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作者：Becker, Bo; Milbourn, Todd
作者单位：Harvard University; Washington University (WUSTL)
摘要：The credit rating industry has historically been dominated by just two agencies, Moody's and Standard & Poor's, leading to long-standing legislative and regulatory calls for increased competition. The material entry of a third rating agency (Fitch) to the competitive landscape offers a unique experiment to empirically examine how increased competition affects the credit ratings market. What we find is relatively troubling. Specifically, we discover that increased competition from Fitch coincid...
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作者：Cornett, Marcia Millon; McNutt, Jamie John; Strahan, Philip E.; Tehranian, Hassan
作者单位：Boston College; Bentley University; Southern Illinois University System; Southern Illinois University; National Bureau of Economic Research
摘要：Liquidity dried up during the financial crisis of 2007-2009. Banks that relied more heavily on core deposit and equity capital financing, which are stable sources of financing, continued to lend relative to other banks. Banks that held more illiquid assets on their balance sheets, in contrast, increased asset liquidity and reduced lending. Off-balance sheet liquidity risk materialized on the balance sheet and constrained new credit origination as increased takedown demand displaced lending cap...
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作者：Chen, Huafeng (Jason)
作者单位：University of British Columbia
摘要：I argue that the reason the book-to-market effect is stronger in small stocks is because smaller stocks generally have shorter life expectancy and therefore shorter equity duration. I build a model in which the book-to-market effect is stronger in stocks with shorter life expectancy. Empirically, I use delisting probability as my proxy for life expectancy. The data support my model's central prediction and its additional implications for stock return and variance. My results provide a rational...
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作者：Lee, Kuan-Hui
作者单位：Korea University
摘要：This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in international financial markets. That is, a security's required rate of return depends on the covariance of its own liquidity with aggregate local market liquidity, as well as the covariance of its own liquidity with local and global market returns. I also show...
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作者：Acharya, Viral V.; Amihud, Yakov; Litov, Lubomir
作者单位：New York University; Centre for Economic Policy Research - UK; European Corporate Governance Institute; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We propose that stronger creditor rights in bankruptcy affect corporate investment choice by reducing corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induce greater propensity of firms to engage in diversifying acquisitions that are value-reducing, to acquire targets whose assets have high recovery value in default, and to lower cash-flow risk. Also, corporate leverage declines when creditor rights are stronger. These relations are usually strongest in c...
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作者：Love, David A.; Smith, Paul A.; Wilcox, David W.
作者单位：Williams College; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study firms' pension prefunding and portfolio allocation choices in a model in which firms trade off the need to compensate workers for the financial risk in their pension benefit against the cost advantage that may be gained by exploiting underpriced pension insurance. In the absence of pension insurance, the firm minimizes costs by rendering promised benefits free of risk to workers, who are assumed to be unable to hedge firm-specific risk. Various forms of government intervention, such a...
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作者：Loutskina, Elena
作者单位：University of Virginia
摘要：This paper studies the role of securitization in bank management. I propose a new index of bank loan portfolio liquidity which can be thought of as a weighted average of the potential to securitize loans of a given type, where the weights reflect the composition of a bank loan portfolio. I use this new index to show that by allowing banks to convert illiquid loans into liquid funds, securitization reduces banks' holdings of liquid securities and increases their lending ability. Furthermore, se...
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作者：Yan, Shu
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：In the presence of jump risk, expected stock return is a function of the average jump size, which can be proxied by the slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied volatility smile and stock return. For more than four thousand stocks ranked by slope during 1996-2005, the difference between the risk-adjusted average returns of the lowest and highest quintile portfolios is 1.9% per month. Although both the systematic and idio...
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作者：Ang, Andrew; Gorovyy, Sergiy; van Inwegen, Gregory B.
作者单位：Columbia University; National Bureau of Economic Research
摘要：We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in fundi...
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作者：Bizjak, John; Lemmon, Michael; Thanh Nguyen
作者单位：Texas Christian University; Utah System of Higher Education; University of Utah; Hong Kong University of Science & Technology; California State University System; California State University Fullerton
摘要：Companies can potentially use compensation peer groups to inflate pay by choosing peers that are larger, choosing a high target pay percentile, or choosing peer firms with high pay. Although peers are largely selected based on characteristics that reflect the labor market for managerial talent, we find that peer groups are constructed in a manner that biases compensation upward, particularly in firms outside the Standard & Poor's (S&P) 500. Pay increases close only about one-third of the gap b...
