Review of Financial Studies

最新文章

• Do Investment Banks Matter for M&A Returns? AI翻译
  作者：Bao, Jack; Edmans, Alex
  作者单位：University System of Ohio; Ohio State University; University of Pennsylvania; National Bureau of Economic Research
  摘要：We document a significant investment bank fixed effect in the announcement returns of M&A deals. The interquartile range of bank fixed effects is 1.26%, compared with a full-sample average return of 0.72%. The results remain significant after controlling for the component of returns attributable to the acquirer. Our findings suggest that investment banks matter for M&A outcomes, and contrast earlier studies that show no positive link between various measures of advisor quality and M&A returns....
• Governance Through Trading and Intervention: A Theory of Multiple Blockholders AI翻译
  作者：Edmans, Alex; Manso, Gustavo
  作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT)
  摘要：Traditional theories argue that governance is strongest under a single large blockholder, as she has high incentives to undertake value-enhancing interventions. However, most firms are held by multiple small blockholders. This article shows that, while such a structure generates free-rider problems that hinder intervention, the same coordination difficulties strengthen a second governance mechanism: disciplining the manager through trading. Since multiple blockholders cannot coordinate to limi...
• Originate-to-distribute Model and the Subprime Mortgage Crisis AI翻译
  作者：Purnanandam, Amiyatosh
  作者单位：University of Michigan System; University of Michigan
  摘要：An originate-to-distribute (OTD) model of lending, where the originator of a loan sells it to various third parties, was a popular method of mortgage lending before the onset of the subprime mortgage crisis. We show that banks with high involvement in the OTD market during the pre-crisis period originated excessively poor-quality mortgages. This result is not explained away by differences in observable borrower quality, geographical location of the property, or the cost of capital of high- and...
• What You Sell Is What You Lend? Explaining Trade Credit Contracts AI翻译
  作者：Giannetti, Mariassunta; Burkart, Mike; Ellingsen, Tore
  作者单位：Stockholm School of Economics
  摘要：We relate trade credit to product characteristics and aspects of bank-firm relationships and document three main empirical regularities. First, the use of trade credit is associated with the nature of the transacted good. In particular, suppliers of differentiated products and services have larger accounts receivable than suppliers of standardized goods and firms buying more services receive cheaper trade credit for longer periods. Second, firms receiving trade credit secure financing from rel...
• Revisiting Asset Pricing Puzzles in an Exchange Economy AI翻译
  作者：Parlour, Christine A.; Stanton, Richard; Walden, Johan
  作者单位：University of California System; University of California Berkeley
  摘要：We show that several well-known asset pricing puzzles are largely mitigated if we endow the representative agent with an arbitrarily small minimum consumption level. This allows us to solve the model for parameter values where the standard Lucas tree model is not defined. For these parameters, disasters become more important, and the market risk premium therefore higher, even though consumption is less risky. Our model yields reasonable risk premia, Sharpe ratios, and discount rates; excess pr...
• Risk Shifting and Mutual Fund Performance AI翻译
  作者：Huang, Jennifer; Sialm, Clemens; Zhang, Hanjiang
  作者单位：University of Texas System; University of Texas Austin; Nanyang Technological University; National Bureau of Economic Research
  摘要：Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This article investigates the performance consequences of risk shifting and sheds light on the mechanisms and the economic motivations behind risk-s...
• Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis AI翻译
  作者：Brunetti, Celso; di Filippo, Mario; Harris, Jeffrey H.
  作者单位：Johns Hopkins University; Catholic University of the Sacred Heart; University of Delaware
  摘要：We explore whether central bank intervention improves liquidity in the interbank market during the current subprime crisis with unique trade and quote data from the e-MID, the only regulated electronic interbank market in the world. Central bank intervention consistently creates greater uncertainty in the interbank market. Prior to the crisis, the cover-to-bid ratio effectively conveys good and bad news from the central bank, but this link is broken during the crisis, suggesting that standard ...
• Collateral Values by Asset Class: Evidence from Primary Securities Dealers AI翻译
  作者：Bartolini, Leonardo; Hilton, Spence; Sundaresan, Suresh; Tonetti, Christopher
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University; New York University
  摘要：Using data on repurchase agreements by primary securities dealers, we show that three classes of securities (Treasury securities, securities issued by government-sponsored agencies, and mortgage-backed securities) can be formally ranked in terms of their collateral values in the general collateral (GC) market. We then show that GC repurchase agreement (repo) spreads across asset classes display jumps and significant temporal variation, especially at times of predictable liquidity needs, consis...
• Optimal Property Rights in Financial Contracting AI翻译
  作者：Ayotte, Kenneth; Bolton, Patrick
  作者单位：Northwestern University; Columbia University
  摘要：This article adopts a definition of property rights from legal scholarship: A property right (in contrast to a contractual right) is enforceable, not only against the parties to a contract, but also against third parties outside the contract. In a financial contracting setting, we ask: When should the law enforce a lender's contractual protections as property rights, given that these rights may be hidden and costly for other lenders to discover? Our model explains why the law limits the creati...
• Do Peso Problems Explain the Returns to the Carry Trade? AI翻译
  作者：Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio
  作者单位：Northwestern University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Washington University (WUSTL)
  摘要：We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.