Review of Financial Studies

最新文章

• Financial constraints, asset tangibility, and corporate investment AI翻译
  作者：Almeida, Heitor; Campello, Murillo
  作者单位：New York University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Pledgeable assets support more borrowing, which allows for further investment in pledgeable assets. We use this credit multiplier to identify the impact of financing frictions on corporate investment. The multiplier suggests that investment-cash flow sensitivities should be increasing in the tangibility of firms' assets (a proxy for pledgeability), but only if firms are financially constrained. Our empirical results confirm this theoretical prediction. Our approach is not subject to the Kaplan...
• Governance mechanisms and bond prices AI翻译
  作者：Cremers, K. J. Martijn; Nair, Vinay B.; Wei, Chenyang
  作者单位：Yale University; University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：We investigate the effects of shareholder governance mechanisms on bondholders and document two new findings. First, the impact of shareholder control (proxied by large institutional blockholders) on credit risk depends on takeover vulnerability. Shareholder control is associated with higher (lower) yields if the firm is exposed to (protected from) takeovers. In the presence of shareholder control, the difference in bond yields due to differences in takeover vulnerability can be as high as 66 ...
• Asset pricing implications of firms' financing constraints AI翻译
  作者：Gomes, Joao F.; Yaron, Amir; Zhang, Lu
  作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Rochester
  摘要：We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross...
• Exchange rates, equity prices, and capital flows AI翻译
  作者：Hau, H; Rey, H
  作者单位：INSEAD Business School; Princeton University; Princeton University
  摘要：We develop an equilibrium model in which exchange rates, stock prices, and capital flows are jointly determined under incomplete foreign exchange (forex) risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, induces the following price and capital flow dynamics: Higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation. Net equity flows into the foreign market are positively correlated with...
• Credit ratings as coordination mechanisms AI翻译
  作者：Boot, AWA; Milbourn, TT; Schmeits, A
  作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; Washington University (WUSTL); New York University
  摘要：In this article, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a focal point for firms and their investors, and explore the vital, but previously overlooked implicit contractual relationship between a credit rating agency (CRA) and a firm through its credit watch procedures. Credit ratings can help fix the desired equi...
• Corporate finance and the monetary transmission mechanism AI翻译
  作者：Bolton, Patrick; Freixas, Xavier
  作者单位：Columbia University
  摘要：We analyze the transmission effects of monetary policy in a general equilibrium model of the financial sector, with bank lending and securities markets. Bank lending is constrained by capital adequacy requirements, and asymmetric information adds a cost to outside bank equity capital. In our model, monetary policy does not affect bank lending through changes in bank liquidity; rather, it operates through changes in the spread of bank loans over corporate bonds, which induce changes in the aggr...
• If at first you don't succeed: The effect of the option to resolicit on corporate takeovers AI翻译
  作者：Gillette, AB; Noe, TH
  作者单位：University System of Georgia; Kennesaw State University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tulane University
  摘要：This article models, and experimentally simulates, the free-rider problem in a takeover when the raider has the option to resolicit, that is, to make a new offer after an offer has been rejected. In theory, the option to resolicit, by lowering offer credibility, increases the dissipative losses associated with free riding. The outcomes of our experiment support this prediction and produce losses from free riding even higher than theoretically predicted. These dissipation losses reduce raider g...
• Explaining returns with cash-flow proxies AI翻译
  作者：Hecht, P; Vuolteenaho, T
  作者单位：Harvard University
  摘要：Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular s...
• The information in option volume for future stock prices AI翻译
  作者：Pan, Jun; Poteshman, Allen M.
  作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated by buyers to open new positions. Stocks with low put-call ratios outperform stocks with high put-call ratios by more than 40 basis points on the next day and more than 1% over the next week. Partitioning our option signals into components that are publicly and nonpublicly observable, we find that t...
• Does the source of capital affect capital structure? AI翻译
  作者：Faulkender, M; Petersen, MA
  作者单位：Washington University (WUSTL); Northwestern University; National Bureau of Economic Research
  摘要：Prior work on leverage implicitly assumes capital availability depends solely on firm characteristics. However, market frictions that make capital structure relevant may also be associated with a firm's source of capital. Examining this intuition, we find firms that have access to the public bond markets, as measured by having a debt rating, have significantly more leverage. Although firms with a rating are fundamentally different, these differences do not explain our findings. Even after cont...