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作者：Kang, Ari; Lowery, Richard; Wardlaw, Malcolm
作者单位：University of Texas System; University of Texas Austin
摘要：We estimate a dynamic model of the decision to close a troubled bank. Regulators trade off an aversion to closing banks against the risk that allowing a bank to continue will raise the eventual costs to the deposit insurance fund. Using a conditional choice probability approach, we estimate the costs associated with closing banks, both in direct costs to the insurance fund and in other costs perceived by regulators, either social or personal. We find that delayed closures were driven by a desi...
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作者：Hackbarth, Dirk; Haselmann, Rainer; Schoenherr, David
作者单位：Boston University; Goethe University Frankfurt; University of London; London Business School
摘要：We study distress risk premia around a bankruptcy reform that shifts bargaining power in financial distress from debtholders to shareholders. We find that the reform reduces risk factor loadings and returns of distressed stocks. The reform effect is stronger for firms with lower firm-level shareholder bargaining power. An increase in credit spreads of riskier relative to safer firms, in particular for firms with lower firm-level shareholder bargaining power, confirms a shift in bargaining powe...
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作者：Jegadeesh, Narasimhan; Kraeussl, Roman; Pollet, Joshua M.
作者单位：Emory University; University of Luxembourg; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We estimate the risk and expected return of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and of publicly traded private equity funds participating directly in private equity transactions. We find that the market expects unlisted private equity funds to earn abnormal returns between -0.5% and 2% per year. In addition, private equity has a market beta close to one and a positive beta on the SMB factor. These listed funds exhibit great...
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作者：Arena, Matteo P.; Kutner, George W.
作者单位：Marquette University
摘要：We examine the effect of a permanent change to a country corporate income repatriation tax system on corporate financial policies. In 2009, Japan and the United Kingdom switched from a worldwide system to a territorial system for the taxation of repatriated foreign earnings, effectively reducing the tax liabilities of most multinational firms when repatriating earnings. We find that after the change firms accumulate less cash, pay out larger amounts through dividends and share repurchases, and...
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作者：Cebon, Peter; Hermalin, Benjamin E.
作者单位：University of Melbourne; University of California System; University of California Berkeley
摘要：We derive conditions under which limits on executive compensation can enhance efficiency and benefit shareholders (but not executives). Having its hands tied in the future allows a board of directors to credibly enter into relational contracts with executives that are more efficient than performance-contingent contracts. This has implications for the ideal composition of the board. The analysis also offers insights into the political economy of executive-compensation reform.
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作者：Gilbert, Thomas; Hrdlicka, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：We build a model of universities combining their real production decisions with their choice of endowment size and asset allocation. Variation in opportunity cost, that is, the productivity of internal projects, has a first-order effect on these choices. Adding the UPMIFA-mandated 7% payout constraint, the endowment size and asset allocations match those empirically observed. This constraint has little effect on universities that do not value the output of their internal projects but harms tho...
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作者：Fulop, Andras; Li, Junye; Yu, Jun
作者单位：ESSEC Business School; ESSEC Business School; Singapore Management University; Singapore Management University
摘要：The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has imp...
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作者：Plantin, Guillaume
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：Banks are subject to capital requirements because their privately optimal leverage is higher than the socially optimal one. This is in turn because banks fail to internalize all costs that their insolvency creates for agents who use their money-like liabilities to settle transactions. If banks can bypass capital regulation in an opaque shadow banking sector, it may be optimal to relax capital requirements so that liquidity dries up in the shadow banking sector. Tightening capital requirements ...
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作者：Bortolotti, Bernardo; Fotak, Veljko; Megginson, William L.
作者单位：University of Turin; Bocconi University; State University of New York (SUNY) System; University at Buffalo, SUNY; University of Oklahoma System; University of Oklahoma - Norman
摘要：We document that announcement-period abnormal returns of sovereign wealth fund (SWF) equity investments in publicly traded firms are positive but lower than those of comparable private investments. Further, SWF investment targets suffer from declining return on assets and sales growth over the following three years. Our results are robust to controls for target and deal characteristics and are not driven by SWF target selection criteria. Larger discounts are associated with SWFs taking seats o...
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作者：Hartzmark, Samuel M.
作者单位：University of Chicago
摘要：I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio (the rank effect). This effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers. The effect indicates that trades in a given stock depend on h...
