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作者：Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan
作者单位：Swiss Finance Institute (SFI); University of Lausanne; University of Lausanne; Boston University; Washington University (WUSTL)
摘要：This paper develops a framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to adapt their default and financing policies to the position of the economy in the business cycle phase. We then demonstrate that this simple observation has a wide range of empirical implications for corporations. Notably, we show that our mo...
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作者：Hellmann, Thomas
作者单位：University of British Columbia
摘要：This paper provides a new explanation for the use of convertible securities in venture capital. A key property of convertible preferred equity is that it allocates different cash flow rights, depending on whether exit occurs by acquisition or IPO. The paper builds a model with double moral hazard, where both the entrepreneur and the venture capitalist provide value-adding effort. The optimal contract gives the venture capitalist more cash flow rights in acquisitions than IPOs. This explains th...
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作者：Duffee, GR
作者单位：University of California System; University of California Berkeley
摘要：A combination of observed and unobserved (latent) factors capture term structure dynamics. Information about these dynamics is extracted from observed factors using restrictions implied by no-arbitrage, without specifying or estimating any of the parameters associated with latent factors. Estimation is equivalent to fitting the moment conditions of a set of regressions, where no-arbitrage imposes cross-equation restrictions on the coefficients. The methodology is applied to the dynamics of inf...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：Dartmouth College; University of Chicago
摘要：Valuation theory says that expected stock returns are related to three variables: the book-to-market equity ratio (B-t/M-t), expected profitability, and expected investment. Given B-t/M-t and expected profitability, higher expected rates of investment imply lower expected returns. But controlling for the other two variables, more profitable firms have higher expected returns, as do firms with higher B-t/M-t. These predictions are confirmed in our tests. (c) 2006 Elsevier B.V. All rights reserv...
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作者：Vega, Clara
作者单位：University of Rochester
摘要：I use Easley and O'Hara's [1992, Journal of Finance 47, 577-604] private information-based trading variable, PIN, together with a comprehensive public news database to empirically measure the effect of private and public information on the post-announcement drift. I show that stocks associated with high PIN, consensus public news surprises, and low media coverage experience low or insignificant drift. Thus not all information acquisition variables have the same effect on the market's efficienc...
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作者：Chordia, Tarun; Shivakumar, Lakshmanan
作者单位：University of London; London Business School; Emory University
摘要：This paper examines whether earnings momentum and price momentum are related. Both in time-series as well as in cross-sectional asset pricing tests, we find that price momentum is captured by the systematic component of earnings momentum. The predictive power of past returns is subsumed by a zero-investment portfolio that is long on stocks with high earnings surprises and short on stocks with low earnings surprises. Further, returns to the earnings-based zero-investment portfolio are significa...
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作者：Garvey, Gerald T.; Milbourn, Todd T.
作者单位：Washington University (WUSTL); Barclays
摘要：Principal-agent theory suggests that a manager should be paid relative to a benchmark that removes the effect of market or sector performance on the firm's own performance. Recently, it has been argued that such indexation is not observed in the data because executives can set pay in their own interests; that is, they can enjoy pay for luck as well as pay for performance. We first show that this argument is incomplete. The positive expected return on stock markets reflects compensation for bea...
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作者：Hirshleifer, David; Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
摘要：We provide a model in which irrational investors trade based upon considerations that have no inherent connection to fundamentals. However, trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying cash flows. As a result, irrational investors can, in some situations, earn abnormal (i.e., risk-adjusted) profits that can exceed the abnormal profits of rational informed investors. Although the trading of irratio...
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作者：Jimenez, Gabriel; Salas, Vicente; Saurina, Jesus
作者单位：Banco de Espana; University of Zaragoza
摘要：We estimate a comprehensive model of the determinants of collateral in loans extended to business firms. We use a panel data on a sample of bank loans to Spanish firms from 1984 to 2002. Consistent with theories that view collateral as a solution to adverse selection problems, our results provide direct evidence of a negative association between collateral and a borrower's risk. We also present evidence on previously unexplored determinants of collateral such as credit market competition, lend...
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作者：Dell'Ariccia, G; Marquez, R
作者单位：International Monetary Fund; University System of Maryland; University of Maryland College Park
摘要：We analyze the incentives for independent bank regulators with financially integrated jurisdictions to form a regulatory union. Externalities lead competing regulators to choose suboptimally low standards. Centralized regulation, however, entails a loss of flexibility if equal standards must be applied across jurisdictions. We find that, first, centralized regulation will more likely emerge among relatively homogeneous jurisdictions/countries. Second, centralized regulation will be unanimously...
