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作者：Demiroglu, Cem; James, Christopher; Velioglu, Guner
作者单位：Koc University; State University System of Florida; University of Florida; Loyola University Chicago
摘要：Past studies find that commercial loan spreads are sticky in the sense that they do not fully respond to changes in open market rates or observable firm credit risk characteristics. In this paper, we provide evidence that the appearance of stickiness arises, in part, because the intensity of bank screening varies inversely with changes in both observable firm credit risk characteristics and credit market conditions. Our analysis demonstrates that stickiness in loan spreads does not necessarily...
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作者：Chen, Jie; Su, Xunhua; Tian, Xuan; Xu, Bin
作者单位：University of Leeds; Norwegian School of Economics (NHH); Tsinghua University
摘要：We find strong evidence that when a firm's customer base is more concentrated, the firm's CEO receives more risk-taking incentives in her compensation package. This finding is robust to numerous alternative measures, alternative specifications, alternative subsamples, and different attem pts that mitigate endogeneity concerns. Further, the positive effect of customer concentration on CEO risk-taking incentive provision is more prominent when the CEO is more reluctant to take risks, when the fi...
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作者：Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao
作者单位：University of Manitoba; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Amsterdam
摘要：We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset c...
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作者：Cookson, J. Anthony; Gilje, Erik P.; Heimer, Rawley Z.
作者单位：University of Colorado System; University of Colorado Boulder; Arizona State University; Arizona State University-Tempe
摘要：Using individual credit bureau data matched with cash windfalls from fracking, we esti-mate that windfall recipients reduce debt-to-income by 2.4 percentage points relative to no-windfall controls. Debt repayment effects are 3 times stronger for subprime individuals than for prime individuals. Based on the timing of upfront versus continuing cash pay-ments, debt repayment coincides with the timing of payments but not with news about future payments. These findings present a challenge for purel...
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作者：DeFusco, Anthony A.; Nathanson, Charles G.; Zwick, Eric
作者单位：Northwestern University; University of Chicago; National Bureau of Economic Research
摘要：Using data on 50 million home sales from the last U.S. housing cycle, we document that much of the variation in volume came from the rise and fall in speculation. Cities with larger speculative booms have larger price booms, sharper increases in unsold listings as the market turns, and more severe busts. We present a model in which predictable price increases endogenously attract short-term buyers more than long-term buyers. Short-term buyers amplify volume by selling faster and destabilize pr...
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作者：Bai, John Jianqiu; Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
作者单位：Northeastern University; State University System of Florida; University of Florida; University of Massachusetts System; University of Massachusetts Boston; University of Rhode Island
摘要：We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers' overweighting of firms with operati...
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作者：Di Maggio, Marco; Kermani, Amir; Ramcharan, Rodney; Yao, Vincent; Yu, Edison
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; University System of Georgia; Georgia State University; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Using new employer-employee matched data, this paper investigates the impact of uncertainty, as measured by idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers. Increased firm-level uncertainty reduces total compensation, especially variable pay, and workers reduce their durable goods consumption in response. Such shocks also lead to greater financial fragility among lower-income earners. Constructing a new county...
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作者：Chodorow-Reich, Gabrie; Darmouni, Olivier; Luck, Stephan; Plosser, Matthew
作者单位：Harvard University; Columbia University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We use supervisory loan-level data to document that small firms (SMEs) obtain shorter maturity credit lines than large firms, post more collateral, have higher utilization rates, and pay higher spreads. We rationalize these facts as the equilibrium outcome of a trade -off between lender commitment and discretion. Using the COVID recession, we test the prediction that SMEs are subject to greater lender discretion. Consistent with this hypothe-sis, SMEs did not draw down whereas large firms did,...
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作者：Albertus, James F.; Glover, Brent; Levine, Oliver
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
摘要：We estimate a dynamic model, featuring agency conflicts and a stochastic tax reform arrival, to evaluate how the change from a worldwide to territorial tax system, enacted under the Tax Cuts and Jobs Act (TCJA), affects foreign investment. Although a worldwide system imposes a higher tax liability on foreign income, we show it encourages excess foreign investment by depressing the opportunity cost of capital. In our estimated model, the TCJA reduces foreign investment by 15.6% on average, with...
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作者：Gredil, Oleg R.; Kapadia, Nishad; Lee, Jung Hoon
作者单位：Tulane University; Vanderbilt University
摘要：We examine the ability of ratings and market-based measures to predict defaults. Although market-based measures are more accurate at horizons up to one year, ratings comple-ment market-based measures and are not redundant in predicting defaults across hori-zons. Market-based measures differ from ratings in that they respond to both cash-flow and discount-rate news, while ratings respond primarily to cash-flow news, which is more informative of future defaults. Ratings ignore transitory shocks ...
