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作者：Doshi, Hitesh; Ericsson, Jan; Jacobs, Kris; Turnbull, Stuart M.
作者单位：University of Houston System; University of Houston; McGill University; Tilburg University
摘要：Observable covariates are useful for predicting default, but several studies question their value for explaining credit spreads. We introduce a discrete-time no-arbitrage model with observable covariates, which allows for a closed-form solution for the value of credit default swaps (CDS). The default intensity is a quadratic function of the covariates, specified such that it is always positive. The model yields economically plausible results in terms of fit, the economic impact of the covariat...
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作者：Liu, Jun; Timmermann, Allan
作者单位：University of California System; University of California San Diego
摘要：Convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets. This paper studies optimal convergence trades under both recurring and nonrecurring arbitrage opportunities represented by continuing and stopped cointegrated price processes and considers both fixed and stochastic (Poisson) horizons. Conventional long-short delta neutral strategies are generally suboptimal and it can be optimal to simultaneousl...
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作者：Faulkender, Michael; Yang, Jun
作者单位：University System of Maryland; University of Maryland College Park; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Firms routinely justify CEO compensation by benchmarking against companies with highly paid CEOs. We examine whether the 2006 regulatory requirement of disclosing compensation peers mitigated firms' opportunistic peer selection activities. We find that strategic peer benchmarking did not disappear after enhanced disclosure. In fact, it intensified at firms with low institutional ownership, low director ownership, low CEO ownership, busy boards, large boards, and non-intensive monitoring boards...
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作者：Bansal, Ravi; Shaliastovich, Ivan
作者单位：University of Pennsylvania; Duke University
摘要：We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with timevarying volatilities of expected growth and inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency m...
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作者：Chung, Ji-Woong; Sensoy, Berk A.; Stern, Lea; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; Korea University; National Bureau of Economic Research
摘要：Lifetime incomes of private equity general partners (GPs) are affected by their current funds' performance not only directly, through carried interest profit-sharing provisions, but also indirectly by the effect of the current fund's performance on GPs' abilities to raise capital for future funds. In the context of a rational learning model, which we show better matches the empirical relations between future fund-raising and current performance than behavioral alternatives, we estimate that in...
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作者：Longstaff, Francis A.; Wang, Jiang
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This article studies the central role of the credit market. We show that the credit market facilitates optimal risk sharing by allowing less risk-averse investors to take on levered positions and consume more risk. The equilibrium amount behaves procyclically when aggregate consumption is low but countercyclically when it is high. The varying size of the credit market modifies the amount of risk sharing, which in turn influences asset prices such as expected stock returns, stock return volatil...
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作者：Ben-David, Itzhak; Hirshleifer, David
作者单位：University System of Ohio; Ohio State University; University of California System; University of California Irvine
摘要：We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference explains trading. Furthermore, the disposition effect is not driven by a simple direct preference for s...
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作者：Dam, Lammertjan; Koetter, Michael
作者单位：University of Groningen
摘要：We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout expectations on bank risk, we exploit the fact that regional political factors explain bank bailouts but not bank risk. The sample includes all observed capital preservation measures and distressed exits in the German banking industry during 1995-2006. A change of bailout expectations by two standard deviatio...
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作者：Nagel, Stefan
作者单位：Stanford University; National Bureau of Economic Research
摘要：The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach, this article shows that the return from liquidity provision is highly predictable with the VIX index. Expected returns and conditional Sharpe ratios from liquidity provision spike during periods of financial market turmoil. The results point to withdrawal of liquidity supply and an associated increase in the expected returns from liquidity...
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作者：Franks, Julian; Mayer, Colin; Volpin, Paolo; Wagner, Hannes F.
作者单位：University of London; London Business School; University of Oxford; Bocconi University
摘要：We show that in countries with strong investor protection, developed financial markets, and active markets for corporate control, family firms evolve into widely held companies as they age. In countries with weak investor protection, less developed financial markets, and inactive markets for corporate control, family control is very persistent over time. While family control in high investor protection countries is concentrated in industries that have low investment opportunities and low merge...
