-
作者：Adelino, Manuel; Gerardi, Kristopher; Hartman-Glaser, Barney
作者单位：Duke University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of California System; University of California Los Angeles
摘要：A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and obtain higher prices by delaying trade. This paper provides some of the first evidence of a signaling mechanism through trade delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and time to sale for privately securitized mortgages. Additionally, deals made up of more seasoned mortgages are sold at lower yields....
-
作者：Segal, Gill
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：What is the impact of higher technological volatility on asset prices and macroeconomic aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the consumption (investment) sector drops (raises) macroeconomic growth rates and stock prices. Moreover, consumption (investment) sector's technological volatility has a positive (negative) market price of risk. I show that a quantitative two-sector DSGE model that features monopolistic power for firms and sticky p...
-
作者：Griffin, John M.; Kruger, Samuel; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：This paper examines whether employees involved in residential mortgage-backed security (RMBS) securitization experienced internal and external labor market consequences relative to similar non-RMBS employees in the same banks and why. Senior RMBS bankers experienced similar levels of job retention, promotion, and external job opportunities. Even signers of RMBS deals with high loss and misreporting rates or deals implicated in lawsuits experienced no adverse internal or external labor market o...
-
作者：Croce, M. M.; Nguyen, Thien T.; Raymon, S.; Schmid, L.
作者单位：Bocconi University; University of North Carolina; University of North Carolina Chapel Hill; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University System of Ohio; Ohio State University; Duke University
摘要：Elevated levels of government debt raise concerns about their effects on long-term growth prospects. Using the cross-section of US stock returns, we show that (i) high-R&D firms are more exposed to government debt and pay higher expected returns than low-R&D firms, and (ii) higher levels of the debt-to-GDP ratio predict higher risk premiums for high-R&D firms. Furthermore, rises in the cost of capital for innovation-intensive firms predict declines in subsequent productivity and economic growt...
-
作者：Gorbenko, Alexander S.
作者单位：University of Southern California
摘要：Differences among bidder type-specific outcomes of asset sales are theoretically related to differences in bidders' valuations and participation. The lead application to quantify these relations is takeover auctions: bidders are classified into strategic and financial, and bids are available. I structurally estimate valuations from all bids. The positive difference in premiums between strategic and financial acquirers is driven by the difference in dispersions of valuations (e.g., strategic bi...
-
作者：Mueller, Holger M.; Yannelis, Constantine
作者单位：New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We examine the rise in student loan defaults in the Great Recession by linking administrative student loan data at the individual borrower level to student loan borrowers' individual tax records. A Blinder-Oaxaca style decomposition shows that shifts in the composition of student loan borrowers and the massive collapse in home prices during the Great Recession can each account for approximately 30% of the rise in student loan defaults. Falling home prices affect student loan defaults by impair...
-
作者：Chang, Briana; Hong, Harrison
作者单位：University of Wisconsin System; University of Wisconsin Madison; Columbia University
摘要：Measuring the value of labor-market hires for stock prices, be it underwriters when firms go public (IPOs) or chief executive officers (CEOs), is difficult due to selection. Opaque firms with higher costs of capital benefit more from prestigious underwriters, while productive firms benefit more from talented CEOs. Using assignment models, we show that the importance of talent (or agent heterogeneity) relative to selection (or firm heterogeneity) is measured by wage increases across agents of d...
-
作者：Lee, Charles M. C.; Sun, Stephen Teng; Wang, Rongfei; Zhang, Ran
作者单位：Stanford University; City University of Hong Kong; Renmin University of China; Peking University
摘要：Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategy based on this effect yields monthly alpha of 117 basis points. This effect is distinct from industry momentum and is not easily attributable to risk-based explanations. It is more pronounced for focal firms that: (a) have a more intense and specific technology focus, (b) receive lower investor attent...
-
作者：Nadauld, Taylor D.; Sensoy, Berk A.; Vorkink, Keith; Weisbach, Michael S.
作者单位：Brigham Young University; Vanderbilt University; Brigham Young University; University System of Ohio; Ohio State University
摘要：This paper uses proprietary data from a leading intermediary to explain the magnitude and determinants of transaction costs in the secondary market for private equity stakes. Most transactions occur at a discount to net asset value. Buyers average an annualized public market equivalent of 1.023 compared with 0.976 for sellers, implying that buyers outperform sellers by a market-adjusted 5 percentage points annually. Both the cross-sectional pattern of transaction costs and the identity of sell...
-
作者：Phelan, Gregory; Toda, Alexis Akira
作者单位：Williams College; University of California System; University of California San Diego
摘要：We study the effect of collateralized lending and securitization on international capital flows and welfare in a two-country general equilibrium model with idiosyncratic investment risk. The low-margin country (Home) endogenously supplies more safe assets and enables more risk sharing. Upon financial integration, capital flows from Foreign (high margin country) to Home, leading to lower interest rates and a larger global supply of safe assets. Unlike in standard models with partial equity issu...
