-
作者：Choi, Dong Beom
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We first study a stylized model of self-fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems, the panic trigger threshold can depend only on one type's fragility. We then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers. Concerns about potential spillovers generate strategic interaction, triggering a pre-emption game in which one tries to e...
-
作者：Bouvard, Matthieu
作者单位：McGill University
摘要：This study examines the financing of innovation in the presence of adverse selection in the capital market. An entrepreneur with private information needs outside funding for a project requiring costly experimentation. Equilibrium contracts use the duration of the experimentation period, together with pay-for-performance, to signal information to outside investors. As a result, investment is delayed, entrepreneurs with stronger growth options receive vested stock options, and entrepreneurs wit...
-
作者：Chang, Xin; Dasgupta, Sudipto; Wong, George; Yao, Jiaquan
作者单位：Nanyang Technological University; Hong Kong University of Science & Technology; Hong Kong Polytechnic University; Xiamen University; Xiamen University
摘要：We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash flow to cash savings and direct less toward investment than do less constrained firms, consistent wit...
-
作者：Bhardwaj, Geetesh; Gorton, Gary B.; Rouwenhorst, K. Geert
作者单位：Yale University; National Bureau of Economic Research
摘要：Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find that CTAs display no alpha relative to simple future strategies in the public domain. Our results ...
-
作者：Sibilkov, Valeriy; McConnell, John J.
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee; Purdue University System; Purdue University
摘要：Contrary to earlier studies, we find that prior client performance is a significant determinant of the likelihood that an investment bank will be chosen as the advisor by future acquirers and of the changes through time in banks' shares of the advisory business. Further, the changes in the market values of acquirers at the announcement of acquisition attempts are positively correlated with contemporaneous changes in the market values of their advisors. Two implications arise: (1) acquirers con...
-
作者：Gormley, Todd A.; Matsa, David A.
作者单位：University of Pennsylvania; Northwestern University
摘要：Controlling for unobserved heterogeneity (or common errors), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., industry-adjusting) and adding the mean of the group's dependent variable as a control. We show that these methods produce inconsistent estimates and can distort inference....
-
作者：Dass, Nishant; Massa, Massimo
作者单位：University System of Georgia; Georgia Institute of Technology; INSEAD Business School
摘要：We study how a firm's decision to offer bonds of various maturities affects the portfolio allocations of institutional investors. We argue that because of lower information-collection costs, institutional investors tilt their portfolios towards firms that offer bonds of various maturities. We show that this translates into lower bond yields, both in the primary and in the secondary bond markets.
-
作者：Assuncao, Juliano J.; Benmelech, Efraim; Silva, Fernando S. S.
作者单位：Pontificia Universidade Catolica do Rio de Janeiro; Northwestern University; National Bureau of Economic Research
摘要：We exploit a 2004 credit reform in Brazil that simplified the sale of repossessed cars used as collateral for auto loans. We show that the reform expanded credit to riskier, self-employed borrowers who purchased newer, more expensive cars. The legal change has led to larger loans with lower spreads and longer maturities. Although the credit reform improved riskier borrowers' access to credit, it also led to increased incidences of delinquency and default. Our results shed light on the conseque...
-
作者：Chernenko, Sergey; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University
摘要：We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to Eurozone banks suffered large outflows in mid-2011. These outflows had significant spillovers: non-European issuers relying on such funds raised less short-term debt financing. Issuer characteristics do not explain the results: holding fixed the issuer, funds with higher Eurozone exposure cut lending more. ...
-
作者：Georgarakos, Dimitris; Haliassos, Michael; Pasini, Giacomo
作者单位：Goethe University Frankfurt; University of Leicester; Centre for Economic Policy Research - UK; Universita Ca Foscari Venezia
摘要：Can concern with relative standing, which has been shown to influence consumption and labor supply, also increase borrowing and the likelihood of financial distress? We find that perceived peer income contributes to debt and the likelihood of financial distress among those who consider themselves poorer than their peers. We use unique responses describing perceived peer characteristics from a Dutch population-wide survey to handle two major challenges of uncovering social interaction effects o...
