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作者：Sengupta, Rajdeep
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Foreign entry and bank competition are modeled as the interaction between asymmetrically informed principals: The entrant uses collateral as a screening device to contest the incumbent's informational advantage. Both better information ex ante and stronger legal protection ex post are shown to facilitate the entry of low-cost outside competitors into credit markets. The entrant's success in gaining borrowers of higher quality by offering cheaper loans increases with its efficiency (cost) advan...
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作者：Hong, Harrison; Torous, Walter; Valkanov, Rossen
作者单位：Princeton University; University of California System; University of California Los Angeles
摘要：We investigate whether the returns of industry portfolios predict stock market movements. In the US, a significant number of industry returns, including retail, services, commercial real estate, metal, and petroleum, forecast the stock market by up to two months. Moreover, the propensity of an industry to predict the market is correlated with its propensity to forecast various indicators of economic activity. The eight largest non-US stock markets show remarkably similar patterns. These findin...
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作者：Downing, Chris; Oliner, Stephen
作者单位：Rice University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper tests a generalized version of the expectations hypothesis in the market for commercial paper. Our main data set, which is new to the literature, consists of daily yield indexes constructed from the market yields for nearly all commercial paper issued by US corporations between 1998 and 2004. We show that term premia for commercial paper often rise dramatically at year-end. However, once we control for these year-end effects, we find considerable support for the generalized expectat...
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作者：Wald, John K.; Long, Michael S.
作者单位：University of Texas System; University of Texas at San Antonio; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick
摘要：US manufacturing firms incorporated in states with stronger payout restrictions use less debt, while antitakeover statutes do not significantly reduce long-run leverage. Correcting for the endogenously determined choice of where to incorporate, we find that firms sort themselves according to state laws and capital structure needs. After accounting for self-selection, state antitakeover laws are positively associated with debt as a fraction of market value, possibly due to lower market values f...
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作者：Kayhan, Ayla; Titman, Sheridan
作者单位：Louisiana State University System; Louisiana State University; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：This paper examines how cash flows, investment expenditures, and stock price histories affect debt ratios. Consistent with earlier work, we find that these variables have a substantial influence on changes in capital structure. Specifically, stock price changes and financial deficits (i.e., the amount of external capital raised) have strong influences on capital Structure changes, but in contrast to previous conclusions, we find that over long horizons their effects are partially reversed. The...
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作者：Hao, Grace Qing
作者单位：University of Missouri System; University of Missouri Columbia
摘要：Laddering is a practice whereby the allocating underwriter requires the ladderer to buy additional shares of the issuer in the aftermarket as a condition for receiving shares at the offer price. This paper identifies factors that create incentives to engage in this type of manipulation and models the effect of laddering on initial public offering (IPO) pricing. I show that laddering has a bigger effect on the market price of IPOs with greater expected underpricing (without laddering) and great...
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作者：Heron, Randall A.; Lie, Erik
作者单位：University of Iowa; Indiana University System; Indiana University Indianapolis; IU Kelley School of Business
摘要：Extant studies show that stock returns are abnormally negative before executive option grants and abnormally positive afterward. We find that this return pattern is much weaker since August 29, 2002, when the Securities and Exchange Commission requirement that option grants must be reported within two business days took effect. Furthermore, in those cases in which grants are reported within one day of the grant date, the pattern has completely vanished, but it continues to exist for grants rep...
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作者：Ludvigson, Sydney C.; Ng, Serena
作者单位：New York University; University of Michigan System; University of Michigan
摘要：Existing empirical literature on the risk-return relation uses relatively small amount of conditioning information to model the conditional mean and conditional volatility of excess stock market returns. We use dynamic Factor analysis for large data sets, to summarize a large amount of economic information by few estimated factors, and find that three new factors-termed volatility, risk premium, and real factors-contain important information about one-quarter-ahead excess returns and volatilit...
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作者：Bartram, Soehnke M.; Brown, Gregory W.; Hund, John E.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Lancaster University; University of Texas System; University of Texas Austin
摘要：This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the...
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作者：Louis, Henock; White, Hal
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Signaling is the most commonly cited explanation for stock repurchases in the academic literature. Yet, there is little evidence on whether managers intentionally use repurchases as signaling devices. Using a firm's financial reporting behavior to infer managerial intent, we find evidence suggesting that managers intentionally use fixed-price repurchase tender offers to signal undervaluation. In contrast, we find no evidence that managers use Dutch-auction tender offers to signal undervaluatio...
