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作者：Cornaggia, Jess
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This article constructs triple-difference tests around shifts in the supply of risk management instruments available to agricultural producers to reveal a positive relation between risk management and productivity. This relation is more robust when producers adopt instruments with payoffs linked to group performance and weaker when payoffs are linked to individual performance. Additionally, productivity is particularly high among risk-managing producers in counties containing high levels of ba...
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作者：Ai, Hengjie; Kiku, Dana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Pennsylvania
摘要：We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our...
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作者：Arnold, Marc; Wagner, Alexander F.; Westermann, Ramona
作者单位：University of St Gallen; University of Geneva
摘要：This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because they are more volatile and have a greater tendency to default during recession when marginal utility is high and recovery rates are low. Our model matches empirical facts regarding credit spreads, defaul...
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作者：Dass, Nishant; Nanda, Vikram; Wang, Qinghai
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The literature suggests that while decentralized decision making can allow for greater specialization in an organization, it heightens the cost of coordinating decisions. The mutual fund industry in particular, sole- and team-managed balanced funds-provides an ideal setting to test the specialization versus coordination trade-off, as information on decision structures and fund actions is easily obtained. We show that sole-managed balanced funds, with centralized decision rights, exhibit signif...
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作者：Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T.
作者单位：New York University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973-2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of thes...
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作者：Bakshi, Gurdip; Panayotov, George
作者单位：University System of Maryland; University of Maryland College Park; Hong Kong University of Science & Technology
摘要：This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by individual and joint p-values in monthly predictive regressions at horizons up to six months. Predictability is further supported...
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作者：Manso, Gustavo
作者单位：University of California System; University of California Berkeley
摘要：Rating agencies are often criticized for being biased in favor of borrowers, for being too slow to downgrade following credit quality deterioration, and for being oligopolists. Based on a model that takes into account the feedback effects of credit ratings, I show that: (i) rating agencies should focus not only on the accuracy of their ratings but also on the effects of their ratings on the probability of survival of the borrower; (ii) even when rating agencies pursue an accurate rating policy...
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作者：Bena, Jan; Ortiz-Molina, Hernan
作者单位：University of British Columbia
摘要：We study the role of pyramidal ownership structures in the creation of new firms. Our results suggest that pyramids arise because they provide a financing advantage in setting up new firms when the pledgeability of cash flows to outside financiers is limited. Parent companies supply inside funds to new firms that, due to large investment requirements and low pledgeable cash flows, cannot raise enough external financing. The financing advantage of pyramidal structures is pervasive in many count...
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作者：Albuquerque, Ana M.; De Franco, Gus; Verdi, Rodrigo S.
作者单位：Boston University; University of Toronto; Massachusetts Institute of Technology (MIT)
摘要：Current research shows that firms are more likely to benchmark against peers that pay their Chief Executive Officers (CEOs) higher compensation, reflecting self serving behavior. We propose an alternative explanation: the choice of highly paid peers represents a reward for unobserved CEO talent. We test this hypothesis by decomposing the effect of peer selection into talent and self serving components. Consistent with our prediction, we find that the association between a firm's selection of h...
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作者：Gao, Huasheng; Harford, Jarrad; Li, Kai
作者单位：Nanyang Technological University; University of Washington; University of Washington Seattle; University of British Columbia
摘要：We provide one of the first large sample comparisons of cash policies in public and private U.S. firms. We first show that despite higher financing frictions, private firms hold, on average, about half as much cash as public firms do. By examining the drivers of cash policies for each group, we are able to attribute the difference to the much higher agency costs in public firms. By combining evidence from across public and private firms as well as within public firms across different qualities...
