favorable for clients subject to greater conflict of interest. There is little evidence that Moody's higher ratings, pos...
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作者：Denis, David J.; Wang, Jing
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Nebraska System; University of Nebraska Lincoln
摘要：Using a large sample of private debt renegotiations from 1996 to 2011, we report that, even in the absence of any covenant violation, debt covenants are frequently renegotiated. These renegotiations primarily relax existing restrictions and result in economically large changes in existing limits. Renegotiations of specific covenants are a response to both the distance the covenant variable is from its contractual limit and the firm's specific operating conditions and prospects. Moreover, the b...
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作者：Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico
作者单位：University of St Gallen
摘要：We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of latent state variables or by latent regime shifts, in our no-arbitrage framework the regimes are governed by thresholds and are directly linked to economic fundamentals. Specifically, starting from a simpl...
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作者：Cohen-Cole, Ethan; Kirilenko, Andrei; Patacchini, Eleonora
作者单位：Massachusetts Institute of Technology (MIT); Syracuse University; Sapienza University Rome
摘要：We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor's 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns. Our approach includes a simple representation of how much a shock is amplified by the network and how widely it is transmitted. This represe...
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作者：Duchin, Ran; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using novel data on bank applications to the Troubled Asset Relief Program (TARP), we study the effect of government assistance on bank risk taking. Bailed-out banks initiate riskier loans and shift assets toward riskier securities after receiving government support. However, this shift in risk occurs mostly within the same asset class and, therefore, remains undetected by regulatory capital ratios, which indicate improved capitalization at bailed-out banks. Consequently, these banks appear sa...
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作者：Di Giuli, Alberta; Kostovetsky, Leonard
作者单位：University of Rochester
摘要：Using the firm-level corporate social responsibility (CSR) ratings of Kinder, Lydenberg, Domini, we find that firms score higher on CSR when they have Democratic rather than Republican founders, CEOs, and directors, and when they are headquartered in Democratic rather than Republican-leaning states. Democratic-leaning firms spend $20 million more on CSR than Republican-leaning firms ($80 million more within the sample of S&P 500 firms), or roughly 10% of net income. We find no evidence that fi...
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作者：Bris, Arturo; Koskinen, Yrjoe; Nilsson, Mattias
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：We study the financing policies of European public corporations prior to the euro crisis. Using data from 11 euro countries and a control group of five other European countries over 1991-2006, we show that nonfinancial firms from euro countries with previously weak currencies considerably increased their debt financing after the introduction of the euro. The results are stronger for large firms, firms dependent on external financing, and for the latter part of the post-euro time period. Overal...
