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作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：We develop a simple robust link between deep out-of-the-money American put options on a company's stock and a credit insurance contract on the company's bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corridor, a spread between two co-terminal American put options struck within the corridor replicates a p...
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作者：Bonomo, Marco; Garcia, Rene; Meddahi, Nour; Tedongap, Romeo
作者单位：Universite Catholique de Lille; EDHEC Business School; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Stockholm School of Economics
摘要：We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-divid...
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作者：Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y.
作者单位：University of London; London Business School; University System of Georgia; Georgia State University; Drexel University
摘要：For funds with high incentives and more opportunities to inflate returns, we find that (i) returns during December are significantly higher than returns during the rest of the year, even after controlling for risk in both the time series and the cross-section; and (ii) this December spike is greater than for funds with lower incentives and fewer opportunities to inflate returns. These results suggest that hedge funds manage their returns upward in an opportunistic fashion in order to earn high...
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作者：Edmans, Alex; Gabaix, Xavier
作者单位：University of Pennsylvania; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：This article develops a framework that delivers tractable (i.e., closed-form) optimal contracts, with few restrictions on the utility function, cost of effort, or noise distribution. By modeling the noise before the action in each period, we force the contract to provide correct incentives state-by-state, rather than merely on average. This tightly constrains the set of admissible contracts and allows for a simple solution to the contracting problem. Our results continue to hold in continuous ...
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作者：Ghent, Andra C.; Kudlyak, Marianna
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We quantify the effect of recourse on default and find that recourse affects default by lowering the borrower's sensitivity to negative equity. At the mean value of the default option for defaulted loans, borrowers are 30% more likely to default in non-recourse states. Furthermore, for homes appraised at $500,000 to $750,000, borrowers are twice as likely to default in non-recourse states. We also find that defaults are more likely to occur through a lender-friendly procedure, such as a deed i...
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作者：Freixas, Xavier; Martin, Antoine; Skeie, David
作者单位：Pompeu Fabra University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：A lesson of the recent financial crisis is that the interbank market is crucial for banks facing uncertainty regarding their liquidity needs. This article studies the efficiency of the interbank market in allocating funds. We show that the central bank should lower the interbank rate when confronted with a crisis that causes a disparity in the liquidity held among banks. This suggests that the traditional tenet prescribing the separation between prudential regulation and monetary policy should...
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作者：Hau, Harald
作者单位：University of Geneva; University of Geneva
摘要：Should capital cost calculations be based on a global or local market benchmark? The December 2000 redefinition of the Morgan Stanley Capital International (MSCI) global equity index was a natural experiment addressing this question. It is argued that this event triggered a portfolio shift (by index funds) large enough to affect the residual asset supplies constituting the global and local market benchmarks of all actively managed capital. Changes in the market benchmarks imply distinct and pr...
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作者：Klein, April; Zur, Emanuel
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：In contrast to previous studies documenting positive abnormal returns to target shareholders, we find that hedge fund activism significantly reduces bondholders' wealth. The average excess bond return is -3.9% around the initial 13D filing, and is an additional -4.5% over the remaining year. Excess bond returns are related inversely to subsequent changes in cash and assets (loss of collateral effects) and directly to changes in total debt. Confrontational campaigns and the acquisition of at le...
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作者：Dass, Nishant; Massa, Massimo
作者单位：University System of Georgia; Georgia Institute of Technology; INSEAD Business School
摘要：Commercial banks acquire inside information about the firms they lend to. We study the impact of this informationally privileged position on the borrowing firm using a broad panel of U.S. firms over the 1993-2004 period. We measure the strength of the bank-firm relationship by bank-firm proximity, size of the loan, and the lender's insider potential. We show that a stronger relationship, by inducing better monitoring, improves the borrower's corporate governance. Simultaneously, it makes the b...
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作者：Cremers, K. J. Martijn; Huang, Rocco; Sautner, Zacharias
作者单位：University of Amsterdam; Michigan State University; University of Pennsylvania; Yale University
摘要：We analyze proprietary internal capital allocation data from a large retail banking group consisting of member banks and a headquarters organization. We find that capital allocations from headquarters compensate for deposit shortfalls on the bank level, suggesting that the headquarters offers deposit smoothing to member banks. We then analyze how the distribution of influence within the group relates to capital allocations and lending behavior. More influential banks are allocated more funds f...
