Review of Financial Studies

最新文章

• The Anatomy of the CDS Market AI翻译
  作者：Oehmke, Martin; Zawadowski, Adam
  作者单位：Columbia University; National Bureau of Economic Research; Central European University
  摘要：Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as alternative trading venues serving a standardization and liquidity role. CDS positions and trading volume are larger for firms with bonds fragmented into many separate issues and with heterogeneous contractual terms. Whereas hedging motives are associated with trading volume in the bond and CDS markets, speculative trading concentrates in the CDS. Cross-ma...
• Within-Firm Pay Inequality AI翻译
  作者：Mueller, Holger M.; Ouimet, Paige P.; Simintzi, Elena
  作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of North Carolina; University of North Carolina Chapel Hill; University of British Columbia
  摘要：Financial regulators and investors have expressed concerns about high pay inequality within firms. Using a proprietary data set of public and private firms, this paper shows that firms with higher pay inequality-relative wage differentials between top-and bottom-level jobs-are larger and have higher valuations and stronger operating performance. Moreover, firms with higher pay inequality exhibit larger equity returns and greater earnings surprises, suggesting that pay inequality is not fully p...
• The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices (vol 30, pg 2818, 2017) AI翻译
  作者：Khan, Saqib; Khokher, Zeigham; Simin, Timothy
• Fraudulent Income Overstatement on Mortgage Applications During the Credit Expansion of 2002 to 2005 AI翻译
  作者：Mian, Atif; Sufi, Amir
  作者单位：Princeton University; National Bureau of Economic Research; University of Chicago
  摘要：Treating fraudulently overstated income on mortgage applications as true income can lead to incorrect conclusions on the nature of the mortgage credit supply expansion toward marginal borrowers from 2002 to 2005. A positive gap between zip-code-level income growth calculated from mortgage applications and income growth from the IRS likely reflects mortgage fraud, not an improvement in home-buyer income. In support of the credit supply view, mortgage credit for home purchase expanded significan...
• Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach AI翻译
  作者：Light, Nathaniel; Maslov, Denys; Rytchkov, Oleg
  作者单位：American University of Sharjah; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
  摘要：We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that the characteristics are linked to expected returns through one or few common latent factors. The estimates of expected returns constructed by our approach from 26 firm characteristics generate a wide cros...
• Returns to Hedge Fund Activism: An International Study AI翻译
  作者：Becht, Marco; Franks, Julian; Grant, Jeremy; Wagner, Hannes F.
  作者单位：Universite Libre de Bruxelles; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of London; London Business School
  摘要：This paper provides evidence on the incidence, characteristics, and performance of activist engagements across countries. We find that the incidence of activism is greatest with high institutional ownership, particularly for U.S. institutions. We use a sample of 1,740 activist engagements across 23 countries and find that almost one-quarter of engagements are by multi-activists engaging the same target. These engagements perform strikingly better than single activist engagements. Engagement ou...
• The Effects of Short-Selling Threats on Incentive Contracts: Evidence from an Experiment (vol 30, pg 1627, 2017) AI翻译
  作者：De Angelis, David; Grullon, Gustavo; Michenaud, Sebastien
• Asset Prices and Risk Sharing in Open Economies AI翻译
  作者：Stathopoulos, Andreas
  作者单位：University of Washington; University of Washington Seattle
  摘要：This paper proposes a two-country model that features time-varying heterogeneity in conditional risk aversion across countries, endogenously arising from the interaction between external habit formation and preference home bias. The model generates high international correlation of state prices along with modest cross-country consumption growth correlation and matches the empirical disconnect between exchange rate changes and consumption growth rate differentials. The key mechanism is endogeno...
• Are Stocks Real Assets? Sticky Discount Rates in Stock Markets (vol 30, pg 539, 2017) AI翻译
  作者：Katz, Michael; Lustig, Hanno; Nielsen, Lars
• Endogenous Leverage and Advantageous Selection in Credit Markets AI翻译
  作者：Nenov, Plamen T.
  作者单位：BI Norwegian Business School
  摘要：I study asset price amplification in an asymmetric information model. Entrepreneurs issue debt to finance investments in a physical asset. They have private information about their success probabilities. For a given debt level, higher asset prices require entrepreneurs to invest more of their own funds. This makes bad entrepreneurs more reluctant to mimic good ones; as a result, good entrepreneurs increase their equilibrium leverage and invest more, and this amplifies the initial asset price i...