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作者：Ivashina, Victoria; Scharfstein, David
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper shows that new loans to large borrowers fell by 47% during the peak period of the financial crisis (fourth quarter of 2008) relative to the prior quarter and by 79% relative to the peak of the credit boom (second quarter of 2007). New lending for real investment (such as working capital and capital expenditures) fell by only 14% in the last quarter of 2008, but contracted nearly as much as new lending for restructuring (LBO5, M&As, share repurchases) relative to the peak of the cred...
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作者：Bakshi, Gurdip; Skoulakis, Georgios
作者单位：University System of Maryland; University of Maryland College Park
摘要：The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-define...
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作者：Li, Dongmei; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using financing constraints to proxy for investment frictions, we show only weak evidence that the investment-to-assets and asset growth effects in the cross section of returns are stronger in financially more constrained firms than in financially less constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues, abno...
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作者：Officer, Micah S.; Ozbas, Oguzhan; Sensoy, Berk A.
作者单位：Loyola Marymount University; University of Southern California; University System of Ohio; Ohio State University
摘要：We analyze the pricing and characteristics of club deal leveraged buyouts (LBOs)-those in which two or more private equity partnerships jointly conduct an LBO. Using a comprehensive sample of completed LBOs of U.S. publicly traded targets conducted by prominent private equity firms, we find that target shareholders receive approximately 10% less of pre-bid firm equity value, or roughly 40% lower premiums, in club deals compared to sole-sponsored LBOs. This result is concentrated before 2006 an...
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作者：Kashyap, Anil K.; Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research
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作者：McConnell, John J.; Saretto, Alessio
作者单位：Purdue University System; Purdue University
摘要：The market for auction rate securities (ARS) made headlines during the second week of February 2008 when auctions at which the bonds' interest rates reset experienced a wave of failures. Contrary to headlines that attribute the failures to a frozen market or investors' irrationality, we find that (1) even at their height, less than 50% of ARS experienced auction failures, (2) the likelihood of auction failure was directly related to the level of the bonds' maximum auction rates, (3) the implie...
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作者：Chava, Sudheer; Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We undertake a broad-based study of the effect of managerial risk-taking incentives on corporate financial policies and show that the risk-taking incentives of chief executive officers (CEOs) and chief financial officers (CFOs) significantly influence their firms' financial policies. In particular, we find that CEOs' risk-decreasing (-increasing) incentives are associated with lower (higher) leverage and higher (lower) cash balances. CFOs' risk-decreasing (-increasing) incentives are associate...
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作者：Brockman, Paul; Liebenberg, Ivonne; Schutte, Maria
作者单位：Lehigh University; University of Mississippi; Michigan Technological University
摘要：Recent theoretical research suggests that information production is a positive externality of aggregate economic activity (Veldkamp, 2005). Both the quantity and quality of information increase during periods of economic expansion and decrease during periods of contraction. Based on this insight, we hypothesize and confirm that time-varying information production drives the comovement patterns observed in stock returns. We examine stock return comovement in 36 countries from 1980 to 2007 and s...
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作者：Gormley, Todd; Liu, Hong; Zhou, Guofu
作者单位：Washington University (WUSTL); University of Pennsylvania
摘要：In this paper, we show that the existence of a large, negative wealth shock and insufficient insurance against such a shock could explain both the limited stock market participation puzzle and the low-consumption-high-savings puzzle. We then conduct an empirical analysis on the relation between household portfolio choices and access to private insurance and various types of government safety nets. The empirical results demonstrate that a lack of insurance against large, negative wealth shocks ...
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作者：Kaplanski, Guy; Levy, Haim
作者单位：Bar Ilan University; Hebrew University of Jerusalem
摘要：Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with an average market loss of more than $60 billion per aviation disaster, whereas the estimated actual loss is no more than $1 billion. In two days a price reversal occurs. We find the effect to be greater in s...
