Review of Financial Studies

最新文章

• Bond Risk Premiums with Machine Learning AI翻译
  作者：Bianchi, Daniele; Buchner, Matthias; Tamoni, Andrea
  作者单位：University of London; Queen Mary University London; University of Warwick; Rutgers University System; Rutgers University New Brunswick
  摘要：We show that machine learning methods, in particular, extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock- and labor-market-related variables are more relevant for shortterm maturities, whereas output and ...
• Financing Corporate Growth AI翻译
  作者：Frank, Murray Z.; Sanati, Ali
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; American University
  摘要：Considerable research tackles the aggregate impact of debt financing. We show that equity is more important for firm growth than generally understood. A dollar of equity issuance is associated with an extra of real assets, whereas a dollar of debt issuance is associated with an extra . Firms issue equity first, then increase real assets, and, finally, issue debt while repurchasing equity. We explain this sequence using a model in which debt is tax preferred relative to equity but is subject to...
• The Economics of the Fed Put AI翻译
  作者：Cieslak, Anna; Vissing-Jorgensen, Annette
  作者单位：Duke University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of California System; University of California Berkeley
  摘要：Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is their concern with the consumption wealth effect, with a secondary role for the market predicting the economy. We find little evidence of the Fed overreacting to the market in an ex post sense (reacting beyond the market's effect on growth e...
• When a Master Dies: Speculation and Asset Float AI翻译
  作者：Penasse, Julien; Renneboog, Luc; Scheinkman, Jose A.
  作者单位：University of Luxembourg; Tilburg University; Columbia University; Princeton University; National Bureau of Economic Research
  摘要：An artist's death constitutes a negative shock to his future production; death permanently decreases the artist's float. We use this shock to test predictions of speculative trading models with short-selling constraints. As predicted in our model, we find that an artist's premature death leads to a permanent increase in prices and turnover; this effect being larger for more famous artists. We document that premature death increases prices (by 54.7%) and secondary market volume (by 63.2%).
• Marketplace Lending, Information Aggregation, and Liquidity AI翻译
  作者：Franks, Julian; Serrano-Velarde, Nicolas; Sussman, Oren
  作者单位：University of London; London Business School; Bocconi University; Bocconi University; University of Oxford
  摘要：Lending marketplaces aimed at directly connecting retail lenders and borrowers retreat from auctions and, instead, set prices and allocate credit on their own, despite evidence that retail investors possess valuable soft and nonstandard information. We investigate this puzzle by analyzing a unique data set of 7,455 auctions and 34 million bids from a leading British peer-to-business platform. We find that the platform was vulnerable to liquidity shocks, resulting in sizable deviations from inf...
• Weak Governance by Informed Active Shareholders AI翻译
  作者：Goldman, Eitan; Wang, Wenyu
  作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
  摘要：Do informed shareholders who can influence corporate decisions improve governance? We demonstrate this may not be generally true in a model of takeovers. The model suggests that a shareholder's ability to collect information and trade ex post may cause him, ex ante, to support pursuing value-destroying takeovers or oppose value-enhancing takeovers. Surprisingly, we find conditions under which giving the active shareholder greater influence weakens governance and reduces firm value, even if suc...
• Kicking the Can Down the Road: Government Interventions in the European Banking Sector AI翻译
  作者：Acharya, Viral V.; Borchert, Lea; Jager, Maximilian; Steffen, Sascha
  作者单位：New York University; University of Mannheim; Frankfurt School Finance & Management
  摘要：We analyze government interventions in the eurozone banking sector during the 2008-2009 financial crisis. Using a novel data set, we document that fiscally constrained governments kicked the can down the road by providing banks with guarantees instead of fully-fledged recapitalizations. We econometrically address the endogeneity associated with bailout decisions in identifying their consequences. We find that forbearance prompted undercapitalized banks to shift their assets from loans to risky...
• Corporate Bond Liquidity during the COVID-19 Crisis AI翻译
  作者：Kargar, Mahyar; Lester, Benjamin; Lindsay, David; Liu, Shuo; Weill, Pierre-Olivier; Zuniga, Diego
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of California System; University of California Los Angeles; Tsinghua University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
  摘要：We study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve's corporate credit facilities have had a positive effect on market liquidity. A structural estimation reveals that customers' willingness to pay for imme...
• How Important Are Inflation Expectations for the Nominal Yield Curve? AI翻译
  作者：Gomez-Cram, Roberto; Yaron, Amir
  作者单位：University of London; London Business School; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
  摘要：Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected i...
• Monitoring in Originate-to-Distribute Lending: Reputation versus Skin in the Game AI翻译
  作者：Winton, Andrew; Yerramilli, Vijay
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Houston System; University of Houston
  摘要：Banks face liquidity and capital pressures that favor selling off the loans they originate, but loan sales undermine their monitoring incentives. A bank's loan default history is a noisy measure of its past monitoring choices, which can serve as a reputation mechanism to incentivize current monitoring. In equilibrium, higher reputation banks monitor (weakly) more intensively; if retention is credible, they generally retain less of the loans they originate. Monitoring is difficult to sustain in...