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作者：Andrei, Daniel; Hasler, Michael; Jeanneret, Alexandre
作者单位：McGill University; University of Toronto; Universite de Montreal; HEC Montreal
摘要：Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during recessions. Persistence risk predicts future excess returns, particularly at 3- to 7-year horizons. Its predictability is strongest around bu...
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作者：Appel, Ian R.; Gormley, Todd A.; Keim, Donald B.
作者单位：Boston College; Washington University (WUSTL); University of Pennsylvania
摘要：We analyze whether the growing importance of passive investors has influenced the campaigns, tactics, and successes of activists. We find activists are more likely to seek board representation when a larger share of the target company's stock is held by passively managed mutual funds. Furthermore, higher passive ownership is associated with increased use of proxy fights, settlements, and a higher likelihood the activist achieves board representation or the sale of the targeted company. Our fin...
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作者：Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James
作者单位：Bank of Canada; Deutsche Bundesbank; University of Auckland
摘要：We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's privately optimal encumbrance choice balances the benefit of expanding profitable, yet illiquid, investment funded by cheap long-term senior secured debt, against the cost of greater fragility from runs on unsecured debt. We derive testable implications about encumbrance ratios. The introduction of deposit insurance or wholesale funding guara...
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作者：Tang, Huan
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：This paper studies whether, in the consumer credit market, peer-to-peer (P2P) lending platforms serve as substitutes for banks or instead as complements. I develop a conceptual framework and derive testable predictions to distinguish between these two possibilities. Using a regulatory change as an exogenous shock to bank credit supply, I find that P2P lending is a substitute for bank lending in terms of serving infra-marginal bank borrowers yet complements bank lending with respect to small lo...
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作者：Morellec, Erwan; Zhdanov, Alexei
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects the prices of options on equity and leads to an inverse relationship between equity returns and volatility, generating a negative volatility skew in option prices. Using a large sample of U.S. equity options, we provide empirical support for t...
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作者：Jacob, Martin; Michaely, Roni; Mueller, Maximilian A.
作者单位：WHU - Otto Beisheim School of Management; University of Geneva
摘要：Consumers nominally pay the consumption tax, but theoretical and empirical evidence is mixed on whether corporations partly shoulder this burden, thereby affecting corporate investment. Using a quasi-natural experiment, we show that consumption taxes decrease investment. Firms facing more elastic demand decrease investment more strongly, because they bear more of the consumption tax. We corroborate the validity of our findings using 86 consumption tax changes in a cross-country panel. We docum...
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作者：Giannetti, Mariassunta; Saidi, Farzad
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We explore whether lenders' decisions to provide liquidity in periods of distress are affected by the extent to which they internalize the negative spillovers of industry downturns. We conjecture that high-market-share lenders are more likely to internalize negative spillovers and show that they provide liquidity to industries in distress when fire sales are likely to ensue. High-market-share lenders also provide liquidity to customers and suppliers of distressed industries when the disruption...
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作者：Sotes-Paladino, Juan; Zapatero, Fernando
作者单位：University of Melbourne; University of Southern California
摘要：We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to overinvest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns. Convexity effects can exacerbate the manager's overinvestment in overvalued nonbenchmark securities. In contrast, they potentially offset the benchmarking effects studied in the literature, leading to underinve...
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作者：Albuquerque, Rui; Brandao-Marques, Luis; Ferreira, Miguel A.; Matos, Pedro
作者单位：Boston College; European Corporate Governance Institute; International Monetary Fund; Universidade Nova de Lisboa; University of Virginia
摘要：We test the hypothesis that foreign direct investment promotes corporate governance spillovers in the host country. Using firm-level data from 64 countries during the period 2005-2014, we find that cross-border M&A activity is associated with subsequent improvements in the governance of nontarget firms when the acquirer country has stronger investor protection than the target country. The effect is more pronounced when the target industry is more competitive. Cross-border M&As are also associa...
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作者：Opp, Christian C.
作者单位：University of Pennsylvania
摘要：I develop a model of venture capital (VC) intermediation that quantitatively explains central empirical facts about VC activity and can evaluate its macroeconomic relevance. The impact of VC-backed innovations is significantly larger than suggested by observed aggregate venture exit valuations, even after accounting for large exposures to systematic and uninsurable idiosyncratic risks. The risk properties of venture capital play a quantitatively important role in both explaining empirical regu...
