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作者：Piazzesi, Monika; Schneider, Martin; Tuzel, Selale
作者单位：University of Chicago; New York University; University of Southern California
摘要：This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that...
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作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines how a shock to collateral value influences firms' debt capacities and investments. Using a source of exogenous variation in collateral value provided by the land market collapse in Japan, I find that collateral has a statistically and economically significant impact on corporate investments. I also provide direct evidence on the workings of such a collateral channel. Exploiting a unique dataset of matched bank-firm lending, I show that firms with greater collateral losses a...
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作者：Jorion, Philippe; Zhang, Gaiyan
作者单位：University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
摘要：This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Positive correlations across CDS spreads imply that contagion effects dominate, whereas negative correlations indicate competition effects. We find strong evidence of contagion effects for Chapter 11 bankruptcies and competition effects for Chapter 7 bankruptcies. We also introduce a purely unanticipated event, in the form of a large jump in a co...
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作者：Cheridito, Patrick; Filipovic, Damir; Kimmel, Robert L.
作者单位：University System of Ohio; Ohio State University; Princeton University; University of Munich
摘要：We extend the standard specification of the market price of risk for affine yield models, and apply it to U.S. Treasury data. Our specification often provides better fit, sometimes with very high statistical significance. The improved fit comes from the time-series rather than cross-sectional features of the yield curve. We derive conditions under which our specification does not admit arbitrage opportunities. The extension has extremely strong statistical significance For affine yield models ...
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作者：Herrera, Ana Maria; Minetti, Raoul
作者单位：Michigan State University
摘要：This paper empirically investigates the effect of informed finance on technological change. The theoretical literature offers conflicting predictions on whether the information of financiers fosters or inhibits firms' innovation. Using data from a sample of Italian manufacturing firms, we find that the information of firms' main banks, proxied by the duration of credit relationships, promotes innovation. This positive effect is economically and statistically more significant for product than f...
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作者：Jiang, George J.; Yao, Tong; Yu, Tong
作者单位：University of Arizona; University of Rhode Island
摘要：Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the artificial timing bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public...
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作者：Ritter, Jay R.; Zhang, Donghang
作者单位：State University System of Florida; University of Florida; University of South Carolina System; University of South Carolina Columbia
摘要：We examine how investment banks use initial public offerings (IPOs) in relation to their affiliated mutual funds. The dumping ground hypothesis predicts that the lead underwriter allocates cold IPOs to its affiliated funds so that more deals can be completed when demand for these IPOs is weak. Affiliated funds could also receive more cold IPOs because the lead underwriter uses allocations of hot IPOs to unaffiliated funds to gain trading commission business. The nepotism hypothesis predicts th...
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作者：Davis, Gerald F.; Kim, E. Han
作者单位：University of Michigan System; University of Michigan
摘要：The magnitude of mutual funds' business ties with their portfolio firms is documented and is linked to funds' proxy votes at specific firms and to overall voting practices. Aggregate votes at the fund family level indicate a positive relation between business ties and the propensity to vote with management. Votes at specific firms, however, reveal that funds are no more likely to vote with management of client firms than of non-clients. Because the votes took place when funds knew their votes ...
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作者：Bergman, Nittai K.; Nicolaievsky, Daniel
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The corporate charters of a sample of Mexican firms show that private firms often significantly enhance the legal protection offered to investors, but public firms rarely do so. We construct a model that endogenizes the degree of investor protection that firms provide, using as a springboard the assumption that legal regimes differ in their ability to enforce precisely filtering contracts that provide protection only in those cases where expropriation can occur. Our model generates predictions...
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作者：Alexander, Gordon J.; Peterson, Mark A.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Southern Illinois University System; Southern Illinois University
摘要：NYSE and Nasdaq trades increasingly cluster on multiples of 500, 1,000, and 5,000 shares. Such clustering varies over time and across stocks, and tends to increase with the level of trading activity. Furthermore, rounded trades tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized rounded trades tend to have greater relative price impact than large rounded trades. From these observations we surmise that trade-size clustering is consistent, at least in ...
