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作者：Acharya, Viral; Davydenko, Sergei A.; Strebulaev, Ilya A.
作者单位：University of Toronto; New York University; Stanford University; National Bureau of Economic Research
摘要：Intuition suggests that firms with higher cash holdings should be safer and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This puzzling finding can be explained by the precautionary motive for saving cash, which in our model causes riskier firms to accumulate higher cash reserves. In contrast, spreads are negatively related to the part of cash holdings that is not determined by credit risk factors. Similarly, although firms with high...
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作者：Buss, Adrian; Vilkov, Grigory
作者单位：Goethe University Frankfurt; Goethe University Frankfurt
摘要：We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas, with the slope close to the market excess return. Our implied betas confirm a risk-return relation consistent with linear factor models because, when compared to other beta approaches: (i) they are bette...
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作者：He, Zhiguo
作者单位：University of Chicago
摘要：This article studies a dynamic agency problem in which a risk-averse agent can save privately. In the optimal contract, (i) cash compensations exhibit downward rigidity to failures; (ii) permanent pay raises occur when the agent's historical performance is sufficiently good; (iii) and when the agent is dismissed due to poor performance, he walks away with severance pay to support his post-firing consumption at the current compensation level. Thus, the theory can simultaneously explain the popu...
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作者：Aslan, Hadiye; Kumar, Praveen
作者单位：University of Houston System; University of Houston
摘要：We theoretically and empirically address the endogeneity of corporate ownership structure and the cost of debt, with a novel emphasis on the role of control concentration in post-default firm restructuring. Control concentration raises agency costs of debt, and dominant shareholders trade off private benefits of control against higher borrowing costs in choosing their ownership stakes. Based on our theoretical predictions, and using an international sample of syndicated loans and unique dynami...
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作者：Bhattacharya, Utpal; Hackethal, Andreas; Kaesler, Simon; Loos, Benjamin; Meyer, Steffen
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Goethe University Frankfurt
摘要：Working with one of the largest brokerages in Germany, we record what happens when unbiased investment advice is offered to a random set of approximately 8,000 active retail customers out of the brokerage's several hundred thousand retail customers. We find that investors who most need the financial advice are least likely to obtain it. The investors who do obtain the advice (about 5%), however, hardly follow the advice and do not improve their portfolio efficiency by much. Overall, our result...
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作者：Anderson, Ronald W.; Carverhill, Andrew
作者单位：University of London; London School Economics & Political Science; University of Hong Kong
摘要：We solve for a firm's optimal cash holding policy within a continuous time, contingent claims framework using dividends, short-term borrowing, and equity issues as controls assuming mean reversion of earnings. Optimal cash is non-monotone in business conditions and increasing in the level of long-term debt. The model matches closely a wide range of empirical benchmarks and predicts cash and leverage dynamics in line with the empirical literature. Firm value is quite insensitive to changes in t...
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作者：Erel, Isil; Julio, Brandon; Kim, Woojin; Weisbach, Michael S.
作者单位：Seoul National University (SNU); University System of Ohio; Ohio State University; University of London; London Business School; National Bureau of Economic Research
摘要：Do macroeconomic conditions affect firms' abilities to raise capital? If so, how do they affect the manner in which the capital is raised? Using a large sample of publicly traded debt issues, seasoned equity offers, bank loans, and private placements of equity and debt, we find that a borrower's credit quality significantly affects its ability to raise capital during macroeconomic downturns. For noninvestment-grade borrowers, capital raising tends to be procyclical, while for investment-grade ...
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作者：Chen, Zhanhui; Petkova, Ralitsa
作者单位：Purdue University System; Purdue University; Nanyang Technological University
摘要：We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the Fama-French (1993) model have positive (negative) exposures to innovations in average stock variance and therefore lower (higher) expected returns. These two findings explain the idiosyncratic vola...
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作者：Pagano, Marco; Volpin, Paolo
作者单位：University of London; London Business School; University of Naples Federico II
摘要：We present a model in which issuers of asset-backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We show that various types of public intervention (mandatory transparency standards, provision of liquidity to distressed banks, or secondary market price support) have qu...
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作者：Erickson, Timothy; Whited, Toni M.
作者单位：University of Rochester
摘要：We compare the ability of three measurement error remedies to deliver unbiased estimates of coefficients in investment regressions. We examine high-order moment estimators, dynamic panel estimators, and simple instrumental variables estimators that use lagged mismeasured regressors as instruments. We show that recent investigations of this question are largely uninformative. We find that all estimators can pet-form well under correct specification, all can be biased under misspecification, and...
