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作者：Ma, Yiming; Xiao, Kairong; Zeng, Yao
作者单位：University of Pennsylvania
摘要：We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. Overall,...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthermore, there has been a major repricing of unsecured consumer credit risk since the 2007-2009 financial crisis. We find evidence that this increase is linked to balance-sheet costs imposed by postcrisis changes in regulations that have placed cre...
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作者：Johnson, William C.; Karpoff, Jonathan M.; Yi, Sangho
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作者：Abel, Andrew B.; Panageas, Stavros
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Pennsylvania; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We derive analytic solutions for the valuation, optimal investment, and optimal payout of a financially constrained firm. While marginal q and average q would be identically equal in the absence of financial constraints, they differ when financial constraints bind. We use analytic solutions to characterize the properties of regressions of investment on average q and cash flow. The coefficient on cash flow is positive, but does not isolate the impact of the financial constraint, since it also p...
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作者：Brogaard, Jonathan; Nguyen, Thanh Huong; Putnins, Talis J.; Wu, Eliza
作者单位：Utah System of Higher Education; University of Utah; Ho Chi Minh City University Economics; University of Danang; University of Technology Sydney; University of Sydney
摘要：We develop a return variance decomposition model to distinguish the roles of different types of information and noise in stock price movements. We disentangle four components: noise, private firm-specific information revealed through trading, firm-specific information revealed through public sources and market-wide information. Overall, we find that 31% of the return variance is from noise, 24% from private firm-specific information, 37% from public firm-specific information and 8% from market...
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作者：De Marco, Filippo; Macchiavelli, Marco; Valchev, Rosen
作者单位：Bocconi University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Boston College
摘要：We show that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on the foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate forecasts are associated with larger bond holdings. Crucially, the elasticity of portfolio holdings to expected returns is increasing in the precision of the forecast, implying that investors optimally exploit compara...
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作者：Sambalaibat, Batchimeg
作者单位：Princeton University
摘要：I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that shorting bonds through CDS increases the liquidity and price of bonds. By allowing investors to trade the credit risk of bonds without trading the bonds, CDS introduction expands the set of feasible trades and attracts investors into the credit market. Because search is nondirected within the credit market, new investors also trade bonds and consequently increase their pric...
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作者：Becher, David A.; Griffin, Thomas P.; Nini, Greg
作者单位：Drexel University; Villanova University
摘要：We examine the impact of creditor control rights on corporate acquisitions. Nearly 75% of loan agreements include restrictions that limit borrower acquisition decisions throughout the life of the contract. Following a financial covenant violation, creditors use their bargaining power to tighten these restrictions and limit acquisition activity, particularly deals expected to earn negative announcement returns. Firms that do announce an acquisition after violating a financial covenant earn 1.8%...
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作者：Jiang, Zhengyang
作者单位：Northwestern University
摘要：I develop a model of real exchange rate determination that attributes a central role to the intertemporal government budget condition, which equates the market value of government debt to the present value of government surpluses. To enforce this equilibrium condition in the presence of nominal rigidities, the real exchange rate has to adjust in response to shocks to government surpluses. The model predicts that fiscal shocks account for real exchange rate movements, and the factor structure i...
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作者：Heath, Davidson; Macciocchi, Daniele; Michaely, Roni; Ringgenberg, Matthew C.
作者单位：Utah System of Higher Education; University of Utah; University of Miami; University of Hong Kong; European Corporate Governance Institute
摘要：Passively managed index funds now hold over 30 of U.S. equity fund assets; this shift raises fundamental questions about monitoring and governance. We show that, relative to active funds, index funds are less effective monitors: (a) they are less likely to vote against firm management on contentious governance issues; (b) there is no evidence they engage effectively publicly or privately; and (c) they promote less board independence and worse pay-performance sensitivity at their portfolio comp...
