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作者：Bayar, Onur; Chemmanur, Thomas J.; Liu, Mark H.
作者单位：Boston College; University of Texas System; University of Texas at San Antonio; University of Kentucky
摘要：We develop a theory of new-project financing and equity carve-outs under heterogeneous beliefs. In our model, an employee of a firm generates an idea for a new project that can be financed either by issuing equity against the cash flows of the entire firm (integration), or by undertaking an equity carve-out of the new project alone (non-integration). While the patent underlying the new project is owned by the firm, the employee generating the idea needs to be motivated to exert optimal effort ...
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作者：Henderson, Brian J.; Pearson, Neil D.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; George Washington University; Massachusetts Institute of Technology (MIT)
摘要：The offering prices of 64 issues of a popular retail structured equity product were, on average. almost 8% greater than estimates of the products' fair market values obtained using option pricing methods. Under reasonable assumptions about the underlying stocks' expected returns, the mean expected return estimate on the structured products is slightly below zero. The products do not provide tax, liquidity, or other benefits, and it is difficult to rationalize their purchase by informed rationa...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26-36% more likely to be renegotiated than comparable securitized mortgages (4.2-5.7% in absolute terms). Also, modifications of bank-held...
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作者：Greenwood, Robin; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University; National Bureau of Economic Research
摘要：We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or volatile liquidity shocks, i.e., they must buy or sell at the same time. We formalize this idea and apply it to mutual fund ownership of US stocks. Consistent with our predictions, fragility strongly predict...
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作者：Kristensen, Dennis; Mele, Antonio
作者单位：University of London; London School Economics & Political Science; Columbia University
摘要：We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an auxiliary one. We derive an expression for the difference between the true (but unknown) price and the auxiliary one, which we approximate in closed-form, and use to create increasingly improved refinements to the initial mispricin...
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作者：Jain, Bharat A.; Kini, Omesh; Shenoy, Jaideep
作者单位：University System of Georgia; Georgia State University; University System of Maryland; Towson University; Tulane University
摘要：Using a product markets perspective to investigate the decision to vertically disintegrate, we find that vertical divestitures are more likely in response to positive industry demand shocks, favorable industry financing conditions, and lower parent firm relative productivity and are less likely when the potential for contracting problems is high. Conditional on vertical divestitures, equity carve-outs are more likely in environments in which relationship-specific investments are more prevalent...
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作者：Brav, Alon; Mathews, Richmond D.
作者单位：Duke University
摘要：We model corporate voting outcomes when an informed trader, such as a hedge fund, can establish separate positions in a firm's shares and votes (empty voting). The positions are separated by borrowing shares on the record date, hedging economic exposure, or trading between record and voting dates. We find that the trader's presence can improve efficiency overall despite the fact that it sometimes ends up selling to a net short position and then voting to decrease firm value. An efficiency impr...
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作者：Boucly, Quentin; Sraer, David; Thesmar, David
作者单位：Princeton University; Hautes Etudes Commerciales (HEC) Paris
摘要：Using a data set of 839 French deals, we look at the change in corporate behavior following a leveraged buyout (LBO) relative to an adequately chosen control group. In the 3 years following a leveraged buyout, targets become more profitable, grow much faster than their peer group, issue additional debt, and increase capital expenditures. We then provide evidence consistent with the idea that in our sample, private equity funds create value by relaxing credit constraints, allowing LBO targets t...
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作者：Fecht, Falko; Nyborg, Kjell G.; Rocholl, Joerg
作者单位：Swiss Finance Institute (SFI); University of Zurich
摘要：We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consi...
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作者：Kim, E. Han; Lu, Yao
作者单位：University of Michigan System; University of Michigan; Tsinghua University
摘要：This paper shows the relation between CEO ownership and firm valuation hinges critically on the strength of external governance (EG). The relation is hump-shaped when EG is weak, but is insignificant when EG is strong. The results imply that CEO ownership and EG are substitutes for mitigating agency problems when ownership is low. However, very high levels of share ownership can reduce firm value by entrenching the CEO and discouraging him from taking risk, unless mitigated by strong EG. We id...
