Review of Financial Studies

最新文章

• Optimal Priority Structure, Capital Structure, and Investment AI翻译
  作者：Hackbarth, Dirk; Mauer, David C.
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Texas System; University of Texas Dallas
  摘要：We study the interaction between financing and investment decisions in a dynamic model, where the firm has multiple debt issues and equityholders choose the timing of investment. Jointly optimal capital and priority structures can virtually eliminate investment distortions because debt priority serves as a dynamically optimal contract. Examining the relative efficiency of priority rules observed in practice, we develop several predictions about how firms adjust their priority structure in resp...
• Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective AI翻译
  作者：Thornton, Daniel L.; Valente, Giorgio
  作者单位：University of Essex; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
  摘要：This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time.
• Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability AI翻译
  作者：Patton, Andrew J.; Verardo, Michela
  作者单位：University of London; London School Economics & Political Science; Duke University
  摘要：We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about other firms in the market, and resolve greater ex ante uncertainty. Our results are consistent with a...
• Trust and Credit: The Role of Appearance in Peer-to-peer Lending AI翻译
  作者：Duarte, Jefferson; Siegel, Stephan; Young, Lance
  作者单位：Rice University; University of Washington; University of Washington Seattle
  摘要：Although it is well known that appearance-based impressions affect labor market and election outcomes, little is known about the role appearance plays in financial transactions. We address this question using photographs of potential borrowers from a peer-to-peer lending site. Consistent with the trust-intensive nature of lending, we find that borrowers who appear more trustworthy have higher probabilities of having their loans funded. Moreover, borrowers who appear more trustworthy indeed hav...
• Fiduciary Duties and Equity-debtholder Conflicts AI翻译
  作者：Becker, Bo; Stromberg, Per
  作者单位：Harvard University; National Bureau of Economic Research; Stockholm School of Economics
  摘要：We use an important legal event to examine the effect of managerial fiduciary duties on equity-debt conflicts. A 1991 legal ruling changed corporate directors' fiduciary duties in Delaware firms, limiting managers' incentives to take actions that favor equity over debt for distressed firms. After this, affected firms responded by increasing equity issues and investment and by reducing risk. The ruling was also followed by an increase in leverage, reduced reliance on covenants, and higher value...
• Level 3 Assets: Booking Profits and Concealing Losses AI翻译
  作者：Milbradt, Konstantin
  作者单位：Massachusetts Institute of Technology (MIT)
  摘要：Fair value accounting forces institutions to revalue inventory whenever a transaction occurs. An institution that faces a balance sheet constraint may have incentives to suspend trading in Level 3 assets (traded on opaque over-the-counter markets) in order to avoid such marking-to-market. This keeps the book valuation artificially high, relaxing the balance sheet constraint. But, the institution loses direct control of the risk of its position. Solving this real options problem, the institutio...
• Convertibles and Hedge Funds as Distributors of Equity Exposure AI翻译
  作者：Brown, Stephen J.; Grundy, Bruce D.; Lewis, Craig M.; Verwijmeren, Patrick
  作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; University of Glasgow; University of Melbourne; New York University; Vanderbilt University
  摘要：By buying convertibles and shorting the underlying stock, hedge funds distribute equity exposure to well-diversified shareholders. We find that firms with characteristics that make seasoned equity offerings expensive are more likely to issue convertibles to hedge funds. We conclude that hedge funds provide opportunities for firms to issue convertible securities at a lower cost than seasoned equity by serving as relatively low-cost distributors of equity exposure. A higher fraction of a convert...
• Fiscal Policies and Asset Prices AI翻译
  作者：Croce, M. Max; Kung, Howard; Nguyen, Thien T.; Schmid, Lukas
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; Duke University; University of Pennsylvania
  摘要：The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3) depressing productivity growth. In settings with recursive preferences, these three tax-based channels generate si...
• Corporate Governance Objectives of Labor Union Shareholders: Evidence from Proxy Voting AI翻译
  作者：Agrawal, Ashwini K.
  作者单位：New York University
  摘要：Labor union pension funds have become increasingly vocal in governance matters; however, their motives are subject to fierce debate. I examine the proxy votes of AFL-CIO union funds around an exogenous change in the union representation of workers across firms. AFL-CIO-affiliated shareholders become significantly less opposed to directors once the AFL-CIO labor organization no longer represents a firm's workers. Other institutional investors, including mutual funds and public pension funds, do...
• The Inventory Growth Spread AI翻译
  作者：Belo, Frederico; Lin, Xiaoji
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of London; London School Economics & Political Science
  摘要：Previous studies show that firms with low inventory growth outperform firms with high inventory growth in the cross-section of publicly traded firms. In addition, inventory investment is volatile and procyclical, and inventory-to-sales is persistent and countercyclical. We embed an inventory holding motive into the investment-based asset pricing framework by modeling inventory as a factor of production with convex and nonconvex adjustment costs. The augmented model simultaneously matches the l...