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作者：Bhojraj, Sanjeev; Bloomfield, Robert J.; Tayler, William B.
作者单位：Cornell University; Emory University
摘要：We provide experimental evidence that relaxing margin restrictions to allow more short selling can exacerbate overpricing, even though it reduces equilibrium price levels. This is because smart-money traders initially profit more by front-running optimistic investor sentiment than by disciplining prices. When short selling is not possible, competitive pressures among arbitrageurs rapidly drive prices to the equilibrium. However, the risk of margin calls slows the convergence process, because a...
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作者：Benmelech, Efraim
作者单位：Harvard University
摘要：I investigate the effect of assets' liquidation values on capital structure by exploiting the diversity of track gauges in nineteenth-century American railroads. The abundance of track gauges limited the redeployability of rolling stock and tracks to potential users with similar track gauge. Moreover, potential demand for both rolling stock and tracks was further diminished when many railroads went under equity receiverships. I find that the potential demand for a railroad's rolling stock and ...
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作者：Cremers, K. J. Martijn; Nair, Vinay B.; John, Kose
作者单位：Yale University; New York University
摘要：This paper considers the impact of the takeover likelihood on firm valuation. If firms are more likely to acquire when there is more free cash or lower required rates of return, the targets become more sensitive to shocks to cash flows or the price of risk. Ceteris paribus, firms exposed to takeovers have different rates of return than protected firms. Using takeover likelihood estimates, we create a takeover factor, buying (selling) firms with a high (low) takeover likelihood, which generates...
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作者：Ivashina, Victoria; Nair, Vinay B.; Saunders, Anthony; Massoud, Nadia; Stover, Roger
作者单位：Harvard University; University of Pennsylvania; New York University; York University - Canada; Iowa State University
摘要：In this paper, we investigate the disciplining role of banks and bank debt in the market for corporate control. We find that relationship bank lending intensity and bank client network have positive effects on the probability of a borrowing firm becoming a target. This effect is enhanced in cases where the target and acquirer have a relationship with the same bank. Moreover, we utilize an experiment to show that the effects of relationship bank lending intensity on takeover probability are not...
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作者：Downing, Chris; Jaffee, Dwight; Wallace, Nancy
作者单位：University of California System; University of California Berkeley; Barclays
摘要：This paper models and provides empirical evidence for the quality of assets that are securitized through bankruptcy remote special purpose vehicles (SPVs). The model predicts that assets sold to SPVs will be of lower quality (lemons) compared to assets that are not sold to SPVs. We find strong empirical support for this prediction using a comprehensive data set of sales of mortgage-backed securities (Freddie Mac Participation Certificates, or PCs) to SPVs over the period 1991 through 2002. Val...
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作者：Brunnermeier, Markus K.; Pedersen, Lasse Heje
作者单位：Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Princeton University; New York University
摘要：We provide a model that links an asset's market liquidity (i.e., the ease with which it is traded) and traders' funding liquidity (i.e., the ease with which they can obtain funding). Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely, traders' funding, i.e., their capital and margin requirements, depends on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market liquidity and fundi...
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作者：Johannes, Michael S.; Polson, Nicholas G.; Stroud, Jonathan R.
作者单位：Columbia University; University of Chicago; George Washington University
摘要：This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as likelihood ratios, and parameter estimation. Our approach combines time-discretization schemes with Monte Carlo methods. It is quite general, applying in nonlinear and multivariate jump-diffusion models and...
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作者：DeMiguel, Victor; Garlappi, Lorenzo; Uppal, Raman
作者单位：University of Texas System; University of Texas Austin; University of London; London Business School
摘要：We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover, which indicates that, out of sample, the gain from optimal diversification is more than offset by estimation error. Based on parameters calibrated...
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作者：Ibragimov, Rustam; Jaffee, Dwight; Walden, Johan
作者单位：Harvard University; University of California System; University of California Berkeley
摘要：We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through diversification in a reinsurance market. This is a nondiversification trap. We show that nondiversification traps may arise when risk distributions have heavy left tails and insurance providers have limited lia...
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作者：Baker, Malcolm; Foley, C. Fritz; Wurgler, Jeffrey
作者单位：New York University; National Bureau of Economic Research; Harvard University
摘要：Empirical evidence of imperfect integration across world capital markets suggests a role for cross-border arbitrage by multinationals. Consistent with multinational arbitrage as a determinant of foreign direct investment (FDI) patterns, we find that FDI flows increase sharply with source-country stock market valuations-025EFparticularly the component of valuations that is predicted to revert the next year, and particularly in the presence of capital account restrictions that limit other mechan...
