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作者：Burkart, Mike; Lee, Samuel; Petri, Henrik
作者单位：University of London; London School Economics & Political Science; Swedish House of Finance; Centre for Economic Policy Research - UK; University of London; London Business School; Santa Clara University; University of Gothenburg
摘要：We study the structure of public firm buyouts in a model that features the Berle-Means problem (lack of incentives) and the Grossman-Hart problem (holdout). We find that bootstrapping, debt in excess of funding needs, and upfront fees to bidders are socially optimal and increase buyout premiums. These elements make LBO financing tantamount to a management contract arranged by an outside manager to receive cash and incentives to manage a firm-except the cash is funded by excess debt imposed on ...
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作者：Cucic, Dominic; Gorea, Denis
作者单位：Bank for International Settlements (BIS)
摘要：We analyze the role of nonbank lenders in the transmission of monetary policy using data on the universe of unsecured credit to firms and households in Denmark. Nonbanks increase their credit supply after a monetary contraction, both relative to banks and in absolute terms. The increase in nonbank lending is financed through increased long-term debt. A model with segmented debt markets featuring differential investor rate sensitivities rationalizes these findings. Nonbank credit insulates corp...
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作者：Falato, Antonio; Favara, Giovanni; Scharfstein, David
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University
摘要：During the U.S. housing credit boom, publicly traded banks increased mortgage lending activity and relaxed standards much more than privately held banks. The increase in risk had real effects for a variety of county-level aggregates including employment and consumption. Cross-sectional evidence and a quasi-experiment indicate that the increase in risk stemmed from the institutional ownership and the equity compensation of publicly traded banks, in turn leading banks to place greater weight on ...
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作者：Fu, Julie Zhiyu; Li, Jian; Xie, Yinxi
作者单位：Washington University (WUSTL); Columbia University; Indiana University System; Indiana University Bloomington
摘要：We present new facts on how convenience yields fluctuate with macroeconomic variables and fiscal policy: the convenience yield of long-term Treasuries is negatively correlated with inflation expectations, and inflation expectations predict future debt-to-GDP growth. To rationalize these findings, we incorporate the convenience yield into a macro-finance model with endogenous fiscal policy. The government finances deficit shocks partially through higher inflation and partially through more futu...
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作者：Li, Zigang; Van Nieuwerburgh, Stijn; Renxuan, Wang
作者单位：University of Toronto; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; China Europe International Business School
摘要：Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean generates overreaction to forecast revisions and a modest response of forecasts to lagged realizations. Heterogeneity in signals and priors about the long-run mean helps the model account for cross-sectional dispersion in forecasts. Introducing behavioral f...
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作者：Hansen, Peter Reinhard; Tong, Chen
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Xiamen University; Xiamen University
摘要：We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing for...
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作者：Sanati, Ali; Beyhaghi, Mehdi
作者单位：American University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The impact of tax benefits of debt on firms remains an open question. The 2017 U.S. tax reform limited the tax advantage of debt for all firms except for small businesses with average sales below $25 million. A regression discontinuity design based on the exception threshold shows that, as tax benefits of debt shrink, corporate debt declines significantly, while equity does not increase sufficiently to offset the reduction. Treated firms also decrease their investments due to the higher cost o...
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作者：Fleckenstein, Quirin; Gopal, Manasa; Gutierrez, German; Hillenbrand, Sebastian
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Georgia; Georgia Institute of Technology; University of Washington; University of Washington Seattle; Harvard University
摘要：We study the contribution of banks and nonbanks to cyclical fluctuations in the supply of syndicated loans. We find that a reduction in nonbank lending explains most of the contraction in syndicated credit and the associated employment losses during the Global Financial Crisis, while banks' contribution is small. Looking over multiple cycles, we find nonbanks' credit supply is roughly three times as cyclical as banks', suggesting that nonbanks are the main drivers of syndicated lending cycles....
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作者：Giambona, Erasmo; Kumar, Anil; Phillips, Gordon M.
作者单位：Syracuse University; Aarhus University; Danish Finance Institute; Dartmouth College; National Bureau of Economic Research
摘要：We study how risk management through hedging affects firms and competition among firms in the life insurance industry, an industry with over 7 trillion in assets and over 1,000 private and public firms. We examine firms after a staggered state-level reform that reduces the costs of hedging by granting derivatives superpriority in case of insolvency. We show that firms that are likely to face costly external finance increase hedging and reduce risk and the probability of receivership. Firms tha...
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作者：Wu, Liuren; Zhang, Yuzhao
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates. The model generates significantly better pricing performance than existing bottom-up models. Its high-dimensional risk structure effectively explains the options return variation, allowing for the seamless integration of option pricing with risk manageme...
