-
作者：Stanton, Richard; Wallace, Nancy
作者单位：University of California System; University of California Berkeley
摘要：During the recent financial crisis, ABX.HE index credit default swaps (CDS) on baskets of mortgage-backed securities were a benchmark widely used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that prices for the AAA ABX.HE index CDS during the crisis were inconsistent with any reasonable assumption for mortgage default rates, and that these price changes are only weakly correlated with observed changes in the credit performance of the underlyi...
-
作者：Cai, Jie; Song, Moon H.; Walkling, Ralph A.
作者单位：Drexel University; California State University System; San Diego State University
摘要：We document market anticipation of merger bids and show that less anticipated bids earn significantly higher announcement returns. Subsequent bidders in the industry experience significant and positive abnormal returns around the time of initial industry bid announcements. These results suggest that announcement period returns underestimate the wealth effects of bidding. After accounting for anticipation, bidding activity is, on average, a significant wealth-creating event. Moreover, bidders p...
-
作者：Minnick, Kristina; Unal, Haluk; Yang, Liu
作者单位：Bentley University; University System of Maryland; University of Maryland College Park; University of California System; University of California Los Angeles
摘要：We examine how managerial incentives affect acquisition decisions in the banking industry. We find that higher pay-for-performance sensitivity (PPS) leads to value-enhancing acquisitions. Banks whose CEOs have higher PPS have significantly better abnormal stock returns around the time of the acquisition announcements. On average, acquirers in the high-PPS group outperform their counterparts in the low-PPS group by 1.4% in a three-day window around the announcement. Higher PPS helps reduce the ...
-
作者：Grenadier, Steven R.; Malenko, Andrey
作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We study games in which the decision to exercise an option is a signal of private information to outsiders, whose beliefs affect the utility of the decision-maker. Signaling incentives distort the timing of exercise, and the direction of distortion depends on whether the decision-maker's utility increases or decreases in outsiders' belief about the payoff from exercise. In the former case, signaling incentives erode the value of the option to wait and speed up option exercise, while in the lat...
-
作者：Wei, Chenyang; Yermack, David
作者单位：New York University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Pensions and deferred compensation represent substantial components of CEO incentives. We study stockholder and bondholder reactions to companies' initial reports of CEOs' inside debt positions following a 2007 SEC disclosure reform. We find that bond prices rise, equity prices fall, and the volatility of both securities drops for firms whose CEOs have sizeable defined benefit pensions or deferred compensation. Similar changes occur for credit default swap spreads and exchange-traded options. ...
-
作者：Chiang, Yao-Min; Hirshleifer, David; Qian, Yiming; Sherman, Ann E.
作者单位：DePaul University; National Chengchi University; University of California System; University of California Irvine; University of Iowa
摘要：We examine how experience affects the decisions of individual investors and institutions in IPO auctions to bid in subsequent auctions, and their bidding returns. We track bidding histories for all 31,476 individual investors and 1,232 institutional investors across all 84 IPO auctions during the period from 1995 to 2000 in Taiwan. For individual bidders, (1) high returns in previous IPO auctions increase the likelihood of participating in future auctions; (2) bidders' returns decrease as they...
-
作者：Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
作者单位：National Bureau of Economic Research; University of Pennsylvania
摘要：We identify a slope factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. This factor accounts for most of the cross-sectional variation in average excess returns between high and low interest rate currencies. A standard, no-arbitrage model of interest rates with two factors-a country-specific factor and a global factor-can replicate these findings, provided there is sufficient heterogeneity in exposure to global or common inn...
-
作者：Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The massive losses that banks incurred with the meltdown of the subprime mortgage market have raised concerns about their ability to continue lending to corporations. We investigate these concerns. We find that firms paid higher loan spreads during the subprime crisis. Importantly, the increase in loan spreads was higher for firms that borrowed from banks that incurred larger losses. These results hold after we control for firm-, bank-, and loan-specific factors, and account for endogeneity of...
-
作者：Duffee, Gregory R.
作者单位：Johns Hopkins University
摘要：Standard approaches to building and estimating dynamic term structure models rely on the assumption that yields can serve as the factors. However, the assumption is neither theoretically necessary nor empirically supported. This article documents that almost half of the variation in bond risk premia cannot be detected using the cross-section of yields. Fluctuations in this hidden component have strong forecast power for both future short-term interest rates and excess bond returns. They are al...
-
作者：Borisova, Ginka; Megginson, William L.
作者单位：Iowa State University; University of Oklahoma System; University of Oklahoma - Norman
摘要：We explore whether government ownership affects the cost of debt using a sample of fully and partially privatized companies. On average across firms, a one-percentage-point decrease in government ownership is associated with an increase in the credit spread, used as a proxy for the cost of debt, by three-quarters of a basis point. However, fully privatized companies exhibit lower credit spreads than partially privatized firms, indicating the cost of a lengthy privatization process. Empirical e...
