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作者：Bouwman, Christa H. S.
作者单位：University System of Ohio; Case Western Reserve University
摘要：How are governance practices propagated across firms? This article proposes, and empirically verifies, that observed governance practices are partly the outcome of network effects among firms with common directors. While firms attempt to select directors whose other directorships are at firms with similar governance practices (familiarity effect), this matching of governance practices is imperfect because other factors also affect the director choice. This generates an influence effect as dire...
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作者：Piskorski, Tomasz; Tchistyi, Alexei
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：We characterize the optimal mortgage contract in a continuous-time setting with stochastic growth in house price and income, costly foreclosure, and a risky borrower who requires incentives to repay his debt. We show that many features of subprime loans can be consistent with properties of the optimal contract and that, when house prices decline, mortgage modification can create value for borrowers and lenders. Our model provides a number of empirical predictions that relate the features of mo...
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作者：Joslin, Scott; Singleton, Kenneth J.; Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT); Stanford University; National Bureau of Economic Research
摘要：In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM in which the pricing factors are observable portfolios of yields. For our normalization, standard maximum likelihood algorithms converge to ...
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作者：Haushalter, David; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the conflicts of interest and the flow of information between divisions of financial institutions. Using data on analyst recommendations and stockholdings of investment banks advising acquirers in mergers, we find evidence that information from investment banking flows to other divisions of the bank. Specifically, following a merger announcement, changes in a bank's stockholdings of the acquirer are positively associated with changes in recommendations by its analyst. This relations...
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作者：Faccio, Mara; Marchica, Maria-Teresa; Mura, Roberto
作者单位：University of Manchester; Purdue University System; Purdue University
摘要：Using new data for the universe of firms covered in Amadeus, we reconstruct the portfolios of shareholders who hold equity stakes in private- and publicly traded European firms. We find great heterogeneity in the degree of portfolio diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large shareholders undertake riskier investments than firms controlled by nondiversified large shareholders. The impact of large shareholder d...
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作者：Garcia, Diego; Sangiorgi, Francesco
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Stockholm School of Economics
摘要：We study information sales in financial markets with strategic risk-averse traders. The optimal selling mechanism is one of the following two: (i) sell to as many agents as possible very imprecise information; (ii) sell to a small number of agents information as precise as possible. As risk-sharing considerations prevail over the negative effects of competition, the newsletters or rumors associated with (i) dominate the exclusivity contract in (ii). These allocations of information have implic...
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作者：Li, Dongmei
作者单位：University of California System; University of California San Diego
摘要：Through the interaction between financial constraints and R&D, I study two asset-pricing puzzles: mixed evidence on the financial constraints-return relation and the positive R&D-return relation. Unlike capital investment, R&D is more inflexible. A financially constrained R&D-intensive firm is more likely to suspend/discontinue R&D projects. Therefore, R&D-intensive firms' risk increases with their financial constraints. Conversely, constrained firms' risk increases with their R&D intensity. I...
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作者：Demyanyk, Yuliya; Van Hemert, Otto
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; New York University
摘要：Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growt...
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作者：Carlin, Bruce Ian; Manso, Gustavo
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication in mutual fund markets. Taking into account different learning mechanisms within the investor population, we characterize the optimal timing of obfuscation for financial institutions who offer retail products. We show that educational initiatives that are directed to facilitate learning...
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作者：Jin, Li; Scherbina, Anna
作者单位：University of California System; University of California Davis; Harvard University
摘要：We show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior is observed regardless of fund characteristics and is stronger when new managers are external hires. The tendency of continuing fund managers to hold on to losers could be consistent with either a behavior bias stemming from an inability to...
