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作者：Lan, Yingcong; Wang, Neng; Yang, Jinqiang
作者单位：Cornerstone Research; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously risk-averse and decreases leverage following poor performance to increase the fund's survival likelihood. Our calibration suggests that management fees are the majority of the total compensation. M...
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作者：Joslin, Scott; Le, Anh; Singleton, Kenneth J.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Stanford University; National Bureau of Economic Research
摘要：This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor vector-autoregression (f...
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作者：Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; Tauchen, George
作者单位：Duke University; National Bureau of Economic Research; Aarhus University; CREATES; Rice University
摘要：Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility index (VIX), coupled with frequency domain methods, we separate the series into various components. We find that the coherence b...
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作者：Barber, Brad M.; De George, Emmanuel T.; Lehavy, Reuven; Trueman, Brett
作者单位：University of California System; University of California Davis; University of Michigan System; University of Michigan; University of California System; University of California Los Angeles
摘要：U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. A cross-country analysis finds that the premium is strongest in countries with the greatest increase in idiosyncratic volatili...
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作者：Becker, Bo; Jacob, Marcus; Jacob, Martin
作者单位：Harvard University; National Bureau of Economic Research; WHU - Otto Beisheim School of Management
摘要：When corporate payout is taxed, internal equity (retained earnings) is cheaper than external equity (share issues). If there are no perfect substitutes for equity finance, payout taxes may therefore have an effect on the investment of firms. High taxes will favor investment by firms who can finance internally. Using an international panel with many changes in payout taxes, we show that this prediction holds well. Payout taxes have a large impact on the dynamics of corporate investment and grow...
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作者：Massa, Massimo; Yasuda, Ayako; Zhang, Lei
作者单位：INSEAD Business School; University of California System; University of California Davis; Nanyang Technological University
摘要：We examine the effect of the bond capital supply uncertainty of institutional investors (e.g., mutual bond funds and insurance companies) on the leverage of the firm using a novel data set. Our main finding is that the supply uncertainty of the firm's bond investor base - measured as (i) the average portfolio turnover, or (ii) the average flow volatility of investors holding the firm's bonds, or (iii) the prevalence of mutual funds among the firm's bondholders as opposed to insurance companies...
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作者：Ongena, Steven; Popov, Alexander; Udell, Gregory F.
作者单位：Tilburg University; European Central Bank; Indiana University System; Indiana University Bloomington
摘要：This paper provides the first empirical evidence that bank regulation is associated with cross-border spillover effects through the lending activities of large multinational banks. We analyze business lending by 155 banks to 9,613 firms in 1,976 different localities across 16 countries. We find that lower barriers to entry, tighter restrictions on bank activities, and to a lesser degree higher minimum capital requirements in domestic markets are associated with lower bank lending standards abr...
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作者：Mayer, Chris; Piskorski, Tomasz; Tchistyi, Alexei
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：This paper provides a theoretical analysis of the efficiency of prepayment penalties in a dynamic competitive lending model with risky borrowers and costly default. When considering improvements in the borrower's creditworthiness as one of the reasons for refinancing mortgages, we show that refinancing penalties can be welfare improving and that they can be particularly beneficial to riskier borrowers in the form of lower mortgage rates, reduced defaults, and increased availability of credit. ...
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作者：Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide
作者单位：University of St Gallen; Northwestern University; Monash University
摘要：We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data. Assuming an exponentially affine stochastic discount factor, we obtain a fully analytic change of measure. An empirical analysis of Standard and Poor's 50...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Rene M.
作者单位：University of Toronto; Cornell University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：From 1990 to 2011, the share of world IPO activity by non-U.S. firms increased because of financial globalization and because of a decrease in U.S. IPO activity. Financial globalization reduces the impact of national institutions on domestic IPO activity and enables more non-U.S. firms from countries with weak institutions to go public with a global IPO. U.S. IPO activity does not benefit from financial globalization. Compared to other countries, the rate of small-firm IPO activity in the U.S....
