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作者：Kini, Omesh; Shenoy, Jaideep; Subramaniam, Venkat
作者单位：University System of Georgia; Georgia State University; University of Connecticut; Tulane University
摘要：We study the impact of the financial condition of firms on firms' ability to produce safer products that result in fewer recalls. Using a variety of tests, including two quasi-natural experiments that result in exogenous negative industry cash-flow shocks, we find that firms with higher leverage or distress likelihood have a greater probability of a product recall. These firms also face more frequent and severe recalls. Further, firms with more debt due at the onset of the financial crisis exp...
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作者：Dumas, Bernard; Lewis, Karen K.; Osambela, Emilio
作者单位：INSEAD Business School; University of Turin; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Pennsylvania; Federal Reserve System - USA
摘要：We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages of domestic investors in the interpretation of home public signals affect equity markets. We evaluate the ability of our model to generate four international-finance anomalies: (i) the co-movement of returns and capital flows, (ii) home-equity preference, (iii) the dependence of firm returns...
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作者：Lambrecht, Bart M.; Myers, Stewart C.
作者单位：University of Cambridge; Center for Economic & Policy Research (CEPR); Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We develop a dynamic agency model of a public corporation. Managers underinvest because of risk aversion. They smooth rents and payout. They do not exploit interest tax shields fully. The interactions of investment, debt, and payout decisions can change drastically depending on managers' preferences. Managers with power utility set investment, debt, and payout proportional to the firm's net worth, generating a constant (possibly negative) net debt ratio. With exponential utility, investment de...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research; Stanford University
摘要：We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of inflation swaps and options. We find that the market expects inflation to average about 2.5% over the next 30 years. Despite this, the market places substantial weight on deflation scenarios in which prices significantly decline over extended horizons. The market prices the economic tail risk of deflation similarly to other types of tail risks, such as corporate default or cata...
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作者：Berg, Tobias; Saunders, Anthony; Steffen, Sascha; Streitz, Daniel
作者单位：Frankfurt School Finance & Management; New York University; University of Mannheim
摘要：We analyze pricing differences between U.S. and European syndicated loans over the 19922014 period. We explicitly distinguish credit lines from term loans. For credit lines, U.S. borrowers pay significantly higher spreads, but lower fees, resulting in similar total costs of borrowing in both markets. Credit line usage is more cyclical in the United States, which provides a rationale for the pricing structure difference. For term loans, we analyze the channels of the cross-country loan price di...
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作者：Gilje, Erik P.; Taillard, Jerome P.
作者单位：University of Pennsylvania; Babson College
摘要：We exploit an exogenous change in basis risk in the oil and gas industry to analyze the channels through which hedging affects firm value. Using a difference-in-differences framework, we find that firms affected by a basis risk shock reduce investment, have lower valuations, sell assets, and reduce debt. Our findings are driven by firms with ex ante high leverage. Overall, our results provide evidence that reducing the probability of financial distress and underinvestment risk are first-order ...
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作者：Giannetti, Mariassunta; Liberti, Jose Maria; Sturgess, Jason
作者单位：Stockholm School of Economics; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; DePaul University; Northwestern University; University of London; Queen Mary University London
摘要：We show that banks manipulate borrowers' credit ratings before sharing them with competing banks. Using a unique feature on the timing of information disclosure of a public credit registry, we disentangle the effect of manipulation from learning of credit ratings. We show that banks downgrade high-quality borrowers for which they have positive private information to protect their informational rents. Banks also upgrade low-quality borrowers with multiple lenders to avoid creditor runs. Our res...
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作者：Demir, Banu; Michalski, Tomasz K.; Ors, Evren
作者单位：Ihsan Dogramaci Bilkent University; Hautes Etudes Commerciales (HEC) Paris
摘要：We test the trade finance channel of exports by controlling for the bank credit channel. Using Turkey's July 2012 adoption of Basel II as a quasi-natural experiment, we examine whether shocks to trade financing costs affect exports. With data for 16,662 Turkish exporters shipping 2,888 different products to 158 countries, we find that the share of letters-of-credit-based exports decreases (increases) when the associated risk weights for counterparty exposure increase (decrease) after the adopt...
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作者：Rodnyansky, Alexander; Darmouni, Olivier M.
作者单位：Princeton University; Columbia University
摘要：Banks' exposure to large-scale asset purchases, as measured by the relative prevalence of mortgage-backed securities on their books, affects lending following unconventional monetary policy shocks. Using a difference-in-differences identification strategy, this paper finds strong effects of the first and third round of quantitative easing (QE1 and QE3) on credit. Highly affected commercial banks increase lending by 2% to 3% relative to their counterparts. QE2 had no significant impact, consist...
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作者：Kelley, Eric K.; Tetlock, Paul C.
作者单位：University of Tennessee System; University of Tennessee Knoxville; Columbia University
摘要：Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. Aportfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail short selling lasts for one year and is not subsumed by institutional short selling. In contrast to institutional shorting, retail shorting best predicts returns in small stocks and those that are heavily...
