-
作者：Chen, Zhiyao; Strebulaev, Ilya A.
作者单位：Chinese University of Hong Kong; Stanford University; National Bureau of Economic Research
摘要：We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad states to be higher than the actual probability and prefer an early resolution of macroeconomic uncertainty. Second, sudden switches to bad states and large shocks in the bad states induce the countercyclic...
-
作者：Murfin, Justin; Pratt, Ryan
作者单位：Yale University; Brigham Young University
摘要：Finance professionals commonly set prices based on the analysis of recently closed, comparable transactions. Using data on syndicated loans, we exploit the lag between loans' closing dates and their inclusion in a widely used comparables database to identify the effect of past transactions on new transaction pricing. Comparables pricing is an important determinant of individual loan spreads, but a failure to account for overlap in information across loans leads to pricing mistakes. Comparables...
-
作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
作者单位：Tilburg University; Frankfurt School Finance & Management; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the otherwise puzzlingly low returns on both out-of-the-money put and out-of-the-money call options as well as the high observed variance premium. In a dynamic setting, pro...
-
作者：Dasgupta, Sudipto; Zaldokas, Alminas
作者单位：Chinese University of Hong Kong; Lancaster University; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
摘要：We consider the case of changing competition that comes from stronger antitrust enforcement around the world to show that, as the equilibrium switches from collusion to oligopolistic competition, firms step up investment and increase equity issuance. As a result, debt ratios fall. These results imply the importance of financial flexibility in surviving competitive threats. Our identification relies on a difference-in-differences estimation based on the staggered passage of leniency programs in...
-
作者：Zhu, Christina
作者单位：University of Pennsylvania
摘要：This study empirically investigates two effects of alternative data availability: stock price informativeness and its disciplining effect on managers' actions. Recent computing advancements have enabled technology companies to collect real-time, granular indicators of fundamentals to sell to investment professionals. These data include consumer transactions and satellite images. The introduction of these data increases price informativeness through decreased information acquisition costs, part...
-
作者：Dubinsky, Andrew; Johannes, Michael; Kaeck, Andreas; Seeger, Norman J.
作者单位：Columbia University; University of Sussex; Vrije Universiteit Amsterdam
摘要：This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty about earnings announcements from normal day-to-day volatility. Empirically, we find strong support for the importance of earnings announcements. We find that the anticipated price uncertainty is quantitatively large, varies across time, and is informative about the fu...
-
作者：Song, Zhaogang; Zhu, Haoxiang
作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT)
摘要：Mortgage dollar roll, the most common financing strategy for agencyMBS, differs from repo in that the returned collateral can differ from those received. Also, MBS ownership changes hands in the funding period. We show that dollar roll specialness, how much implied financing rates fall below MBS repo rates, (1) increases in the value of the cheapest-to-deliver option, (2) decreases in the leverage of primary dealers, (3) decreases in prepayment risk exposure during the financing period, and (4...
-
作者：Chowdhry, Bhagwan; Davies, Shaun William; Waters, Brian
作者单位：University of California System; University of California Los Angeles; University of Colorado System; University of Colorado Boulder
摘要：We study joint financing between profit-motivated and socially motivated (impact) investors and derive conditions under which impact investments improve social outcomes. When project owners cannot commit to social objectives, impact investors hold financial claims to counterbalance owners' tendencies to overemphasize profits. Impact investors' ownership stakes are higher when the value of social output is higher, and pure nonprofit status may be optimal for the highest valued social projects. ...
-
作者：Cheng, Ing-Haw
作者单位：Dartmouth College
摘要：Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of mismeasurement: (i) ex ante premiums reliably predict ex post returns to VIX futures with a coefficient near one, and (ii) falling ex ante premiums predict increasing ex post market and investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and trader e...
-
作者：Foa, Gabriele; Gambacorta, Leonardo; Guiso, Luigi; Mistrulli, Paolo Emilio
作者单位：Bank for International Settlements (BIS); European Central Bank; Bank of Italy
摘要：Using matched borrower-lender data, we document strong nonprice supplier effects in mortgage contract choice. For given relative price of adjustable and fixed rate mortgages, households borrowing from banks hit by shocks to the cost of long term funding, or to the deposits base or to access to securitization are more likely to choose adjustable rate mortgages. Supply factors have larger effects on less-sophisticated households and at times of price inaction. A model in which banks affect borro...
