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作者：Delikouras, Stefanos
作者单位：University of Miami
摘要：I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/ book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French...
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作者：Perignon, Christophe; Vallee, Boris
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University
摘要：We investigate the development of an innovative and high-risk type of borrowing for local governments, known as structured loans. Using transaction data for more than 2,700 local governments in France, we show that the adoption of these instruments is more frequent for politicians from highly indebted local governments, from politically contested areas, and during political campaigns. Taking on structured loans helps incumbents win a reelection, and initially allows them to maintain lower taxe...
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作者：Di Maggio, Marco; Kermani, Amir
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper exploits the federal preemption of national banks in 2004 from local laws against predatory lending to gauge the effect of the supply of credit on the real economy. First, the preemption regulation resulted in an 11% increase in annual lending in the 2004-2006 period, which is associated with a 3.3% rise in annual house price growth rate and a 2.2% expansion of employment in nontradable sectors. This was followed by a sharp decline in subsequent years. Furthermore, we show that the ...
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作者：Gine, Xavier; Kanz, Martin
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作者：Berger, Allen N.; Bouwman, Christa H. S.; Kim, Dasol
作者单位：University of South Carolina System; University of South Carolina Columbia; Texas A&M University System; Texas A&M University College Station; Office of Financial Research; United States Department of the Treasury
摘要：We use novel monthly survey data from 1993 to 2012 on small business managerial perceptions of financial constraints and other conditions, matched with information on banks in their local markets. The data suggest that small banks have comparative advantages in alleviating these constraints. These advantages tend to be greater during adverse economic conditions and do not appear to decrease or increase secularly. Small banks also appear to have comparative advantages in providing liquidity ins...
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作者：Yonker, Scott E.
作者单位：Cornell University
摘要：In line with the psychological theory of place attachments, managers favor hometown workers over others. Consistent with this prediction, I find that following periods of industry distress, establishments located near CEOs' childhood homes experience fewer employment and pay reductions and are less likely to be divested relative to other firm establishments. While it is not possible to directly test whether this employment bias destroys firm value, managers only implement these policies when g...
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作者：Karpoff, Jonathan M.; Schonlau, Robert J.; Wehrly, Eric W.
作者单位：University of Washington; University of Washington Seattle; Brigham Young University; Western Washington University
摘要：Many researchers use the G-index or E-index to measure firms' takeover defenses. Others argue that these indices are not related to firms' takeover likelihoods. We find that, unlike their raw values, the instrumented versions of these indices are significantly and negatively related to acquisition likelihood. The difference between the raw and instrumented results indicates that the G-index and E-index include an endogenous component and highlights the importance of accounting for endogeneity ...
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作者：Fresard, Laurent; Hege, Ulrich; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Dartmouth College
摘要：We investigate the role of industry specialization in horizontal cross-border mergers and acquisitions. We find that acquirers from more specialized industries in a country are more likely to buy foreign targets in countries that are less specialized in these same industries. The role of industry specialization in foreign acquisitions is more prevalent when contracting inefficiencies and exporting costs limit arm's-length relationships. The economic gains in cross-border deals are larger when ...
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作者：Chang, Chun; Chiang, Yao-Min; Qian, Yiming; Ritter, Jay R.
作者单位：Shanghai Jiao Tong University; National Taiwan University; University of Iowa; State University System of Florida; University of Florida
摘要：Studying the only mandatory pre-IPO market in the world-Taiwan's Emerging Stock Market (ESM)-we document that pre-market prices are very informative about post-market prices and that informativeness increases with a stock's liquidity. The ESM price-earnings ratio shortly before an initial public offering explains about 90% of the variation in the offer price-earnings ratio. However, the average IPO underpricing level remains high, at 55%, suggesting that agency problems between underwriters an...
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作者：Irani, Rustom M.; Meisenzahl, Ralf R.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine how banks use loan sales to manage liquidity during periods of marketwide stress and the associated spillovers to market prices. We track the dynamics of loan share ownership in the secondary market using data from a U.S. supervisory register of syndicated loans. Controlling for loan quality using loan-year fixed effects, we find that banks reliant on wholesale funding were more likely to exit syndicates through sales during 2007/08. This effect is stronger for banks dependent on sh...
