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作者：Acharya, Viral V.; Shin, Hyun Song; Yorulmazer, Tanju
作者单位：New York University; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：What is the effect of financial crises and their resolution on banks' choice of liquidity? When banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of bank failures. The gains from acquiring assets at fire-sale prices make it attractive for banks to hold liquid assets. The resulting choice of bank liquidity is countercyclical, inefficiently low during economic booms but excessively high during crises. We ...
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作者：Han, Yufeng; Lesmond, David
作者单位：Tulane University; University of Colorado System; University of Colorado Denver
摘要：We model a microstructure effect on daily security returns, embodied by zero returns and the bid-ask spread, and derive a closed-form solution for the resulting bias in the estimated idiosyncratic volatility. Our empirical tests show that controlling for the bias eliminates the ability of idiosyncratic volatility estimates to predict future returns. We also find a significant reduction in the pricing ability of idiosyncratic volatility after exogenous shocks to liquidity evidenced in the 1997 ...
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作者：Allen, Franklin; Carletti, Elena; Marquez, Robert
作者单位：University of Pennsylvania; European University Institute; Boston University
摘要：Empirical evidence suggests that banks hold capital in excess of regulatory minimums. This did not prevent the financial crisis and underlines the importance of understanding bank capital determination. Market discipline is one of the forces that induces banks to hold positive capital. The literature has focused on the liability side. We develop a simple theory based on monitoring to show that discipline from the asset side can also be important. In perfectly competitive markets, banks can fin...
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作者：Griffin, John M.; Hirschey, Nicholas H.; Kelly, Patrick J.
作者单位：University of Texas System; University of Texas Austin; State University System of Florida; University of South Florida; New Economic School
摘要：This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news and non-news days. We examine several hypotheses for our findings. Cross-country differences in stock price reactions are best explained by insider trading, followed by differences in the quality of the ...
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作者：Gopalan, Radhakrishnan; Xie, Kangzhen
作者单位：Washington University (WUSTL); University of Arkansas System; University of Arkansas Fayetteville
摘要：Focusing on economic distress episodes in an industry, we estimate the effect of conglomeration on resource allocation. Distressed segments have higher sales growth, higher cash flow, and higher expenditure on research and development than single-segment firms. This is especially true for segments with high past performance, for unrated firms, and in competitive industries. Single-segment firms increase cash holding, and the diversification discount reduces during industry distress. Firms with...
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作者：Chen, Xilong; Ghysels, Eric
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a new class of parametric models applicable to a mixture of high and low frequency returns and revisit the concept of news impact curves introduced by Engle and Ng (1993). Overall, we find that moderately good (intra-daily) news reduces volatility (the next day), while both very good news (unusual high intra-daily positive returns) and bad news (negative returns) increase volatility, with the latter having a more severe impact. The asymmetries disappear over longer horizons. Model...
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作者：Ivashina, Victoria; Kovner, Anna
作者单位：Harvard University; Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research
摘要：This article examines the impact of leveraged buyout firms' bank relationships on the terms of their syndicated loans. We examine a sample of 1,590 loans financing private equity sponsored leveraged buyouts between 1993 and 2005, and find that private equity firms' bank relationships are an important factor in cross-sectional variation in the loan interest rate and covenant structure. Our results indicate that bank relationships formed through repeated interactions reduce inefficiencies from i...
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作者：Korniotis, George M.; Kumar, Alok
作者单位：University of Miami; University of Texas System; University of Texas Austin
摘要：We investigate whether the adverse effects of investors' behavioral biases extend beyond the domain of financial markets to the broad macro-economy. Focusing on the income risk-sharing role of financial markets, we find that risk sharing is higher (more than double) in U.S. states where investors are more sophisticated and exhibit weaker behavioral biases. The potential for risk sharing varies geographically, but states with better risk-sharing opportunities are able to achieve higher levels o...
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作者：Brown, Craig O.; Dinc, I. Serdar
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Massachusetts Institute of Technology (MIT)
摘要：This article studies bank failures in twenty-one emerging market countries in the 1990s. By using a competing risk hazard model for bank survival, we show that a government is less likely to take over or close a failing bank if the banking system is weak. This Too-Many-to-Fail effect is robust to controlling for macroeconomic factors, financial crises, the Too-Big-to-Fail effect, domestic financial development, and concerns due to systemic risk and information spillovers. The article also show...
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作者：Chun, Albert Lee
作者单位：Copenhagen Business School
摘要：Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage-free model of the yield curve, this research proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that survey expectations about inflation, output growth, and the anticipated path of monetary policy actions contain important information for explaining movements in bond yields. Estimates from a forward-looki...
