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作者：Epstein, Larry G.; Ji, Shaolin
作者单位：Boston University; Shandong University
摘要：We formulate a model of utility for a continuous-time framework that captures aversion to ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to intervals. In order to obtain sharper predictions, we apply the model of utility to a representativ...
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作者：Saretto, Alessio; Tookes, Heather E.
作者单位：University of Texas System; University of Texas Dallas; Yale University
摘要：Does the ability of suppliers of corporate debt capital to hedge risk through credit default swap (CDS) contracts impact firms' capital structures? We find that firms with traded CDS contracts on their debt are able to maintain higher leverage ratios and longer debt maturities. This is especially true during periods in which credit constraints become binding, as would be expected if the ability to hedge helps alleviate frictions on the supply side of credit markets.
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作者：Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In this setting the equilibrium relation among stock prices and both future dividends and aggregate output depends on the strategic environment in which these firms operate. In general, under reasonable c...
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作者：Tiu, Cristian; Yoeli, Uzi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We develop a parsimonious model in which frictions in the labor market may turn small, continuous labor productivity declines into large drops in employment, endogenously causing disasters. Assuming one state variable and CRRA agents, we solve for prices in closed form, calibrate the model using labor market data, and show that this simple setting captures the high, countercyclical volatility and equity premium observed in the United States. Moreover, returns in our model are conditionally pre...
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作者：Ewens, Michael; Jones, Charles M.; Rhodes-Kropf, Matthew
作者单位：Carnegie Mellon University; Columbia University; Harvard University; National Bureau of Economic Research
摘要：This paper demonstrates how the principal-agent problem between venture capitalists and their investors (limited partners) causes limited partner returns to depend on diversifiable risk. Our theory shows why the need for investors to motivate VCs alters the negotiations between VCs and entrepreneurs and changes how new firms are priced. The three-way interaction rationalizes the use of high discount rates by VCs and predicts a correlation between total risk and net of fee investor returns. We ...
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作者：Cohn, Jonathan B.; Rajan, Uday
作者单位：University of Texas System; University of Texas Austin; University of Michigan System; University of Michigan
摘要：We provide a model of governance in which a board arbitrates between an activist investor and a manager facing reputational concerns. The optimal level of internal board governance depends on both the severity of the agency conflict and the strength of external governance. Internal governance creates a certification effect, so greater intervention by the board can lead to worse managerial behavior. Internal and external governance are substitutes when external governance is weak (the board com...
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作者：Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
作者单位：Bocconi University; University of London; London School Economics & Political Science; Bocconi University
摘要：We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component correlated with long-run productivity growth and commanding a yearly premium of approximately 2%. At high fr...
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作者：Kozhan, Roman; Neuberger, Anthony; Schneider, Paul
作者单位：University of Warwick; City St Georges, University of London; Universita della Svizzera Italiana
摘要：We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our result...
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作者：Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
作者单位：McGill University; University of Geneva
摘要：Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty-two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM segments are not effectively integrated with the global economy. We quantify the importance of implicit barriers and sh...
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作者：Gennaioli, Nicola; Rossi, Stefano
作者单位：Bocconi University; Purdue University System; Purdue University
摘要：In a financial contracting model, we study the optimal debt structure to resolve financial distress. We show that a debt structure where two distinct debt classes coexist-one class fully concentrated and with control rights upon default, the other dispersed and without control rights-removes the controlling creditor's liquidation bias when investor protection is strong. These results rationalize the use and the performance of floating charge financing, which refers to debt financing where the ...
