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作者：Chien, YiLi; Lustig, Hanno
作者单位：Purdue University System; Purdue University; University of California System; University of California Los Angeles
摘要：We introduce limited liability in a model with a continuum of ex ante identical agents who face aggregate and idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit to honor their promises, and their shares in a Lucas tree serve as collateral to back up their state-contingent promises. The limited-liability option gives rise to a second risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by bindin...
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作者：Aggarwal, Reena; Erel, Isil; Stulz, Rene; Williamson, Rohan
作者单位：University System of Ohio; Ohio State University; University System of Ohio; Ohio State University; National Bureau of Economic Research; Georgetown University
摘要：We construct a firm-level governance index that increases with minority shareholder protection. Compared with U.S. matching firms, only 12.68% of foreign firms have a higher index. The value of foreign firms falls as their index decreases relative to the index of matching U.S. firms. Our results suggest that lower country-level investor protection and other country characteristics make it suboptimal for foreign firms to invest as much in governance as U.S. firms do. Overall, we find that minor...
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作者：Rauh, Joshua D.; Sufi, Amir
作者单位：Northwestern University; National Bureau of Economic Research; University of Chicago
摘要：Using a novel dataset that records individual debt issues on the balance sheets of public firms, we demonstrate that traditional capital structure studies that ignore debt heterogeneity miss substantial capital structure variation. Relative to high-credit-quality firms, low-credit-quality firms are more likely to have a multi-tiered capital structure consisting of both secured bank debt with tight covenants and subordinated non-bank debt with loose covenants. We discuss the extent to which the...
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作者：Gan, Jie
作者单位：Hong Kong University of Science & Technology
摘要：This article uses a large panel dataset that tracks the housing wealth and credit card spending of 12,793 individuals in Hong Kong to study the relationship between housing wealth and household consumption. I identify a significant effect of housing wealth on consumption. A pure wealth effect can explain part of the sensitivity: households with multiple houses have much stronger consumption responses. Consistent with a relaxation of the credit constraints, mortgage refinancing significantly in...
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作者：Chiang, Yao-Min; Qian, Yiming; Sherman, Ann E.
作者单位：University of Iowa; National Chengchi University; DePaul University
摘要：Using a unique dataset of complete bid information for every IPO auction in Taiwan during 1995-2000, we examine the behaviors and returns of two groups-institutional and retail investors in a setting in which underwriters do not have pricing or allocation discretion. We find that the bids of institutional investors are generally consistent with the predictions of IPO auction theory for informed bidders, while those of individual investors are not. Specifically, returns are higher when more ins...
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作者：Gompers, Paul A.; Ishii, Joy; Metrick, Andrew
作者单位：Yale University; National Bureau of Economic Research; Harvard University; Stanford University
摘要：We construct a comprehensive list of dual-class firms in the United States and use this list to analyze the relationship between insider ownership and firm value. Our data have two useful features. First, since dual-class stock separates cash-flow rights from voting rights, we can separately identify the impact of each. Second, we address endogeneity concerns by using exogenous predictors of dual-class status as instruments. In single-stage regressions, we find strong evidence that firm value ...
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作者：Henry, Tyler R.; Koski, Jennifer L.
作者单位：University of Washington; University of Washington Seattle; University System of Georgia; University of Georgia
摘要：We use daily short-selling data to examine whether short selling around seasoned equity offerings (SEOs) reflects informed or manipulative trading. Around SEO announcements, we find no evidence of informed short selling. Around issue dates, higher levels of pre-issue short selling are significantly related to larger issue discounts for non-shelf-registered offerings. This evidence is consistent with manipulative trading. We show that SEC Rule 105 constrains some but not all manipulative tradin...
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作者：Jiang, Wei; Li, Kai; Shao, Pei
作者单位：Columbia University; University of British Columbia; University of Northern British Columbia
摘要：This article provides a comprehensive analysis of a new and increasingly important phenomenon: the simultaneous holding of both equity and debt claims of the same company by non-commercial banking institutions (dual holders). The presence of dual holders offers a unique opportunity to assess the existence and magnitude of shareholder-creditor conflicts. We find that syndicated loans with dual holder participation have loan yield spreads that are 18-32 bps lower than those without. The differen...
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作者：Ozbas, Oguzhan; Scharfstein, David S.
作者单位：University of Southern California; Harvard University; National Bureau of Economic Research
摘要：This article documents differences between the Q-sensitivity of investment of stand-alone firms and unrelated segments of conglomerate firms. Unrelated segments exhibit lower Q-sensitivity of investment than stand-alone firms. This fact is driven by unrelated segments of conglomerate firms that tend to invest less than stand-alone firms in high-Q industries. This finding is robust to matching on industry, year, size, age, and profitability. The differences are more pronounced in conglomerates ...
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作者：Basak, Suleyman; Chabakauri, Georgy
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging deman...
