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作者：Albuquerque, Rui
作者单位：Boston University
摘要：Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events...
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作者：Allen, Linda; Bali, Turan G.; Tang, Yi
作者单位：Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY); Fordham University
摘要：We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank specialness, the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly defined measure for both nonfinancial firms and simulated fake banks has no marginal predictive ability....
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作者：Ozdagli, Ali K.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases. effective investment irreversibility and that investment irreversibility weakens the relation between book-to-market values and returns. This provides a clear and novel mechanism showing how financial ...
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作者：Graham, John R.; Li, Si; Qiu, Jiaping
作者单位：Duke University; National Bureau of Economic Research; Wilfrid Laurier University; McMaster University
摘要：We study the role of firm- and manager-specific heterogeneities in executive compensation. We decompose the variation in executive compensation and find that time-invariant firm and, especially, manager fixed effects explain a majority of the variation in executive pay. We then show that in many settings, it is important to include fixed effects to mitigate potential omitted variable bias. Furthermore, we find that compensation fixed effects are significantly correlated with management styles ...
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作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We show that familiarity affects the portfolio decisions of mutual fund managers. Controlling for fund location, funds overweight stocks from their managers' home states by 12% compared with their peers. In team-managed funds, home-state overweighting is 37% larger than the fund location effect. The home-state bias is stronger if the manager is inexperienced, is resource-constrained, or spent more time in his home state. Home-state stocks do not outperform other holdings, confirming that home-...
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作者：Fontaine, Jean-Sebastien; Garcia, Rene
作者单位：Bank of Canada; Universite Catholique de Lille; EDHEC Business School
摘要：Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing implications, we find that increases in funding liquidity predict lower risk premia for all Treasury securitie...
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作者：Campbell, John L.; Dhaliwal, Dan S.; Schwartz, William C., Jr.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; University of Arizona; University System of Georgia; University of Georgia
摘要：We investigate the relation between firms' weighted average cost of capital and internal financial resources, using mandatory pension contributions as a proxy for internal financial resources. Rauh (2006) documents a negative association between mandatory pension contributions and capital expenditures. We find that an increase in mandatory pension contributions increases the cost of capital, but only for firms facing greater external financing constraints. Our results suggest that firms' cost ...
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作者：Basak, Suleyman; Chabakauri, Georgy
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
摘要：We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the traditional minimum-variance criterion. Our hedges are in terms of generalized Greeks and naturally extend no-arbitrage-based risk management in complete markets to incomplete markets. Whereas the literature characterizes either minimum-variance static, myopic, or dynamic hedges from which a hedger may deviate unless able to precommit, our hedges are time-consistent. We apply our results to derivatives r...
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作者：Boutchkova, Maria; Doshi, Hitesh; Durnev, Art; Molchanov, Alexander
作者单位：University of Iowa; University of Leicester; University of Houston System; University of Houston; Massey University
摘要：We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition resul...
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作者：Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei
作者单位：University of Toronto; Stanford University; National Bureau of Economic Research
摘要：This article proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon default. Using a large sample of firms with observed prices of debt and equity that defaulted over fourteen years, we estimate the cost of default for an average defaulting firm to be 21.7% of the market value of assets. The costs vary from 14.7% for bond renegotiations to 30.5% for bankruptcies, and are substantially higher for investment-grade firms (28.8%) than ...
