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作者：Metrick, Andrew; Yasuda, Ayako
作者单位：Yale University; University of California System; University of California Davis
摘要：This article analyzes the economics of the private equity industry using a novel model and dataset. We obtain data from a large investor in private equity funds, with detailed records on 238 funds raised between 1993 and 2006. We build a model to estimate the expected revenue to managers as a function of their investor contracts, and we test how this estimated revenue varies across the characteristics of our sample funds. Among our sample funds, about two-thirds of expected revenue comes from ...
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作者：Campbell, John Y.; Polk, Christopher; Vuolteenaho, Tuomo
作者单位：Harvard University; National Bureau of Economic Research; University of London; London School Economics & Political Science
摘要：The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to permanent movements, driven by shocks to aggregate cash flows. Thus, the high betas of growth (value) stocks with the market's discount-rate (cash-flow) shocks are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely glamour stocks...
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作者：Andrade, Sandro C.; Chhaochharia, Vidhi
作者单位：University of Miami
摘要：We examine how residents of the United States allocate their stock portfolios internationally. We find that a large U. S. Foreign Direct Investment (FDI) position in a destination country in 1990 is associated with a relatively large stock portfolio position in that country in the 2001-2006 period. Moreover, a change in the U.S. FDI position from 1980 to 1990 helps predict the change in the U.S. Foreign Portfolio Investment position from 1994 to 2006. These results are rationalized by Van Nieu...
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作者：Hochberg, Yael V.; Lindsey, Laura
作者单位：Northwestern University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
摘要：We examine whether options granted to non-executive employees affect firm performance. Using new data on option programs, we explore the link between broad-based option programs, option portfolio implied incentives, and firm operating performance, utilizing an instrumental variables approach to identify causal effects. Firms whose employee option portfolios have higher implied incentives exhibit higher subsequent operating performance. Intuitively, the implied incentive-performance relation is...
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作者：Berndt, Antje; Ritchken, Peter; Sun, Zhiqiang
作者单位：University System of Ohio; Case Western Reserve University; Carnegie Mellon University
摘要：We establish Markovian models in the Heath, Jarrow, and Morton (1992) paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more difficult than in the workhorse affine family. Besides diffusive and jump-induced default correlations, defaults can impact the credit spreads of surviving firms, allowing for a greater clustering of defa...
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作者：Karlan, Dean; Zinman, Jonathan
作者单位：Dartmouth College; Yale University
摘要：Expanding access to commercial credit is a key ingredient of financial development strategies. There is less consensus on whether expanding access to consumer credit helps borrowers, particularly when loans are extended at high interest rates. Popular skepticism about unproductive, usurious lending is fueled by research highlighting behavioral biases that may induce overborrowing. We estimate the impacts of expanding access to consumer credit at a 200% annual percentage rate (APR) using a fiel...
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作者：Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, Ilya A.
作者单位：University of British Columbia; Carnegie Mellon University; Stanford University
摘要：We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure for a cross-section of firms. Our structural-equilibrium framework embeds a contingent-claim corporate financing model within a consumption-based asset-pricing model. We investigate the effect of macroeconomic conditions on asset valuation and optimal corporate policies, and of preferences on capital structure. While capital structure is pro-cyclical at dates when firms re-lever, it is counter-cyc...
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作者：Demiroglu, Cem; James, Christopher M.
作者单位：State University System of Florida; University of Florida; Koc University
摘要：This article examines the determinants of financial covenant thresholds in bank loan agreements and information conveyed through the selection of tight financial covenants. We find that riskier firms and firms with fewer investment opportunities select tighter financial covenants. We also find that selection of tight covenants is associated with improvements in the covenant variable and declines in investment spending and net debt issuance. We observe these changes also for borrowers that do n...
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作者：von Thadden, Ernst-Ludwig; Bergloef, Erik; Roland, Gerard
作者单位：University of Mannheim; Stockholm School of Economics; University of California System; University of California Berkeley
摘要：This article integrates the problem of designing corporate bankruptcy rules into a theory of optimal debt structure. We show that, in an optimal contracting framework with imperfect renegotiation, having multiple creditors increases a firm's debt capacity while increasing its incentives to default strategically. The optimal debt contract gives creditors claims that are jointly inconsistent in case of default. Bankruptcy rules are therefore a necessary part of the overall financing contract, to...
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作者：Bakke, Tor-Erik; Whited, Toni M.
作者单位：University of Rochester; University of Oklahoma System; University of Oklahoma - Norman
摘要：We test whether stock market mispricing or private investor information in stock prices affects corporate investment. We develop an econometric methodology that disentangles stock-price movements that are relevant for investment from those that are not. We combine this decomposition with proxies for private information and mispricing to devise unbiased tests for the effects of mispricing and information on investment. We depart from much of the literature by finding that stock market mispricin...
